The SGI Activist Premium Index (the “Index”) seeks to replicate a portfolio held by activist hedge funds through a systematic algorithm that parses through 13-F SEC regulatory filings. The hedge funds are selected by an asset manager experienced in hedge fund investing.
SGI Activist Premium Index Methodology
Investment Signal: All single-name equities from a selected number of activist investors, above a 5% size threshold in the activists’ hedge funds’ portfolios that meet certain liquidity conditions are included.
Position Sizing: Sizing is based on the average weight of the stock within the hedge funds, and a beta-adjustment mechanism
Risk Limits: Concentration limit of 7% for any single-name equity
Market Hedge: Long only available and Long/Short version available upon request, market hedge through S&P 500 futures
The SGI Activist Premium Index began publishing on November 30th, 2015. Therefore, all data for the Index for the period prior to November 30th, 2015 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to November 30th, 2015 consistent with the Index methodology. Results prior to November 30th, 2015 may have been different had the Index actually been in existence. The SGI Activist Premium 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. SGI Activist Premium 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 trademarks 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.