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Bloomberg code | SGICVM2 |
---|---|
Inception date | 04/19/2012 |
Return type | Excess Return |
Currency | USD |
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.
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%.