The SGI Gold To Oil Index (the “Index”), displayed on the Bloomberg page “SGICGTOV ”, is designed to produce a better risk-return ratio than a basket of commodities (the “Underlying Basket”). The Underlying Basket is investing in 2 underlying indices, the SGI Gold Static Roll Index (the “Gold Index”) and the SGI Brent Crude Oil Static Roll Index (the “Oil Index”), pursuant to a systematic long-only strategy.
The strategy uses purely quantitative signals, and tries to capture the trends in the best performing underlying among the Gold Index and the Oil Index. On a weekly basis, the strategy selects its new exposure based on the relative value of the Gold Index to the Oil Index (the “GTO Ratio”). Depending on the GTO Ratio, the index will choose to fully invest in either the Gold Index or the Oil Index.
The Index is then constructed pursuant to a systematic process used to optimize, under certain circumstances, the exposure to the Underlying Basket while keeping the risk level of the Index, measured by the historical volatility of the Index, close to a pre-defined target level. The exposure to the Underlying Basket is bounded between a minimum of 0% and a maximum of 100% of the level of the Index.