Index Profile
The Gardner Commodity MacroIndex® calculated by Gardner Finance is a forward-looking index that unites all relevant developments within the international commodity industry. Commodities are the cornerstone of modern life and offer not only immense investment potential but also true portfolio diversification. For this reason, Gardner Finance has developed the Gardner Commodity MacroIndex®, an index comprised of best-in-class commodity hedge funds and commodity managers. It is an index representing not only a true exposure into the global commodity sector but also to the best managers in this sector. With ever-rising need to a proper exposure into the global commodity industry, the Gardner Commodity MacroIndex® (GCMI®) is the perfect tool as its focus meets the goals and objectives of a broad exposure into all commodity sectors.
The purpose of the Index is to provide a macro view on global commodity markets by looking at the performance of selected investment vehicles belonging to the investment class "Commodity Hedge Funds". Objective criteria, arranged in a proprietary selection matrix, are applied in selecting the green hedge funds to be included in the Index as Components. The performance of the components forms the Index performance and is used as a basis for monthly calculations of the Index value.
Index Components
The Index includes components, representative of a careful hypothetical investment in the investment class "Commodity Hedge Funds" to make it suitable for use as a benchmark by investors in international green markets. Prior to inclusion in the Index, all potential Index components must undergo a standardized quantitative and qualitative analysis, which also serves to achieve a high level of consistency of the Index composition through continuity of included Index components.
Index Criteria
| Components |
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Minimum 20 components |
| Minimum Investment Quota |
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Minimum 80% of the funds managed by the components must be invested in the sectors defined in the index rules. |
| Component Weights |
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The minimum initial component weight is 3% and the initial maximum weight is 20%. |
| Volume |
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80% or more of components must manage at least US$10M (based on index value) |
| Audit |
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80% or more of components must have an annual independent audit (based on index value) |
| Redemptions |
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80% or more of components must allow redemptions at least on a quarterly basis |
| Notice Period |
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2/3 or more of components must offer a maximum notice period of 90 days or less |
| Reporting (e) |
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Estimated monthly NAV (Net Asset Value) must be reported within 20 business days. |
| Reporting (c) |
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Confirmed monthly NAV (Net asset Value) must be reported within 30 business days. |
| Quantitative |
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Measurement of Return (ann.), Average Gain, Standard Deviation (ann.), downside Deviation, Sharpe Ratio, Skewness, Kurtosis and Monthly Average Loss, Leverage, Turnover, Correlation, Drawdown/Recovery |
| Qualititative |
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Assessment of Organization, Personnel, Risk management and Corporate Governance/Compliance/Legal |
| Transparency |
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Assessment of Process, Valuation, Risk, Position, Operational, Liquidity, Fees, Expenses |
Rating
| Category 1 |
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excellent performer |
| Category 2 |
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exceeding median |
| Category 3 |
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median |
| Category 4 |
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below median |
| Category 5 |
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far below median |
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Any component must reach a minimum rating of Category 3 or above at time of evaluation and inclusion in the index. Category evaluation is based on the quantitative and qualitative drivers of the index criteria.
Component Risk
The suitability of a component for inclusion in the index is assessed on the basis of both, strategy-inherent risk and market-inherent risk. At any time, at least 90% of the total index value must consist of components, which fall into strategy- and market-inherent risk Categories 1 and 2.
| Category 1 |
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low risk |
| Category 2 |
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medium risk |
| Category 3 |
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high risk |
Strategy-inherent risk is the risk level a component is prepared to assume by choosing a certain strategy such as investment behavior, average and maximum leverage, liquidity of underlying investments and securities and risk tolerance.
Index Universe
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Oil & Gas Drilling |
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Oil & Gas Equipment & Services |
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Integrated Oil & Gas |
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Oil & Gas Exploration & Production |
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Oil & Gas Refining & Marketing |
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Oil & Gas Storage & Transportation |
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Coal & Consumable Fuels |
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Utilities | | |
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Aluminium |
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Cooper |
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Other Base Metals |
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Steel & Alloy |
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Gold |
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Other Precious Metals |
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Grains |
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Oilseeds |
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Softs |
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Livestock |
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Miscellaneous |
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Vessel & Barges |
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Trucking |
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Railroads |
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Ports & Infrastructure |
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Pipeline |
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Storage |
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Electricity |
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Utilities |
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Commodity Chemicals |
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Fertilizers & Agricultural Chemicals |
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Paper |
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Forestry |
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Cement |
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Salt |
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Diversivied Exposure to Sector 1 to 6 |
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