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SGI Credit Compression NA Index

Index level: 134.36 as of 13/12/2018

Main characteristics

Bloomberg Code SGIXCCMU
Inception Date 22/01/2018
Return Type Excess Return
Currency USD
Calculated By Markit

Objective

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.

Mechanism

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 weight of the High Yield Index is reset at 200%,
  • The weight of the Investment Grade Index is reset at -200% times beta, subject to a maximum weight of 900% and a smoothed rebalancing execution with a daily cap at 40%.

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 .

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