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SGI Commodities Curve Momentum Long Vol Target Index

Index level: Index level is not available

Main characteristics

Bloomberg Code SGICCLMV
Inception Date 10/05/2011
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Commodities Curve Momentum Long Vol Target Index (the “Index”) aims to generate returns from investing in a set of single commodities underlying indices, through a systematic long only strategy based on pure quantitative signals.

Mechanism

The Index's strategy ranks commodities according to a technical trend indicator based on the shape of the futures curve: the larger the backwardation the greater the weight in the index. The index tends to assign a higher weight to the commodities being the most in backwardation, and a lower weight to the commodities being the least in backwardation, with the weights summing to 100%.
The strategy also uses a filter to reduce the potential impact of massive prices swings and a volatility control mechanism.


The SGI Commodities Curve Momentum Long Vol Target 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.