The strategy is the currency part of the S&P Diversified Trend Indicator (DTI): it consists of only the currency portion.
1.The Asset Allocation
|
Euro 37.00% |
CurrencyShares Euro Trust FXE |
|
Japanese Yen 34.00% |
CurrencyShares Japanese Yen Trust FXY |
|
British Pound 14.00% |
CurrencyShares British Pound Ster. Trst FXB |
|
Swiss Franc 5.00% |
CurrencyShares Swiss Franc Trust FXF |
|
Australian Dollar 5.00% |
CurrencyShares Australian Dollar Trust FXA |
|
Canadian Dollar 5.00% |
CurrencyShares Canadian Dollar Trust FXC |
2. Position determination
The monthly percentage change of a sector’s price is compared to past monthly price changes exponentially weighted to give greatest weight to the most recent return and least weight to the return seven months prior.
The weights are as follows:
|
NUMBER OF MONTHS |
WEIGHT |
|
7 |
2.32% |
|
6 |
3.71% |
|
5 |
5.94% |
|
4 |
9.51% |
|
3 |
15.22% |
|
2 |
24.34% |
|
1 |
38.95% |
3. Monthly rebalancing
We rebalance the portfolio monthly setting every sector to their original percentage and do the position determination again.
- DireXion Commodity Trend Strategy Inv (DXCTX): it employs S&P Commodity Trend Indicator and uses futures as its underlying instruments.
- Element S&P CTI ETN (LSC): this is an ETN which is based on S&P Commodity Trends Indicator.
- S and P Diversified Trend Indicators: this strategy allocates half of its portfolio to commodities which uses the commodity trend indicator.
- S and P Commodity Trend Indicators: this strategy allocates half of its portfolio to commodities which uses the commodity trend indicator.
See Also
- Standard and Poor's , "Standard and Poor's Commodity Trend Indicator".January 2008.
- Murray Coleman, "Mutual fund mixes bonds, commodities, currencies", marketwatch.com, March 6, 2007.
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