Standard & Poor’s Diversified Trends Indicator - continued

Components of the sector are chosen based on fundamental characteristics and liquidity. The methodology of the S&P DTI is designed with the aim of capturing both up and down price trends. Systematic rules are employed to establish a “long” or “short” component position (with the exception of the Energy sector, which is either long or flat but never short). Sectors are rebalanced monthly; components are rebalanced annually.

Sector Weight	Component Weight
Click image to see a larger version These are the approximate market sectors and sector weightings included in the S&P DTI as of January 1, 2008. The S&P DTI individual market components, sectors, and related weightings, as well as other aspects of the calculation of the S&P DTI, are subject to change at any time.

One of the risks associated with the S&P DTI is the complexity of the different factors which contribute to the results of the S&P DTI, as well as to the correlation or non-correlation of such results with equity and other asset classes. Indicators that switch from long to short positions according to a rules-based methodology are unusual. The S&P DTI could decline in a wide range of different market scenarios, including ones in which other commodity indices (both all long and long/short) rise substantially. Over the long-term, there is a greater likelihood that the performance potential suggested by the simulated and actual performance records may be realized. Over the short-term, on the other hand, there is a much greater possibility that the S&P DTI and other asset classes may be highly positively correlated as well as both decline substantially, causing significant declines.

For more details please visit the following link S&P DTI: Standard & Poor’s Diversified Trends Indicator. AFT has no affiliation with S&P. However, AFT receives a license fee from S&P on both the S&P DTI and the S&P CTI. Such license fee is based, in part, on the assets managed in products using these two indicators.

AFT does not provide any form of investment advice and receives no compensation from any client or clients. Rather, AFT solely receives a license fee from S&P. None of the information or material on this website is intended, or should be used, as any form of advice or recommendation. In particular, AFT does not direct client accounts or provide commodity trading advice based on or tailored to the commodity interests or cash markets or other circumstances of a particular client.