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Societe Generale Alternative Beta Indices

Societe Generale Index (“SGI”) compromises a range of proprietary indices developed by Societe Generale (“SG”) which are calculated and maintained by leading index calculation agents, such as Standard and Poor’s. The SGI range of indices is designed to reflect various markets and investment strategies, combining the trading and market expertise of SG Global Markets with the rules-based and transparent methodology of accessible indices.

Alternative beta solutions look to access the systematic (beta) portion of returns for different Hedge Fund styles efficiently and without the shortcomings typically associated with direct investing through hedge fund managers (i.e. limited liquidity, low transparency). Hedge Fund investments are attractive as they can help provide diversification, uncorrelated returns to traditional investments and can help improve the overall risk-adjusted performance of a portfolio.

The Dynamic Short VIX Futures Index is a dynamic allocation between a hypothetical money market instrument and a dynamic strategy (the “Strategy”) designed to provide efficient short exposure to the first two nearby futures contracts on the VIX Index.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 37 indices, including Futures 1m on VIX, and SocGen Custom Risk Premia Indices. Some of the data items available include:

  • Daily Total Return, Index Level, Actual Coupon Rate, Bloomberg Ticker, Currency Pair, Ending Date of Series, Expiration Date, Initial Proportional Amount, ISIN Code, Market Value, Net Asset Value, Notional Outstanding, Option Style, Option Type, Price, Protection Direction, Put Call Flag, Reference Asset, Sedol Code, Start Date of Series, Strike Price, etc.

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