GroupMarketSymbolLiquid I. [7×3]Liquid II. [7×3]Small [7×2]
CurrenciesAUD/USDAD   
CurrenciesCAD/USDCD   
CurrenciesCHF/USDSF   
CurrenciesEUR/USDEC+++
CurrenciesGBP/USDBP++ 
CurrenciesJPY/USDJY+++
CurrenciesMXN/USDMP   
CurrenciesU.S. Dollar IndexDX   
EnergyCrude Oil, LightCL+++
EnergyGasoline RBOBRB + 
EnergyHeating OilHO++ 
EnergyNatural Gas, HHNG+ +
Grains & OilseedsCornC+++
Grains & OilseedsOatsO   
Grains & OilseedsRough RiceRR   
Grains & OilseedsSoybeansS+++
Grains & OilseedsSoybean MealSM   
Grains & OilseedsSoybean OilBO   
Grains & OilseedsWheatW++ 
Stock IndexesDow JonesYM + 
Stock IndexesNasdaq-100NQ++ 
Stock IndexesNikkei 225 (Dollar)NK+ +
Stock IndexesS&P 500SP+++
Stock IndexesS&P MidCap 400MD   
Interest Rates2-Year T-NoteTU   
Interest Rates5-Year T-NoteFV+++
Interest Rates10-Year T-NoteTY+++
Interest Rates30-Year T-BondUS+  
Interest RatesEurodollarED + 
LivestockFeeder CattleFC   
LivestockLean HogsLH   
LivestockLive CattleLC   
MetalsGoldGC+++
MetalsHigh Grade CopperHG+++
MetalsPalladiumPA   
MetalsPlatinumPL   
MetalsSilverSI++ 
SoftsCocoaCC   
SoftsCoffeeKC+++
SoftsCotton No. 2CT+++
SoftsOrange Juice (FCOJ-A)OJ   
SoftsSugar No. 11 (World)SB++ 
WoodsLumber, Random LengthLB   
Number of Markets 43212114

Figure 1 | Portfolio Structure (7 Groups).