The SGI Commodities Curve Momentum Alpha Index (the Index or SGI CCMA Index) began publishing on May 10, 2011 and aims to track a systematic long/short strategy, based on quantitative signals (roll yield and momentum) which aim to extract value from typical commodity market features.
The Index is designed to provide exposure to commodities and to capture the roll spread by going long commodities with a positive roll yield (i.e. backwardated curve) and shorting commodities with a negative roll yield (i.e. contangoed curve) using underlying futures indices. Accordingly, the main driver of the strategy seeks to extract yield from thenatural carry of commodities forward prices. In addition, the Index strategy embeds a price filter aiming to benefit from any price acceleration which may contradict the curve signal. For each commodity, price filter activation aims to neutralize the weight allocation for such commodity based on any perceived price acceleration. Further, the Index adjusts its exposure to the underlying SGI Commodities Long/Short strategy via a volatility target mechanism in order to maintain volatility as close as possible to the volatility target of 6%.