You have to validate the disclaimer to access this website.

Main characteristics

Bloomberg Code SGIXDVAE
Inception Date 01/04/2010
Return Type Excess Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

The index is an equi-weighted basket of SGI alpha indices reviewed twice a year. It is computed on a daily basis by Standard & Poor's. SGI DIVA offers an access to the most advanced investment strategies designed by Société Générale Corporate & Investment Banking’s Researchers, Engineers and Traders in Equities, Credit, Interest Rates, Hedge-Funds and Commodities.SGI DIVA has been designed with the objective of maximizing the Sharpe ratio of the underlying index allocation. The investment universe is thus based on a global Multi-Asset Class scope.SGI DIVA improves the risk-return profile of the underlying basket by maintaining volatility at a low preset level of 3%. Moreover, the volatility cap set at 3% allows the SGI DIVA to eliminate extreme points in downside markets.

Mechanism

SGI DIVA is an equally weighted basket of five SGI Strategy indices :
- SGI Emerald Statistical Arbitrage (SGIXEM6)
- SGI Vol Premium Dynamic (SGIXVPD)
- SGI Smart Market Neutral Commodity (SGICVMX)
- SGI Bond Optimised Sharpe Strategy (BOSS) (SGIXBHE3)
- SGI Future Interest Rate Momentum (FIRM) (SGIXFIRM)
A volatility control mechanism is applied maintain volatility at a low preset level of 3%. This allows to improve the risk-return profile of the underlying basket and eliminate extreme points in downside markets. The index is computed on a daily basis by Standard & Poor's and reweighted twice a year.


The SGI Diversified Alpha (EUR - ER) (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.
Login to add this product to your favorites

Related indices