The S&P Strategic Futures Index (S&P SFI) reflects the long term price trend of futures on physical commodities, interest rates, and currencies while limiting volatility and offering transparent, rules-based exposure to momentum, both long and short.
The S&P SFI combines a unique mix of price momentum, enhanced roll, and risk parity. The momentum is used for long/short positioning, the enhanced roll is used to select contacts on long commodities and the risk parity is designed to weight according to volatility and corrections.
Key Features and Coverage on RIMES
For this data source, RIMES hosts 7 indices, including:
- S&P Commodity Trends Indicator, S&P Diversified Trends Indicator, S&P Financial Trends Indicator, S&P CTI Tracker Series, S&P FTI Tracker Series, and S&P DTI Tracker Series
Some of the index data items available include:
- Branding (Source),Country Code, Divisor Factor in US Dollars, Gross Index in US Dollars, Index Family, Index Type, Last Price Date, Number of Constituents, Next Day Divisor in US Dollars, Next Day Number of Constituents, Sector Description, Weight Type, etc.