Quantitative Investment Strategies

QIS Index Documentation

General information

IOSCO Principles – Statement of Compliance: Macquarie Bank Limited

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Macquarie Proprietary Indices - Risk Factors

PDF 461 KB

Macquarie Index Calculation Holidays

CSV 1 KB

 

Index data

Historical Index Levels (MABC Index MQCP430F)

XLS 93 KB

Historical Index Levels (MQCP530E)

XLS 57 KB

Historical Index Levels (MQCP536E)

XLS 57 KB

Historical Index Levels (MQCP598E)

XLS 65 KB

Historical Index Levels (MQCP614E)

XLS 64 KB

Target Weights

XLSX 6 KB

 

Macquarie VMAQDSPG Index

Historical Index Levels (VMAQDSPG)

XLSX 51 KB

 

The Macquarie Commodity Index - MQCP708E

Component Dollar Weights (MQCP708E)

CSV 5 KB

 

The Macquarie Commodity Index - MQCP855

Component Dollar Weights (MQCP855E)

CSV 21 KB

Historical Index Levels (MQCP855E)

XLS 64 KB

Historical Index Levels (MQCP855U)

XLS 64 KB

 

The Macquarie MQCP711E Index

Component Dollar Weights (MQCP711E)

CSV 6 KB

 

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

Component Dollar Weights (MQCP829E)

CSV 2 KB

Historical Index Levels (MQCP829E)

XLS 63 KB

 

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

Component Dollar Weights (MQCP838E)

CSV 2 KB

Historical Index Levels (MQCP838E)

XLS 63 KB

 

The Macquarie Daily Convexity Alpha ex Ags and Lv - MQCP807E

Component Dollar Weights (MQCP807E)

CSV 14 KB

Historical Index Levels (MQCP807E)

XLS 63 KB

 

The Macquarie MQCP845E Vol Matched Spreads Curve Carry Index

Component Dollar Weights (MQCP845E)

CSV 3 KB

 

The Macquarie MQCP846E Vol Matched Spreads Curve Carry Index

Component Dollar Weights (MQCP846E)

CSV 5 KB

 

The Macquarie Baskets MQCPC indices

MQCPCENE Weights

CSV 767 KB

MQCPCAGE Weights

CSV 1 MB

MQCPCPRE Weights

CSV 332 KB

MQCPCINE Weights

CSV 583 KB

 

The Macquarie Building Block Indices

Building Block Dollar Weights

XLS 28 KB

Historical Index Levels (Building Block)

CSV 7 MB

Diversified Heavy & Ex-Sector Building Block Dollar Weights

CSV 125 KB

 

The Macquarie Trend Following Alpha F3 2.5x Index – MQCP536E

Component Dollar Weights (MQCP536E)

CSV 369 KB

 

The Macquarie Investor Product 575

Component Dollar Weights (MQCP575E)

CSV 1 KB

Component Dollar Weights (MQCP252E)

CSV 703 bytes

 

The Macquarie Dynamic Pre-Post Roll Congestion Indices

Component Dollar Weights (MQCP170E)

CSV 3 MB

Component Dollar Weights (MQCP510E)

CSV 3 KB

Component Dollar Weights (MQCP561E)

CSV 3 KB

 

Macquarie Index Announcements

Macquarie Index Announcement 02 October 2017

PDF 251 KB

 

The Macquarie Trend Following Alpha Index - MQCP514E

Component Dollar Weights (MQCP514E)

CSV 5 KB

 

The Macquarie Dynamic Carry Alpha Index - MQCP710E

Component Dollar Weights (MQCP710E)

CSV 5 KB

 

The Macquarie Backwardation Alpha Index - MQCP565E

Component Dollar Weights (MQCP565E)

CSV 2 KB

 

The Macquarie MQCC112T Index

Component Dollar Weights (MQCC112T)

CSV 1 MB

 

