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About SG Index
Main characteristics
| Bloomberg Code | SGIXBE5E |
|---|---|
| Inception Date | 02/01/2008 |
| Return Type | Excess Return |
| Currency | EUR |
| Calculated By |
|
Objective
The SGI Bond Optimised Sharpe Strategy (“BOSS”) is an innovative index reflecting the evolution of an international optimised bond strategy based on a proprietary quantitative trading model developed by the Fixed Income Derivatives teams of Société Générale Corporate & Investment Banking. The model seeks to deliver an excess return over traditional bond strategies under predefined risk limitation constraints.
Mechanism
Implementation of 2 systematic strategies subject to
strong risk limits:
- Intra-curve asset allocation,
- Multicurrency investments.
Allocation to the universe of the SGI Bond indices:
- SGI Bond is a range of investable Fixed Income
indices providing a synthetic exposure to constant
maturity bonds,
- Each index replicates an investment in a single
currency note with a fixed maturity ,
- Fixed maturity is obtained by replicating the
performance of a monthly rolled bond investment.
Strategy aiming at generating Alpha from
diversification between bonds and foreign exchange
The SGI BOSS 5% (EUR - ER) (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 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.