SGI DIVA 2 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 2 is particularly well-suited to portable alpha strategies given its risk/return profile and its limited sensitivity to long-only strategies.
SGI DIVA 2 is an equally weighted basket of five SGI Strategy indices :
- SGI Emerald Statistical Arbitrage (SGIXEM6)
- SGI Vol Premium Dynamic 2 (SGIXVPD2)
- SGI Smart Market Neutral Commodity (SGICVMX)
- SGI Bond Optimised Sharpe Strategy (BOSS) (SGIXBHE3)
- SGI Future Interest Rate Momentum EUR 2 (FIRM EUR 2) (SGIXFMEU)
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.