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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.
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.