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Custom Oil To Gold 6% Index (HUF – Excess Return)

Index level: 171.56 as of 14/11/2019

Main characteristics

Bloomberg Code IND1OGV6
Inception Date 04/04/2018
Return Type Excess Return
Currency HUF
Calculated By Stoxx

Objective

The Custom Oil To Gold 6% Index is a systematic, rules-based index that is designed to produce a better risk-return ratio than a hypothetical basket of tow commodities. The strategy uses quantitative signals, to be exposed to the best performing underlying among the Underlying Basket Components.
The Index is calculated and published on a daily basis by STOXX Limited  and is sponsored by Société Générale.

Mechanism

The Underlying Basket is composed of a synthetic basket of 2 commodities Indices, each replicating a systematic roll of single commodities futures:
(i) The RICI Enhanced Gold Excess Return Index
(ii) The RICI Enhanced Crude Oil Excess Return Index
The exposure of the Underlying Basket to each Underlying Basket Component is based on purely quantitative signals, and tries to capture the trends in the best performing underlying among the Gold Index and the Oil Index. On a bi-weekly basis, the strategy selects its new exposure based on the relative value of the Gold Index to the Oil Index ratio. Depending on the Trend Signal, the index will choose to fully invest in either the Gold Index or the Oil Index.


The Custom Oil To Gold 6% Index is calculated and maintained by STOXX Limited, Zurich Switzerland, specifically for SG. Index calculation and dissemination is susceptible to errors, interruptions and delays.

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