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SGI SMART ALPHA WTI 3 Index

Index level: 111.59 as of 22/05/2017

Main characteristics

Bloomberg Code SGICSCL3
Inception Date 09/02/2015
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

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.

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.


The SGI Smart Alpha WTI 3  (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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