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SGI Diversified Alpha 2

Index level: 117.22 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXDVU2
Inception Date 01/04/2011
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

SGI DIVA 2 is a 100% quantitative index based on the most advanced strategies offered in the Société Générale's range of proprietary indices. The index provides a diversified exposure to various alpha generating models designed by the Research, Engineering and Trading teams of Société Générale. 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.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 2 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 2 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 2 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 2 to eliminate extreme points in downside markets.

Mechanism

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.


The SGI Diversified Alpha 2 (USD - Excess Return) (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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