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SGI Dynamic Oil Hybrid

Index level: 108.95 as of 24/05/2017

Main characteristics

Bloomberg Code SGICDOHI
Inception Date 08/09/2015
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Dynamic Oil Hybrid Index aims to provide a dynamic exposure to the performance of Crude Oil by switching between oil related equities and oil futures depending on the Crude Oil futures term structure. 

Mechanism

The Index is composed of a basket of indices representing oil related equities (the “Equity Component”) and oil futures (the “Commodity Component”), where the weights are determined on a daily basis according to the prevailing term structure of WTI Crude Oil future price curve. If the term structure of the Crude Oil futures curve on a day is in contango, 20% of the exposure is switched to the Equity Component and if the curve is in Backwardation, 20% of the exposure is switched to Commodity Component. Consequently, five continuous days of term structure in contango will result in 100% Exposure to the Equity Component, and similarly, five continuous days of term structure in backwardation will result in 100% Exposure to the Commodity Component.


SGI Dynamic Oil Hybrid (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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