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SG Seasonal Factor Commodity MKR VT6 Index

Index level: 85.52 as of 20/07/2017

Main characteristics

Bloomberg Code SGCOM61E
Inception Date 04/03/2015
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SG Seasonal Factor Commodity MKR VT6 Index tracks the performance of a systematic long strategy entirely driven by the seasonality of commodity fundamentals and based on positions made up of Basket Components.

Mechanism

The Index is composed of a hypothetical basket of indices where the weightings are determined on a monthly basis in accordance with a proprietary model developed by the Index Sponsor. In order to keep the risks associated with the Index under a certain limit, the Index also includes a volatility control mechanism, where the exposure of the Index to such Underlying Basket varies on a daily basis in accordance with input parameters (target volatility of 6%, exposure varies between 0% and 150%).


SG Seasonal Factor Commodity MKR VT6 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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by [SG].  Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.
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