The Alternative Strategies Blended Benchmark Index is comprised of an approximate 33% weighting in each of S&P GSCI Light Energy Index, Hedge Fund Research Equal Weighted Strategies Index and S&P Diversified Trends Indicator.
The S&P GSCI Light Energy Index is a sub-index of the S&P GSCI Index and tracks the performance of commodity futures using the same conventions as the S&P GSCI Index. The S&P GSCI Light Energy Index uses 1/4 of the S&P GSCI Index contract production weights for the energy components. The HFRX Equal Weighted Index is calculated by equally weighting the following eight hedge strategies with fixed weights for each strategy: convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The S&P Diversified Trends Indicator is a diversified composite of commodity and financial futures designed to provide exposure to major global market trends. The S&P DTI is a composite of 24 highly liquid futures grouped into 14 sectors, evenly weighted between financials and physical commodities. The index returns do not include any management fees, transaction costs or expenses. The indices are unmanaged and are not available for direct investment.