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About SG Index
SGI US Risk Parity Momentum 2014 Index
Index level: 1295.772 as of 02/02/2023
Main characteristics
| Bloomberg Code | SGIXCE14 |
|---|---|
| Inception Date | 21/04/2014 |
| Return Type | Excess Return |
| Currency | USD |
| Calculated By |
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Objective
The SGI US Risk Parity Momentum 2014 Index is a rules-based index providing access to a multi-asset allocation within a basket of ETFs based on both a risk budgeting model (the Equal-Risk Contribution methodology) and a momentum filter.
The index aims to provide stable performance during bullish periods and to mitigate drawdowns during bearish periods through risk and asset diversification, while maintaining volatility near a predefined level.
Mechanism
The SGI US Risk Parity Momentum Index is based on the combination of a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanism, which provides the optimal weighting for each asset within the portfolio on a monthly basis. To determine the allocation the quantitative model follows three steps:
- A strategic allocation thanks to ERC that ensures each Component contributes a relatively equal amount of risk to the Basket
- A tactical allocation thanks to a trend following in order to benefit from positive trends - Maintain volatility near a predefined level of 6%, thanks to a volatility target mechanismThe SGI US Risk Parity Momentum 2014 Index (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.