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Quantitative Investment Strategies

QIS Index Documentation

General information

IOSCO Principles – Statement of Compliance: Macquarie Bank Limited

Macquarie Proprietary Indices - Risk Factors

Macquarie Index Calculation Holidays

Index data

Historical Index Levels (MABC Index MQCP430F)

Historical Index Levels (MQCP530E)

Historical Index Levels (MQCP536E)

Historical Index Levels (MQCP598E)

Historical Index Levels (MQCP614E)

Target Weights

The Macquarie Commodity Index - MQCP855

Macquarie Commodity MQCP855E (USD) Index

Macquarie Commodity MQCP855U (EUR) Index

Component Dollar Weights (MQCP855E)

Historical Index Levels (MQCP855E)

Historical Index Levels (MQCP855U)

The Macquarie MQCP711E Index

Macquarie Dynamic Carry Alpha Index - MQCP711E - Index Manual

Component Dollar Weights (MQCP711E)

The Macquarie Vol Matched Spreads F3vF0 Ex Ags and Lv Curve Carry - MQCP829E

Macquarie Vol Matched Spreads F3vF0 ex Agriculture and Livestock Curve Carry MQCP829E Index Manuel

Component Dollar Weights (MQCP829E)

Historical Index Levels (MQCP829E)

The Macquarie Vol Matched Spreads Minimum Drawdown Ex Ags and Lv Curve Carry - MQCP838E

Macquarie Vol Matched Spreads Minimum Drawdown ex Agriculture and Livestock Curve Carry Index

Component Dollar Weights (MQCP838E)

Historical Index Levels (MQCP838E)

The Macquarie Daily Convexity Alpha ex Ags and Lv - MQCP807E

Macquarie Commodity MQCP807E Index Manual

Macquarie Commodity MQCP356E – MQCP360E Index Manuals

Macquarie Weekly Convexity Alpha Single Commodity Indices Index Manual

Component Dollar Weights (MQCP807E)

Historical Index Levels (MQCP807E)

The Macquarie MQCP845E Vol Matched Spreads Curve Carry Index

The Macquarie MQCP845E Vol Matched Spreads Curve Carry Index

Component Dollar Weights (MQCP845E)

The Macquarie MQCP846E Vol Matched Spreads Curve Carry Index

The Macquarie MQCP846E Vol Matched Spreads Curve Carry Index

Component Dollar Weights (MQCP846E)

The Macquarie Baskets MQCPC indices

MQCPCENE Weights

MQCPCAGE Weights

MQCPCPRE Weights

MQCPCINE Weights

The Macquarie Single Commodity Indices

Macquarie Single Commodity (USD) Indices

Macquarie Single Commodity Congestion Beta Indices

Macquarie Single Commodity Extended Post Roll Indices

Macquarie Single Commodity Roll Yield Enhanced Indices

Macquarie Single Commodity Generic Indices

Macquarie Single Commodity (Non-USD) Indices

Macquarie Single Commodity Periodic FX Conversion Indices

Macquarie USD Roll Variation Single Commodity Indices

Macquarie Iron Ore Quarterly Roll Index

The Macquarie Building Block Indices

Macquarie Diversified Heavy & Ex-Sector Building Block Ex-Petroleum & Livestock Indices

Macquarie Diversified Commodity Capped Building Block Indices

Macquarie Diversified Heavy & Ex-Sector Building Block Ex-Agriculture & Livestock Indices

Building Block Dollar Weights

Macquarie Diversified Heavy & Ex-Sector Building Block Indices

Historical Index Levels (Building Block)

Diversified Heavy & Ex-Sector Building Block Dollar Weights

The Macquarie Selective Carry Indices

Macquarie Selective Carry Alpha Index

Macquarie Commodity Strategy 216 Selective Carry Deferred Exposure Index

Macquarie Commodity Strategy 217 Selective Carry Front Exposure Index

Macquarie Commodity Strategy 171 Selective Carry Deferred Exposure Index

Macquarie Commodity Strategy 172 Selective Carry Front Month Exposure Index

The Macquarie Trend Following Alpha F3 2.5x Index – MQCP536E

The Macquarie Trend Following Alpha F3 2.5x Index – Index Manual

Component Dollar Weights (MQCP536E)

