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SGI Diversified Alpha

Index level: 118.21 as of 12/12/2017

Main characteristics

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

Objective

SGI DIVA is a ruled based index based on some the most advanced strategies offered in the SGI range. These strategies, selected for their performance and low inter-correlation, have been designed by Société Générale Corporate & Investment Banking’s Researchers and Engineers. They cover the following asset classes : Equities, Equity Volatility, Interest Rates and Commodities. The objective of the index is to deliver a stable performance and a limited correlation with traditional asset classes while keeping volatility at a pre-defined level. SGI DIVA is particularly well-suited to portable alpha strategies given its risk/return profile and its limited sensitivity to long-only strategies.

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 (USD-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.
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