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Caractéristiques principales

Code Bloomberg SGCOS33E
Date de lancement 03/01/2017
Type de rendement Excess Return
Devise USD
Calculé par Société Générale

Objectif

The SG Seasonal Carry L aims to generate returns from investing in a selection of commodity single indices.

The index is diversified across Energy, Agriculture and Livestock.

Mécanisme

The Index takes advantage of the concavity in the forward curve by rolling long positions further out in the forward curve. The index implements a static weight allocation for each single index, and rebalances on a quarterly basis.


Warning regarding the Index: The Index is the sole and exclusive property of Societe Generale. Societe Generale does not guarantee the accuracy and/or the completeness of the composition, calculation, dissemination and adjustment of the Index, nor of the data included therein. Subject to any applicable law, Societe Generale shall have no liability for any errors, omissions, interruptions or delays relating to the Index. Societe Generale makes no warranty, whether express or implied, relating to (i) the merchantability or fitness for a particular purpose of the Index, and (ii) the results of the use of the Index or any data included therein. Subject to any applicable law, Societe Generale shall have no liability for any losses, damages, costs or expenses (including loss of profits) arising, directly or indirectly, from the use of the Index or any data included therein.

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