The Macquarie Investor Product 584

MQCP584 - Minimum Drawdown Carry Alpha Index Manual

MQCC254 - BBUXALC Weighted F3 Beta Congestion Index

MQCC254 - BBUXALC Weighted F3 Beta Congestion Index

The Macquarie Investor Product 575

MQCP575 - Macquarie Min Drawdown Carry ex Ags, Lv, Brent and PM

Component Dollar Weights (MQCP575E)

Component Dollar Weights (MQCP252E)

The Macquarie Dynamic Pre-Post Roll Congestion Indices

Macquarie Commodity Strategy 510 Congestion Alpha 1 Index

Macquarie Commodity Strategy 567 Congestion Alpha 2 Index

Macquarie Commodity Strategy 170 Congestion Beta Index

Component Dollar Weights (MQCP170E)

Component Dollar Weights (MQCP510E)

Component Dollar Weights (MQCP561E)

Macquarie Index Announcements

Macquarie Index Announcement 02 October 2017

The Macquarie Congestion Rotator Index - MQCP700E

Macquarie Congestion Rotator Index - MQCP700E – Index Manual

The Macquarie Trend Following Alpha Index - MQCP514E

Macquarie Trend Following Alpha Index - MQCP514E - Index Manual

Component Dollar Weights (MQCP514E)

The Macquarie Dynamic Carry Alpha Index - MQCP710E

Macquarie Dynamic Carry Alpha Index - MQCP710E - Index Manual

Component Dollar Weights (MQCP710E)

The Macquarie Backwardation Alpha Index - MQCP565E

Macquarie Backwardation Alpha Index - MQCP565E - Index Manual

Component Dollar Weights (MQCP565E)

The Macquarie MQCC112T Index

Component Dollar Weights (MQCC112T)

Macquarie Minimum Drawdown Carry ex Brent & PM Alpha MQCP598E Index

Macquarie Minimum Drawdown Carry ex Brent & PM Alpha MQCP598E Index Manual

The Macquarie Investor Product 625

MQCP625 - Macquarie Min Drawdown Carry ex Ags Lv Brent and PM

Component Dollar Weights (MQCP625E)

The Macquarie Investor Product 626

MQCP626 - Macquarie F6 vs F0 ex Ags Lv Brent and PM

Component Dollar Weights (MQCP626E)

The Macquarie Investor Product 500E

MQCP500E - Macquarie F3 Carry - Index Manual

Component Dollar Weights (MQCP500E)

The Macquarie Investor Product 592E

MQCP592E - BCOM F6 vs F0 Carry ex Brent, PM - Index Manual

The Macquarie Pre-Roll Congestion Indices

Macquarie F4 Congestion Index (MQCP654) – Index Manual

Macquarie F5 Congestion Index (MQCP655) – Index Manual

Macquarie F6 Congestion Index (MQCP656) – Index Manual

The Macquarie Backwardation vs Contango Index – MQCP725E

Macquarie Backwardation vs Contango Index - MQCP725E – Index Manual

Component Dollar Weights (MQCP725E)

Component Dollar Weights (MQCP845E)

The Macquarie F6 Equal Weights Backwardation Beta Index - MQCP300E

Macquarie F6 Equal Weights Backwardation Beta Index - MQCP300E - Index Manual

Component Dollar Weights (MQCP300E)

The Macquarie Dynamic Carry Bull/Bear Commodities Spread Index - MQCP760E

Macquarie Dynamic Carry Bull/Bear Commodities Spread Index - MQCP760E – Index Manual

The Macquarie Roll Yield Enhanced Beta Index - MQCP312E

Macquarie Roll Yield Enhanced Beta Index - MQCP312E - Index Manual

Component Dollar Weights (MQCP312E)

Historical Index Levels (MQCP312E)

