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About SG Index
| 1 M | 6 M | YTD | 1 Y | 3 Y | |
|---|---|---|---|---|---|
| Cumulative Performance | +4.30 % | -4.28 % | +4.85 % | -8.44 % | +3.58 % |
| Annualized Performance | -8.44 % | +1.18 % | |||
| Annualized Volatility | +7.20 % | +13.26 % | +7.78 % | +14.46 % | +17.08 % |
| Sharpe Ratio | -- | -- | |||
| Max Drawdown | -0.63 % | -15.93 % | -0.63 % | -19.66 % | -32.77 % |
The SGI European Low Volatility Index has been backtested since 04/04/2002 and calculated since 16/10/2015.
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.
On February 9th 2017; SG notified the Index Calculation Agent of an error that had occurred in the calculation of the level of the following indices; <SGEPVBE>, <SGEPQBE>, <SGEPLBE>, <SGEPMBE>,<SGEPPBE>, <SGEPCBE>, <SGEPSBE>, <SGEPVQBE>, <SGEPVAE>, <SGEPQAE>, <SGEPLAE>, <SGEPMAE>, <SGEPPAE>, <SGEPCAE>, <SGEPSAE>, <SGEPVQAE>, <SGEPQCAE>, <SGEPVXBE>, <SGEPVXAE>, <SGEPQXAE>, <SGEPQXBE>, <SGEPQCBE>, <SGEPLRE>, <SGEPQRE>, <SGEPVRE>, <SGEPPRE>, <SGEPQ2RE>, <SGEPCRE>, <SGEQR>, <SGEQD>, published from January 06th 2017 until February 10th 2017.
The error was due to an incorrect rebalancing performed on January 6th 2017. Following the notification of the error; the levels of the indices have been restated the February 13th 2017. The levels of the indices are now available in Bloomberg and in the SGI website
Following the announcement of the CDOR administrator that the 6 Months CIDOR rate will no longer be published, it has been decided that the 3 Month CIDOR rate will be used to compute Merton Distance to Default scores of Canadian Stocks in all Europe and World equity risk premia indices.