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MLM Index™
The MLM Index™ is a diversified portfolio of 22 liquid futures contracts traded on U.S. and foreign exchanges. Sectors traded include commodities, currencies and global fixed income.

The MLM Index™ can be used in two ways:

1. As a Diversified Investment: The MLM Index™ is a passive, investable index that is non-correlated with traditional investments, providing investors with the opportunity for portfolio diversification.

2. As a Benchmark: The MLM Index™ is a widely recognized, patented benchmark for evaluating futures investments that are actively managed.

Investment Philosophy
Returns in commodities, currencies and global fixed income are derived during periodic bursts of price volatility, when hedgers desire to transfer price risk to investors. These periods of volatility create opportunities for profit, as investors assume risk that hedgers wish to avoid. The MLM Index™ is a proprietary model that attempts to capture investment returns by taking on these price risks. The MLM Index™ is also a world-renowned metric for calculating the innate, passive return that is contained in these markets.
Composition of the Index
The MLM Index™ trades a total of 22 futures contracts: 11 commodity, 6 currency and 5 global fixed incomes. Each of the 3 sub-baskets in the Index (commodities, currencies, global fixed income) is weighted by its relative historical volatility. Markets within each sub-basket are equally weighted. The MLM Index™ can take long or short positions in any of its 22 markets; there are no neutral positions.
 
Commodities Currencies Global Fixed Income
Crude Oil Australian Dollar Canadian Gov’t Bond
Heating Oil British Pound Euro Bund
Natural Gas Canadian Dollar Japanese Gov’t Bond
Unleaded Gas Euro Long Gilt
Corn Japanese Yen U.S. 10-yr. Note
Soybeans Swiss Franc  
Wheat    
Copper    
Gold    
Live Cattle    
Sugar    
 
Methodology
The 22 futures markets in the MLM Index™ exhibit large price changes more frequently than would be expected in a normal distribution. These price changes often occur as the result of actual or feared disruptions in supply or demand. These departures from normality can last weeks or months. Monthly and quarterly price data generally show significantly more observations at the extremes of the distributions – in the tail regions – than would typically be observed in a normal distribution, as shown in this chart:
  Distribution chart  
The price volatility implied by this chart represents a significant threat to the operations of hedgers. They are eager to transfer risk to investors, thereby creating profit opportunities for investors who are willing to take on that risk. Hedgers use the futures market to protect themselves against large, adverse price movements. Investors assume the risk of price uncertainty, in essence insuring the business of the hedger. In return, investors demand a premium for assuming that risk.
Summary Profile
  • 22 commodity markets
  • Long or short positions in all markets at all times
  • Volatility-weighted across three sub-baskets; equally weighted within each sub-basket
  • Rebalanced monthly
  • Unleveraged or leveraged vehicles available
  • Transparent

To learn more about the MLM Index, including historical performance, please complete a registration form.