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Main characteristics

Bloomberg Code SGICVMX
Inception Date 24/07/2009
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Smart Market Neutral Commodity methodology looks for the best contract to roll (i.e. the one that generates the most interesting roll yield). The methodology takes into account the seasonality effect on identified underlying commodities for its rolling strategy. The roll of the SG dynamic methodology follows an optimized roll timing in order to ensure liquidity and mitigates market impact.

Mechanism

The SGI Smart Market Neutral Commodity methodology looks for the best contract to roll (i.e. the one that generates the most interesting roll yield). The methodology takes into account the seasonality effect on identified underlying commodities for its rolling strategy. The roll of the SG dynamic methodology follows an optimized roll timing in order to ensure liquidity and mitigates market impact.

The SGI Smart Market Neutral Commodity 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. The S&P GSCI Agricultural and Livestock index, the S&P GSCI Energy index, and the S&P GSCI Industrial Metals index are the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and has been licensed for use by SG in connection with the Index.
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