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SGI Commodities Curve Momentum Alpha

Index level: 103.88 as of 10/19/2017

Main characteristics

Bloomberg code SGICCMVT
Inception date 05/10/2011
Return type Excess Return
Currency USD

Objective

The SGI Commodities Curve Momentum Alpha Index (the Index or SGI CCMA Index) began publishing on May 10, 2011 and aims to track a systematic long/short strategy, based on quantitative signals (roll yield and momentum) which aim to extract value from typical commodity market features.

Mechanism

The Index is designed to provide exposure to commodities and to capture the roll spread by going long commodities with a positive roll yield (i.e. backwardated curve) and shorting commodities with a negative roll yield (i.e. contangoed curve) using underlying futures indices. Accordingly, the main driver of the strategy seeks to extract yield from thenatural carry of commodities forward prices. In addition, the Index strategy embeds a price filter aiming to benefit from any price acceleration which may contradict the curve signal. For each commodity, price filter activation aims to neutralize the weight allocation for such commodity based on any perceived price acceleration. Further, the Index adjusts its exposure to the underlying SGI Commodities Long/Short strategy via a volatility target mechanism in order to maintain volatility as close as possible to the volatility target of 6%.


The SGI Commodities Curve Momentum Alpha Index began publishing on May 10, 2011. Therefore, all data for the Index for the period prior to May 10, 2011 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to May 10, 2011 consistent with the Index methodology. Results prior to May 10, 2011 may have been different had the Index actually been in existence. The SGI Commodities Curve Momentum Alpha 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 maintain and 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 Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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