Select an Index Type

MSR's offering of indices can be broken down into three types:

Exposure Indices

An Exposure Index is designed to demonstrate the returns available to investors if they were to make their traditional long only investments by investing in futures contracts. The returns of these indices can represent an investment in a single market (e.g. crude oil), a single equity index (e.g. S&P 500), or a single market sector (e.g. equities, commodities, currencies, or bonds). MSR has also constructed "Growth and Income" indices which represent the returns investors could achieve by making their traditional long only investments in stocks and bonds through investments in the appropriate futures contracts. A "Dollar Weighted" index replicates the return from investing in a fixed number of futures contracts while "Target Volatility" indices follow MSR's Risk-First philosophy by attempting to control risk. Finally, Exposure "Active" indices simulate an actively traded long only portfolio with MSR's Trend Following and Reversal algorithms.

Strategic Indices

A Strategic Index is an index that applies a fixed algorithm to a futures market's historical price stream through time to determine whether or not to be long or short that futures contract. The algorithm is applied identically to all markets and does not change through time. MSR offers indices for two common trading strategies: trend following and reversal. You can also find indices labeled "Multi-Strategy" which combines both the Trend and Reversal algorithms. These indices are offered as real world alternatives to existing Managed Futures strategies and to provide researchers with powerful data to analyze the historical behavior of various markets. The algorithms are proprietary, but they are designed to be representative of trend and reversal trading for all markets covered by MSR.

Exposure-Plus Indices

An Exposure-Plus Index combines an Exposure Index and two Strategic Indices. The purpose of these indices is to demonstrate the effect that strategic indices have on traditional long only portfolios. An Exposure-Plus Index looks to create "alpha" relative to the underlying Exposure Index by simulating long and short positions of the underlying Exposure Index based on the strategic Trend and Reversal algorithms. 50% of risk (measured by target volatility) is allocated to the underlying Exposure Index while 25% of risk is allocated individually to each of the Trend and Reversal indices for the same futures contract or group of contracts found in the Exposure Index.

Custom Indices

MSR Custom Indices are designed by MSR Indices to replicate the performance of specific investment styles typically offered by the alternative investment industry. These styles are also represented by manager based indices produced by other index providers. The MSR version of these indices employ custom combinations of a select few of all of the other MSR Indices that are constructed as some combination of MSR's exposure ("long-only"), reversal, and trend-following algorithms. Like all other MSR Indices, these indices are designed to provide both benchmarks and transparent, liquid, and cost effective investment alternatives. For example, a manager who promotes itself as a trend-follower should be compared to the MSR Trend Following Index, which can be used as both a benchmark and a viable investment alternative to trend-following managers. Investors can also create their own custom index by combining any number of the 1,000+ pre-built indices with custom weightings and a customized target volatility for the entire portfolio.