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Main characteristics

Bloomberg Code SGCOL38E
Inception Date 03/02/2014
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The SG Liquidity D0 Index tracks the performance of a selection of commodity futures.

Mechanism

The Index invests in static F0* commodity futures for all commodities.

(* according to the Bloomberg Commodity Index Contract Calendar)

The index implements a pre pre roll feature to anticipate the benchmark rolls: it rolls during the eight last business days of each month excluding December.

Weights allocation changes during the January roll period by using the new Benchmark Commodity Index’s weights (BCOM weights).


The SG Liquidity D0 Index (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.

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