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SGI Alpha Return - January 2011

Index level: 1002.79 as of 30/05/2012

Main characteristics

Bloomberg Code SGIXARJ1
Inception Date 03/01/2011
Return Type Total Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

The SGI Alpha Return Index is an alternative to money market investments, aiming at outperforming the EONIA rate while locking annually the principal and past years performances. The performance of the Index is driven by an exposure to the SGI Diva Index, which consists of a diversified basket of the most innovative alpha generating strategies designed by the Research, Engineering and Trading teams of Société Générale.

Mechanism

The investment process of the SGI Alpha Return relies on two main components:- A participation to a cross-asset performance chasing strategy, the SGI DIVA strategy:        - SGI DIVA provides exposure to an equi-weighted basket of five selected SGI sub-indices designed to extract alpha from various asset classes: Equity, Equity Volatility, Commodities and Interest Rates.         - SGI DIVA volatility is maintained near a target level of 3% through a systematic risk monitoring mechanism.- An embedded protection of capital and annual past performances: The SGI Alpha Return includes a protection against a drop in its value from an anniversary date to another.

The SGI Alpha Return - January 2011 (EUR - 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.
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