SGI Commodity Risk-Adjusted Dynamic Beta-Adjusted Long Index

Index level: 157.998 as of 04/10/2022

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -3.13 % -7.13 % +18.47 % +15.79 % +76.79 %
Annualized Performance +15.79 % +20.92 %
Annualized Volatility +24.47 % +24.59 % +24.66 % +23.31 % +17.92 %
Sharpe Ratio 0.68 1.17
Max Drawdown -9.75 % -19.93 % -19.93 % -19.93 % -25.70 %

The SGI Commodity Risk-Adjusted Dynamic Beta-Adjusted Long Index has been calculated since 01/11/2021.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


The SGI Commodity Risk-Adjusted Dynamic Beta-Adjusted Long Index is calculated by COMPASS FINANCIAL TECHNOLOGIES SA. COMPASS FINANCIAL TECHNOLOGIES SA uses its best efforts to ensure that the Index is calculated correctly. Not with standing its obligations towards the issuer of the product, COMPASS FINANCIAL TECHNOLOGIES SA has no obligation to point out errors in the Index to third parties including without limitation to investors and/or financial intermediaries. The calculation, the publication and the dissemination of the Index by COMPASS FINANCIAL TECHNOLOGIES SA does not constitute a recommendation by COMPASS FINANCIAL TECHNOLOGIES SA to invest capital in the product nor does it in any way represent an assurance or opinion of COMPASS FINANCIAL TECHNOLOGIES SA with regard to any investment the rein. Purchasers of the product are made aware, and accept, that index calculations are based on large quantities of data provided by third parties and are thus susceptible to errors, interruptions and delays. This may result in errors, interruptions and delays in the Index which may have impact on the product.

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Linked news

7 APR 2022
Commodity Disruption Event

The London Metals Exchange (LME) suspended trading in nickel contracts on 8 March 2022. While the exchange reopened the nickel market on 16 March, the LME introduced new daily up and down price limits. Since reopening, and as of writing, the nickel market settled at these limits for 6 days. Finally, trading activity (measured by traded volumes) across the nickel curve has fallen significantly (<45% of the 2021 average) in the days immediately following the reopening.

In light of these market conditions, and in its capacity as Index Sponsor, Societe Generale as Index Sponsor has instructed the Calculation Agent of the below indices to consider the nickel market as being exceptionally affected by a Commodity Disruption, with effect starting on 31 March 2022. As such, and in line with the SGI Global Methodology, Societe Generale has also instructed the Calculation Agent of the below indices directly affected by the Commodity Disruption Event to suspend further rolls on nickel, and where applicable, rebalancings on nickel components.

Societe Generale has determined that the nickel market will need to settle unaffected by a price limit for 4 (four) consecutive days, and for the daily volume on the 3m forward LME contract (LMNIDS03 LME Comdty) to exceed 10,000 lots for each of those days prior to lifting the Commodity Disruption Event. Should these conditions fail to materialize by 18 April 2022, Societe Generale will host a new committee to reassess the situation. 

The indices directly affected by this Commodity Disruption Event include:

-              SGCOCOC2

-              SGCOCOC5

-              SGCOCOC7

-              SGCOCOEX

-              SGCOCOIM

-              SGCOA1CE

-              SGCOS14E

-              SGCORDNI

-              SGCORBDL

-              SGCORADL

-              SGCORBXL

 

The indices indirectly affected by this Commodity Disruption Event, include, amongst others:

-              SGICCODA

-              SGCODALS

-              SGCODALX

-              SGICODA6

-              SGICODAF

-              SGICODA5

-              SGCORBD

-              SGCORAD

-              SGCORBD5

-              SGCOS19E

-              SGCORBX