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SG Alpha Liquidity x4 Strategy

Index level: Index level is not available

Main characteristics

Bloomberg Code SGCOL19E
Inception Date 02/07/2013
Return Type Excess Return
Currency USD
CALCULATED_BY Société Générale

Objective

The SG Alpha Liquidity x4 Index is a long/short systematic strategy providing a non-directional exposure on the commodities markets. The strategy relies on the outperformance of the SG Pre-Pre Rolling methodology over the relevant benchmark : the Bloomberg Commodity Index (standard roll).

Mechanism

The Index is composed of a Long Leg invested in the 1st  future contract of the SG Liquidity Index, with a pre-pre roll mechanism from Last Business Day-7 to Last Business Day and a Short Leg invested in the 1st future contract of the Bloomberg Commodity Index, the benchmark, with a classic roll time frame from 5th to 9th business day.
The SG Alpha Liquidity x4 Index is reviewed monthly and a constant leverage x4 is applied.


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