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SGI Commodity Dynamic Curve Carry

Index level: 79.51 as of 15/07/2019

Main characteristics

Bloomberg Code SGCOCOC2
Inception Date 15/06/2018
Return Type Excess Return
Currency USD
Calculated By Compass

Objective

The Index aims to replicate a long position using a smart roll methodology on a daily basis, looking for the best contract to roll (i.e. the one that generates the highest expected carry).

Mechanism

The Index is composed of a hypothetical basket of commodity futures contracts where the specific futures contracts are determined on a daily basis. The composition and allocation of the Underlying Basket is systematically adjusted on a daily basis according to a proprietary model developed by Société Générale. The algorithm selects the futures contract with the highest expected return for each commodity.


The SGI Commodity Dynamic Curve Carry Index is calculated by COMPASS FINANCIAL TECHNOLOGIES SA. COMPASS FINANCIAL TECHNOLOGIES SA uses its best efforts to ensure that the Index is calculated correctly. Notwithstanding 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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