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Main characteristics

Bloomberg Code SGIXMU13
Inception Date 02/08/2013
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

SGI MUSE 2013 is a systematic index providing a diversified exposure to various alpha generating models within Société Générale's range of proprietary indices. The Index aims to deliver a stable performance and a limited correlation with traditional asset classes, while keeping volatility at a pre-defined level. SGI MUSE 2013 is particularly well-suited for investors seeking portable alpha strategies, given its attractive risk/return profile and its limited sensitivity to long-only strategies.

Mechanism

SGI MUSE 2013 is composed of 5 asset classes: Equities, FX, Volatility, Interest Rates and Commodities. Each of the 5 asset classes is allocated 20% of the global risk budget. Within each asset class, the risk budget is determined by means of a daily stress test on the underlying strategies.

A volatility control mechanism is applied to maintain volatility at a predefined level of 3%.  This allows to improve the risk-return profile of the underlying basket and eliminate extreme points in downside markets.


The SGI MUSE 2013 Index (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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