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SGI Smart Market Neutral Commodity Index

Index level: 163.43 as of 04/08/2020

Main characteristics

Bloomberg code SGICVMX
Inception date 07/24/2009
Return type Excess Return
Currency USD

Objective

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.

Mechanism

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.

The SGI Smart Market Neutral Commodity Index (USD - Excess Return) began publishing on July 24, 2009. Therefore, all data for the Index for the period prior to July 24, 2009 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to July 24, 2009 consistent with the Index methodology. Results prior to July 24, 2009 may have been different had the Index actually been in existence. The SGI Smart Market Neutral Commodity 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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