The main objective of the SGI Smart Market Neutral FS Index is to generate absolute returns, while taking non directional exposures in three main commodity sectors : Energy, industrial Metals and Agriculture & Livestock, and keeping the realized volatility of the index close to 6%.
The SGI Smart Market Neutral FS strategy looks for the best contract to roll (i.e. the one that generates the most interesting roll yield) through three enhanced roll methodologies:
- static roll methodology: static roll using predefined different contracts down the curve than those used by benchmark indices.
- dynamic roll methodology: roll into the contract that potentially maximizes the expected roll yield.
- seasonal roll methodology: choice of the contract to roll into depending on the seasonality effect of commodities.
An optimal roll timing is also implemented in order to ensure liquidity and mitigate market impact.
The SGI Smart Market Neutral FS Index (USD - ER) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index. The S&P GSCI Agricultural and Livestock index, the S&P GSCI Energy index, and the S&P GSCI Industrial Metals index are the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and has been licensed for use by SG in connection with the Index.