Standard & Poor’s Diversified Trends Indicator
Developed by AFT and subsequently branded by Standard & Poor’s, the S&P DTI is a rules-based investable trading methodology constructed entirely of futures. It is designed with the potential to capture the economic benefit derived from both rising and declining trends. Composed of unleveraged positions in future contracts on 8 different tangible commodities, such as light crude oil and gold, as well as 16 different financials, such as major currencies and U.S. Treasury bonds, the S&P DTI is structured differently from other trading methodologies and strategies.
The S&P DTI is based on futures, not cash market prices; these prices may differ materially in general as well as for specific commodities. Importantly, the S&P DTI is not a long-only index, but rather takes long or short exposures based on a rules-based, trend-following methodology.
The S&P DTI follows a long/short rules-based methodology of a diversified portfolio of 24 futures contracts (components) formed into sectors that are designed to reflect and track (price) trends while seeking to maintain low volatility over 12 month periods (despite potential for short-term volatility.) Exposure is divided equally 50%/50% between tangible commodities and financials in order to increase the internal non-correlation among the components and to add liquidity to the investment.
