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SGI Commodity Trend Following Index

Index level: 655.06 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXTFCY
Inception Date 31/10/2016
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Commodity Trend Following Index utilizes a systematic, rules-based trend-following strategy to provide dynamic exposure to a basket of commodity indices.

Mechanism

The Index utilizes absolute momentum signals to dynamically allocate across a range of 21 equally-weighted commodity indices. The absolute momentum is a pure trend-following strategy which consists to be long on positive past performing assets and short on negative performing assets based on 4 signals allowing diversification of the signal to limit the risk of overfitting. The exposure to the basket is adjusted on a monthly basis, so that the long term realized volatility of the SGI Commodity Trend Following Index is close to a volatility target of 10%.


The SGI Commodity Trend Following 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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.