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SGI Alpha Top 8 Back Contango FS

Index level: 142.81 as of 18/09/2019

Main characteristics

Bloomberg Code SGCOS68E
Inception Date 25/06/2018
Return Type Excess Return
Currency USD
Calculated By Compass

Objective

The SGI Alpha Top 8 Back Contango FS Index aims to generate absolute returns in commodities, through a systematic long/short strategy based on pure quantitative curve signal, which aims to extract value from typical commodity market features.

Mechanism

The Index is invested in SGI single commodity indices that are based on rolling futures contracts, which optimises the roll methodology using a static curve spread enhancement. The index is a Long/Short strategy based on a curve signal.  The Curve Signal uses the shape of the futures curve, the difference in price between the 1-year futures and the first nearby contract of each commodity, as a criterion to rank the 22 commodities in order from those most backwardated to those most contangoed.  The Strategy is long the 8 most backwardated (or least in contango) commodities and short the 8 most in contango (or least in backwardation).  The weights are equally distributed between the 8 most backwardated (+50%) and the 8 most in contango (-50%). The portfolio is rebalanced on a monthly basis.


The SGI Alpha Top 8 Back Contango FS is calculated by COMPASS FINANCIAL TECHNOLOGIES SA. COMPASS FINANCIAL TECHNOLOGIES SA uses its best efforts to ensure that the Index is calculated correctly. Not with standing 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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