The Macquarie Investor Product 625

Component Dollar Weights (MQCP625E)

CSV 1 KB

 

The Macquarie Investor Product 626

Component Dollar Weights (MQCP626E)

CSV 1 KB

 

The Macquarie Investor Product 500E

Component Dollar Weights (MQCP500E)

CSV 3 KB

 

The Macquarie Backwardation vs Contango Index – MQCP725E

Component Dollar Weights (MQCP725E)

CSV 1 KB

Component Dollar Weights (MQCP845E)

CSV 3 KB

 

The Macquarie F6 Equal Weights Backwardation Beta Index - MQCP300E

Component Dollar Weights (MQCP300E)

CSV 1 KB

 

The Macquarie Roll Yield Enhanced Beta Index - MQCP312E

Component Dollar Weights (MQCP312E)

CSV 239 KB

Historical Index Levels (MQCP312E)

XLS 65 KB

The Macquarie Carry Index MQCP614E

Component Dollar Weights (MQCP614E)

CSV 405 KB

 

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

Component Dollar Weights (MQCP717U)

CSV 457 bytes

 

Macquarie Inverse Variable Beta Index - MQCP321E

Component Dollar Weights (MQCP321E)

CSV 2 KB

 

Macquarie MQCP864E Commodity Curve Navigator Index

Component Dollar Weights (MQCP864E)

CSV 5 bytes

 

Macquarie Investor Product DO01

Historical Index Levels (MQISDO01)

XLS 63 KB

Component Dollar Weights (MQISDO01)

CSV 28 KB

 

Macquarie Investor Product DO02

Historical Index Levels (MQISDO02)

XLS 63 KB

Component Dollar Weights (MQISDO02)

CSV 12 KB

 

Macquarie Investor Product DO03

Historical Index Levels (MQISDO03)

XLS 64 KB

Component Dollar Weights (MQISDO03)

CSV 3 KB

 

Macquarie Investor Product DO04

Historical Index Levels (MQISDO04)

XLS 64 KB

Component Dollar Weights (MQISDO04)

CSV 7 KB

 

Macquarie Investor Product DO05

Historical Index Levels (MQISDO05)

XLS 66 KB

Component Dollar Weights (MQISDO05)

CSV 1 KB

 

Macquarie Investor Product DO06

Historical Index Levels (MQISDO06)

XLS 67 KB

Component Dollar Weights (MQISDO06)

CSV 5 KB

 

Macquarie Investor Product DO07

Historical Index Levels (MQISDO07)

XLS 65 KB

Component Dollar Weights (MQISDO07)

CSV 2 KB

 

Macquarie Investor Product DO08

Historical Index Levels (MQISDO08)

XLS 64 KB

Component Dollar Weights (MQISDO08)

CSV 441 bytes

 

Macquarie Investor Product DO09

Historical Index Levels (MQISDO09)

XLS 64 KB

Component Dollar Weights (MQISDO09)

CSV 7 KB

 

Macquarie Investor Product DO14

Historical Index Levels (VMAQDO14)

XLS 65 KB

Component Dollar Weights (VMAQDO14)

CSV 6 KB

 

Macquarie VMACBK2B Index

Component Dollar Weights (VMACBK2B)

CSV 4 KB

 

Macquarie MQCP823E Index

Component Dollar Weights (MQCP823E)

CSV 4 KB

 

Macquarie MQCP439E Index

Component Dollar Weights (MQCP439E)

CSV 81 KB

 

Macquarie MQIS311B Index

Macquarie MQIS311B Index Description

PDF 230 KB

Historical Index Levels (MQIS311B)

XLS 52 KB

 

Macquarie MQCPF7 Index

Historical Index Levels (MQCPF7)

XLS 65 KB

 

Macquarie MQIS315 Index

Macquarie MQIS315 Index Description

PDF 289 KB

Historical Index Levels (MQIS315)

XLS 52 KB

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