|Return type||Excess Return|
The SGI Smart Market Neutral Commodity Index (the Index or SGI SMNC Index) began publishing on July 24, 2009 and aims at generating positive returns over the medium term by taking non directional positions on 3 commodity sectors: energy, industrial metals and agriculture.
The Index is based on a proprietary model developed by Société Générale. Through the underlying commodity indices, the Index follows a long/short, market-neutral investment strategy which tracks a deemed long position and a deemed short position in various commodity indices.
The strategy reflected in the Index is designed to take advantage of potential inefficiencies in the rolling mechanism used by commodity indices in which the Index takes a short position. This rolling mechanism may impact the performance of the index. The indices in which the Index takes a long position use several rolling mechanisms developed by Société Générale, which aim at improving the roll yield and therefore the performance of the Index. At the same time, the Index seeks to stabilize the potential returns by attempting to control the volatility of the Index near to a 6% target by applying the Volatility Target Mechanism.