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|1 M||6 M||YTD||1 Y||3 Y|
|Cumulative Performance||-0.14 %||-1.05 %||-0.73 %||-2.32 %||+2.63 %|
|Annualized Performance||-2.32 %||+0.87 %|
|Annualized Volatility||+3.32 %||+2.62 %||+4.93 %||+4.86 %||+5.15 %|
|Max Drawdown||-0.64 %||-1.88 %||-4.00 %||-4.00 %||-6.56 %|
The SGI VRR US Index - Vol Roll on Rates (USD - Total Return) has been backtested since 31/05/2013 and calculated since 23/04/2018.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with Société Générale and do not approve, endorse, review, or recommend the SGI VRR US Index - Vol Roll on Rates. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI VRR US Index - Vol Roll on Rates. Bloomberg makes no warranty, express or implied, as to the SGI VRR US Index - Vol Roll on Rates or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages—whether direct, indirect, consequential, incidental, punitive, or otherwise—arising in connection with the SGI VRR US Index - Vol Roll on Rates or any data or values relating thereto—whether arising from their negligence or otherwise.
On 19 th October 2020, USD discounting conventions applied by majors CCP will change, with SOFR replacing EFFR as the new standard. Cleared Interest Rates USD Swaps will be compensated by the CCP
Accordingly, Société Générale as Index Sponsor will adjust the Objective Pricing Methodology and the Index Rules of the following indices to use SOFR discounting and to reflect a full compensation of swaps and swaptions, and to use SOFR instead of EFFR for the compounding of the cash:
A revised version of the Index Rules is available upon request to the Index Sponsor.
The Index Calculation Agent for the indices SGBVVRRU and SGBVVR01, formerly Bloomberg Finance L.P., is now Solactive AG from 23 rd September 2020 included onwards