The SGI Smart Alpha WTI 3 Index aims to capture the outperformance of the SGI Smart WTI Long ER Index over its benchmark the S&P GSCI Crude Oil ER Index using long and short positions and applying a volatility control mechanism.
The SGI Smart Alpha WTI 3 aims to generate returns from a long position on SGI smart WTI long ER index and a short position on S&P GSCI Crude Oil ER Index. The strategy also uses a filter to reduce the potential impact of massive prices swings and a volatility control mechanism. SGI Smart Alpha WTI 3 can roll over 12 possible future contracts when there is sufficient liquidity in the crude oil market. Every month, a Proprietary Algorithm selects, among a predefined Universe, the Optimum Future Contract on which the index is going to roll, depending on price and maturity.The Optimum Future Contract generates the lowest negative or highest positive roll yield depending on market conditions.