Market State Dynamic Commodity Index*

LHA introduces the Market State Dynamic Commodity Index* (MSDCI). The MSDCI was developed in coordination with S&P Dow Jones Indices (SPDJI), which is the index’s Benchmark-Administrator and independent Calculation Agent. As such, SPDJI has sole governance over the MSDCI’s methodology and rules-based calculation. The 23 commodity markets of the MSDCI are liquid, U.S. exchange-listed commodity futures contracts with weightings derived from the simple average of the respective component weights of the S&P Goldman Sachs Commodity Index (“GSCI”) and of the S&P Dow Jones Commodity Index (“DJCI”). Each futures contract may go long or short based on a SPDJI proprietary algorithm which utilizes information from spot return trends and the forward price curves unique to commodity futures markets.
Click HERE to visit S&P Dow Jones for index performance.

*The MSDCI is calculated by S&P Dow Jones Indices in two ways as (i) the Market State Dynamic Commodity Index Excess Return (Bloomberg ticker: MSDCI), which reflect price levels of futures contracts plus the returns from contract rolls, and (ii) the Market State Dynamic Commodity Index Total Return (Bloomberg ticker: MSDCITR), which adds to MSDCI the returns from the investment of any available cash collateral into US 3-month T-Bills.

We believe that managing beta is a good source of alpha.