Main characteristics
| Bloomberg Code | SGICGTOV |
|---|---|
| Inception Date | 25/05/2012 |
| Return Type | Excess Return |
| Currency | USD |
| Calculated By |
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Objective
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.
Mechanism
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.
The SGI Gold To Oil Index (USD - ER) (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.