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SGI Emerald Statistical Arbitrage

Index level: 497.32 as of 03/01/2017

Main characteristics

Bloomberg Code SGIXEM6
Inception Date 21/01/2009
Return Type Net Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

The index is composed of 10 sub indices replicating 10 Emerald Statistical Arbitrage specific strategies, with an equi-weighted allocation. The correlation between sub-indices is very low ensuring a lower volatility due to diversification. Moreover, a systematic risk control mechanism is applied to stabilize the volatility at a 6% level. The exposure to the underlying strategy is dynamically managed, and can be below or over 100%: the higher the underlying volatility, the lower the exposure.

Mechanism

The index is composed of 10 equi-weighted strategies on European stocks, divided in to 3 groups: pure quantitative or fundamental systematic analysis or artificial intelligence models. The 10 statistical arbitrage strategies are uncorrelated and managed by quantitative teams of SGCIB. Moreover, a systematic risk control mechanism is applied to stabilize the volatility at a 6% level. The exposure to the underlying strategy is dynamically managed, and can be below or over 100%: the higher the underlying volatility, the lower the exposure.

The SGI Emerald Statistical Arbitrage (EUR) (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. The annual fee and the performance fee as mentioned in the Index Rules shall benefit to any party replicating the Index, including Société Générale and any of its affiliates.
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