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The SGI Bond Optimised Sharpe Strategy (“BOSS”) EUR 3% Hedged is a systematic index seeking to generate regular performance over short term money market under predefined risk constraints.
The Index reflects the performance of a portfolio invested in money market instruments and long/short positions in SGI Bond indices.
The allocation is determined according to a proprietary quantitative trading model developed by the Fixed Income Derivatives teams of Société Générale Corporate & Investment Banking.
The BOSS model’s investment process can be described as follows:
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 maturity bonds
- 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.
Adapted to clients seeking for pure rate strategy and/or requiring simple underlying to face investment policy constraints.