In 1988, Mount Lucas Management introduced the MLM Index as the first passive index of returns to futures investing. The objective of the MLM Index strategy is to provide pure systematic trend following exposure in a consistent, efficient, and cost-effective manner which captures the price risk premium offered by those who seek price certainty.
The MLM Index of futures returns uses a trend-following algorithm that signals the inception of possible large price trends. The object of the algorithm is to capture the potential profits represented by such trends. The algorithm is applied to both up trends and down trends in price, i.e., it simulates both long and short trades. It is applied to a broad range of markets since the diversification obtained is an important aspect of the investment benchmark.
For this data source, RIMES hosts 5 indices, including the MLM Index, MLM Global Index, MLM Commodity Index, etc.
Some of the data items available include:
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