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Main characteristics

Bloomberg Code SGIXAB
Inception Date 04/04/2007
Return Type Total Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The SGI Alternative Beta Index (the Index) attempts to track the performance of the hedge fund industry as a whole and is designed for strategies that seek to take a long position in this market segment. To achieve this objective, the Index uses an algorithmic model which is designed to replicate the performance of a hedge fund industry benchmark (for example, a hedge fund index) through hypothetical investment in a range of underlying assets. The Index is not a managed hedge fund or similar vehicle.

Mechanism

The Index uses an algorithm which compares a proxy for the investable portion of the hedge fund industry (the Target Index Benchmark) to a list of market and notional indices (each, a Component) and determines the target exposure of the Index to each Component in an attempt to replicate, on a monthly basis, the Target Index Benchmark. The list of Components and their target exposures are reviewed monthly by an Index Committee consisting of 2 members from Société Générale and 1 member from Standard & Poor's, as Index Calculation Agents (the Index Committee) in accordance with a predefined process. The exposure of the Index to the Components is adjusted in accordance with a dynamic exposure policy designed to keep volatility as close to 6%. The universe of Target Index Benchmarks and Components is subject to change by the Index Committee.


The SGI Alternative Beta (USD - TR) (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 500® Total Return index and S&P BRIC 40SM 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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