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SGI Alternative Beta

Index level: 1156.18 as of 05/29/2020

Main characteristics

Bloomberg code SGIXAB
Inception date 04/04/2007
Return type Total Return
Currency USD

Objective

The SGI Alternative Beta Index (the Index) attempts to track the performance of the hedge fund industry as a whole and is designed for strategies that seek to take a long position in this market segment. To achieve this objective, the Index uses an algorithmic model which is designed to replicate the performance of a hedge fund industry benchmark (for example, a hedge fund index) through hypothetical investment in a range of underlying assets. The Index is not a managed hedge fund or similar vehicle.

Mechanism

The Index uses an algorithm which compares a proxy for the investable portion of the hedge fund industry (the Target Index Benchmark) to a list of market and notional indices (each, a Component) and determines the target exposure of the Index to each Component in an attempt to replicate, on a monthly basis, the Target Index Benchmark. The list of Components and their target exposures are reviewed monthly by an Index Committee consisting of 2 members from Société Générale and 1 member from Standard & Poor's, as Index Calculation Agents (the Index Committee) in accordance with a predefined process. The exposure of the Index to the Components is adjusted in accordance with a dynamic exposure policy designed to keep volatility as close to 6%. The universe of Target Index Benchmarks and Components is subject to change by the Index Committee.

The SGI Alternative Beta Index began publishing on April 4, 2007. Therefore, all data for the Index for the period prior to April 4, 2007 represent Standard & Poor’s ("S&P's") application of the Index methodology in order to reconstruct hypothetical historic data. This hypothetical data is based on the assumption that the Target Index Benchmark and the Components in effect as of April 4, 2007 remained in effect for the entire historical period. As the Index Committee has the discretion to change both the Target Index Benchmark and the Components, this may not have been the case had the Index actually been in existence during this period, and therefore, the results for the period prior to April 4, 2007 may have been different had the Index actually been in existence. The SGI Alternative Beta 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. The Index is based on a complex algorithm and may not successfully replicate the performance of the hedge fund industry or the investable portion of the hedge fund industry as applicable. Structured Products linked to the SGI Alternative Beta Index is only being offered and sold in the United States to persons who are "Qualified Purchasers", as defined under the Investment Company Act of 1940 (as amended).
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