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SG Carry F3-F0 Index

Index level: 100.94 as of 16/11/2018

Main characteristics

Bloomberg Code SGIXV58E
Inception Date 02/10/2017
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones

Objective

The SG Carry F3-F0 Index tracks the performance of a systematic long/short strategy based on positions made up 2 Bloomberg Commodities indices. The Index takes a long position on the Bloomberg Commodity 3 Month Forward Index and a short position on the Bloomberg Commodity Index.

Mechanism

The SG Carry F3-F0 Index is invested on a basket of commodities through Bloomberg Commodity and the Bloomberg Commodity 3 Month Forward indices. The composition and allocation of the Index is systematically adjusted on a monthly basis, on the fifteenth calculation date of the month. 


The SG Carry F3-F0 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.

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