Comparative Analysis [130 months]
The Société Générale CTA Index NE calculates the daily rate of return for a pool of CTAs (Commodity Trading Advisors) selected from the largest managers open to new investments. The index is equal-weighted and reconstituted annually, It has become recognized as the key managed futures performance benchmark.
The S&P 500 has been widely regarded as the best single gauge of the large cap U.S. equities market since the index was first published in 1957. The index has over US$ 4.83 trillion benchmarked, with index assets comprising approximately US$ 1.1 trillion of this total. The index includes 500 leading companies in leading industries of the U.S. economy, capturing 75% coverage of U.S. equities.
Over the past half centuary, the Reuters/Jefferies CRB CCI Index has been one of the most cited indicators of commodity prices. The index is comprised of 19 commodities: Aluminum, Cocoa, Coffee, Copper, Corn, Cotton, Crude Oil, Gold, Heating Oil, Lean Hogs, Live Cattle, Natural Gas, Nickel, Orange Juice, Silver, Soybeans, Sugar, Unleaded Gas and Wheat.
The S&P GSCI is the first major investable commodity index. It is one of the most widely recognized benchmarks that is broad-based and production weighted to represent the global commodity market beta. The index is designed to be investable by including the most liquid commodity futures, and provides diversification with low correlations to other asset classes. S&P GSCI is recognized as a leading measure of general price movements and inflation in the world economy.
*II - Iris Partners investments, S&P - S&P 500 monthly price change in percent, NE - the value of NE CTA index in the current month is only approximative, RJ - monthly price change of RJ CRB CCI. * ICE delisted CRB CCI Index in April 2013.