The SGI Bond Optimised Sharpe Strategy (“BOSS”) is an innovative index reflecting the evolution of an international optimised bond strategy based on a proprietary quantitative trading model developed by the Fixed Income Derivatives teams of Société Générale Corporate & Investment Banking. The model seeks to deliver an excess return over traditional bond strategies under predefined risk limitation constraints.
Implementation of 2 systematic strategies subject to
strong risk limits:
- Intra-curve asset allocation,
- Multicurrency investments.
Allocation to the universe of the SGI Bond indices:
- SGI Bond is a range of investable Fixed Income
indices providing a synthetic exposure to constant
- Each index replicates an investment in a single
currency note with a fixed maturity ,
- Fixed maturity is obtained by replicating the
performance of a monthly rolled bond investment.
Strategy aiming at generating Alpha from
diversification between bonds and foreign exchange