Main characteristics

Bloomberg Code SGICCLME
Inception Date 15/09/2014
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones


The SGI Commodities Curve Momentum Beta + ER aims to outperform commodities, through a systematic long only strategy based on pure quantitative signals.


The Index's strategy ranks commodities according to a technical trend indicator based on the shape of the futures curve: the larger the backwardation the greater the weight in the index. The index tends to assign a higher weight to the commodities being the most in backwardation, and a lower weight to the commodities being the least in backwardation.

The strategy also applies a price filter to reduce the potential impact of massive curve swings.

The SGI Commodities Curve Momentum Beta+ 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.

Login to add this product to your favorites