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SGI Custom Dynamic Funds Allocation Index

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Main characteristics

Bloomberg Code SGMDCDFA
Inception Date 14/02/2020
Return Type Total Return
Currency EUR
Calculated By Stoxx

Objective

The SGI Custom Dynamic Funds Allocation Index, aims to provide the performance of a dynamic multi-asset basket of mutual funds with a volatility control mechanism.
The Index is calculated and published by Stoxx Limited, Zurich, Switzerland and is sponsored by Société Générale.

Mechanism

The Index is composed of a hypothetical basket of an Equity Fund and a Bond Fund, where the weightings are systematically determined on a daily basis to limit the risk associated with the Index under a certain limit.

The Index is constructed pursuant to a daily volatility target process where the Equity Fund and Bond Fund weights are computed such that the volatility of the Equity-Bond Basket is controlled, based on a formula using the following input parameters:
(i) the short-term historical volatility of both the Equity and the Bond Funds;

(ii) the short-term covariance between the Equity and the Bond Funds;

(iii) a target volatility of 6%
so that, in most cases:

- when the short-term historical volatility of the Equity Fund exceeds 6%, the Equity Fund weight will generally be less than 100% (subject to a minimum Exposure of 0%).

- when the short-term historical volatility of the Equity Fund falls below 6%, the Equity Fund weight will generally be greater than 100% (subject to a maximum leveraged Exposure of 150%).

- the short-term historical volatility of the Basket equals the target volatility level.


The SGI Custom Dynamic Funds Allocation Index is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG.

The SGI Custom Dynamic Funds Allocation Index (the “Index”) has been developed by, and is proprietary to, Société Générale (“SG”) and no third party shall have any proprietary interest herein except as may be expressly granted by SG. STOXX Limited acknowledges that the ownership and all intellectual property rights in respect of the name of the Index (and index rules such as, but not limited to, calculation methods) are and shall remain the exclusive property of SG.


SG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND SHALL HAVE NO LIABILITY FOR ANY ERROR OR OMISSION THEREIN AND/OR ANY INTERRUPTION IN THE CALCULATION AND/OR DISSEMINATION THEREOF. SG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX RULES OR ANY DATA INCLUDED THEREIN. SG MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THESE INDEX RULES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL SG HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES OR LOST PROFITS, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES

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