The Macquarie Congestion Rotator F0-F6 Index - MQCP706E

Macquarie Congestion Rotator F0-F6 Index - MQCP706E - Index Manual

The Macquarie Commodity Value Index - MQCP770E

Macquarie Commodity Value Index - MQCP770E - Index Manual

The Macquarie Carry Index MQCP614E

Macquarie MQCP614E Vol Matched Spreads Curve Carry Index

Component Dollar Weights (MQCP614E)

Macquarie Composite FX Periodic Conversion Indices

Macquarie Composite FX Periodic Conversion Indices - Rulebook

The Macquarie Dynamic Carry ex Agriculture & Livestock Indices - MQCP713E & MQCP717E

Macquarie Dynamic Carry ex Agriculture & Livestock Index - MQCP713E - Index Manual

Macquarie Dynamic Carry ex Agriculture & Livestock 717E Index (2x USD) - MQCP717E - Index Manual

Component Dollar Weights (MQCP717U)

Macquarie Inverse Variable Beta Index - MQCP321E

Macquarie Inverse Variable Beta Index - MQCP321E - Index Manual

Component Dollar Weights (MQCP321E)

Macquarie Commodity MQCP844E Index

Macquarie BCOMRS Congestion Alpha 4x Levered Index Manual

The Macquarie Investor Product 860E

Macquarie 860E Index Manual

The Macquarie Investor Product 892E

Macquarie 892E Index Manual

Macquarie MQCP864E Commodity Curve Navigator Index

Macquarie Commodity Curve Navigator Index

Macquarie Curve Navigator version B Single Commodity Indices

Macquarie Weekly Navigator version B Single Commodity Indices

Component Dollar Weights (MQCP864E)

Macquarie Investor Product DO01

Macquarie Commodity Curve Navigator Ex Grains Index

Historical Index Levels (MQISDO01)

Component Dollar Weights (MQISDO01)

Macquarie Investor Product DO02

Macquarie Commodity Long Spread Curve Navigator ex Grains Index

Historical Index Levels (MQISDO02)

Component Dollar Weights (MQISDO02)

Macquarie Investor Product DO03

Macquarie Commodity Short Term Mean Reversion ex Grains Index

Historical Index Levels (MQISDO03)

Component Dollar Weights (MQISDO03)

Macquarie Investor Product DO04

Macquarie Commodity Defensive Value Basket Ex Grains Index

Historical Index Levels (MQISDO04)

Component Dollar Weights (MQISDO04)

Macquarie Investor Product DO05

Macquarie Capped Trend Index

Historical Index Levels (MQISDO05)

Component Dollar Weights (MQISDO05)

Macquarie Investor Product DO06

Macquarie Trend Index

Historical Index Levels (MQISDO06)

Component Dollar Weights (MQISDO06)

Macquarie Investor Product DO07

Macquarie Trend Index

Historical Index Levels (MQISDO07)

Component Dollar Weights (MQISDO07)

Macquarie Investor Product DO08

Macquarie Trend Index

Historical Index Levels (MQISDO08)

Component Dollar Weights (MQISDO08)

Macquarie Investor Product DO09

Macquarie Commodity Defensive Value Basket

Historical Index Levels (MQISDO09)

Component Dollar Weights (MQISDO09)

Macquarie Investor Product DO14

Macquarie Diversified Volatility Carry Basket

Historical Index Levels (VMAQDO14)

Component Dollar Weights (VMAQDO14)

Macquarie VMACBK2B Index

Macquarie VMACBK2B Index Manual

Component Dollar Weights (VMACBK2B)

Macquarie MQCP823E Index

Macquarie MQCP823E Index Manual

Component Dollar Weights (MQCP823E)

Macquarie 5% VT MQCP900F Index

Macquarie 5% VT MQCP900F Index Manual

Macquarie MQIS220H Index

Macquarie MQIS220H Index Manual

Macquarie MQCP439E Index

Macquarie MQCP439E Index Manual

Component Dollar Weights (MQCP439E)

Macquarie MQIS311B Index

Macquarie MQIS311B Index Description

Historical Index Levels (MQIS311B)

Actual or potential investors in products linked to the Indices can request Index Level Data by emailing CIP@macquarie.com.