The index replicates a basket of SGI alpha indices reviewed twice a year to comply with pre-defined selection rules. It is computed on a daily basis by Standard & Poor's and can be linked to investment products offering a daily liquidity.
The components are weighted equally in the index portfolio at each rebalancing dates. The underlying indices seek to extract alpha from arbitrage strategies applied to a wide scope of asset classes: equity, volatility, Fixed Income, FX and commodity arbitrage. On the launch date SGI Global Alpha is built on six indices but this number may increase with the ongoing expansion of the SGI range.