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SG Vontobel Seasonal Carry Index

Index level: 103.56 as of 16/02/2018

Main characteristics

Bloomberg Code SGIXV60E
Inception Date 02/10/2017
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SG Vontobel Seasonal Carry Index tracks the performance of a systematic long/short strategy based on positions made up of Société Générale Seasonal Carry S  (a long-only index invested in 8 S&P Commodities  indices) and the Société Générale Seasonal Carry L (a long only index invested in 4 S&P commodities indices). The Index takes a long position on the Société Générale Seasonal Carry L Index and a short position on the Société Générale Seasonal Carry S Index. 

Mechanism

The SG Vontobel Seasonal Carry Index is invested on a basket of commodities through Société Générale Seasonal Carry S and the Société Générale Seasonal Carry L. The composition and allocation of the Index is systematically adjusted on a monthly basis, on the fifteenth calculation date of the month. 


The SG Vontobel Seasonal Carry 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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