AFT is widely known for its three core trend-following, futures-based indexes: The Diversified Trends Indicator® (DTI®), The Commodity Trends Indicator® (CTI®), and The Financial Trends Indicator® (FTI™). These indexes were formerly licensed to, and branded by, Standard & Poor’s as the S&P DTI, S&P CTI, and S&P FTI.

DTI 24 Global Commodity and Financial Futures

These are the approximate market sectors and sector weightings included in the DTI® as of the beginning of each year (assuming the energy sector is long). The DTI® individual market components, sectors, and related weightings, as well as other aspects of the calculation of the DTI®, are subject to change at any time.
DTI 24 Global Commodity and Financial Futures
In 2010, AFT launched a new trend-following, futures-based index focused on global currency markets:
  • FX Trends Index™ (FXTI®) - a quantitative rules-based long-short methodology designed to reflect price movements across a basket of 11 foreign exchange futures contracts.
AFT’s Core Indexes:

The DTI®, CTI®, and FTI™ are long/short rules-based indexes constructed of liquid commodity and financial futures contracts. The CTI® and FTI™ are sub-indexes of the DTI®, and therefore follow the same investment methodology.

The DTI®, CTI®, and FTI™ are designed to reflect both rising and falling price trends via long and short positions. The indexes are historically non-correlated to traditional bond and equity returns over long-term periods, making them potentially valuable diversification tools.

Limiting the volatility of the DTI®, CTI®, and FTI™ was a guide in the determination of the methodology. The components of the indexes were selected based on fundamental characteristics and are limited to highly liquid, U.S. exchange-traded futures contracts.

DTI®, CTI®, and FTI™ Highlights

  • Rules-based indexes designed to reflect trends in diversified commodity and financial futures markets
  • Aim to reflect both rising and falling price trends by taking long or short positions (long or flat in the case of the Energy sector)
  • Provide valuable portfolio diversification due to their historically low correlation to traditional asset classes over extended periods (of 12 months or more)
  • Monthly rebalancing to control risk and maintain proper diversification
  • Fully transparent investment methodologies with daily liquidity of underlying components
  • Indexes do not use leverage