The SGI Credit Compression NA Index aims to provide an exposure to the performance of a credit compression strategy on North American credit underlyings. The Index is constructed to capture the risk premium between North American High-Yield and Investment-Grade credit markets.
The index is long on CDX NA HY 5-year CDS (High-Yield) and short on CDX NA IG 5-years CDS (Investment-Grade). To target 1st order market neutrality, the short position is adjusted by a dynamic beta, computed from a 3-month linear regression between the High Yield and the Investment Grade indices. Every month, the following rebalancing process is performed:
The SGI Credit Compression NA Index is administered and calculated by Markit. For more information, see www.markit.com.
Markit makes no representation and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to SGI Credit Compression NA Index or any data included therein, or any data from which it is based or as to results to be obtained from the use of the SGI Credit Compression NA Index . Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by Societe Generale or third parties and that seeks to provide an investment return based on the returns of the SGI Credit Compression NA Index .