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SGI Smart Market Neutral Commodity 2 Index

Index level: 131.74 as of 12/05/2019

Main characteristics

Bloomberg code SGICVM2
Inception date 04/19/2012
Return type Excess Return
Currency USD

Objective

The SGI Smart Market Neutral Commodity 2 Index (the Index) began publishing on April 19, 2012 and aims at generating positive returns over the medium term by taking non-directional positions on 3 commodity sectors: energy, industrial metals and agriculture, while aiming to maintain the level of volatility of such Index at or close to a predetermined level.

Mechanism

The Index follows a long/short, market-neutral investment strategy, which tracks a hypothetical long position and a hypothetical short position in various commodity indices. The Index seeks to, through replication, take advantage of potential inefficiencies in the rolling mechanism used by the more traditional commodity indices, in which the Index takes a short position. This rolling mechanism may impact the performance of the Index. The strategy underlying the Index applies several systematic rolling mechanisms developed by Société Générale to various underlying hypothetical commodity positions, with the aim of improving the roll yield and therefore the performance of the Index. At the same time, the Index applies a systematic Volatility Target Mechanism, which aims to keep the realized volatility of the Index close to the pre-determined target volatility level of 6%.

The SGI Smart Market Neutral Commodity 2 Index (USD - Excess Return) began publishing on April 19, 2012. Therefore, all data for the Index for the period prior to April 19, 2012 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to April 19, 2012 consistent with the Index methodology. Results prior to April 19, 2012 may have been different had the Index actually been in existence. The SGI Smart Market Neutral Commodity 2 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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