Main characteristics
| Bloomberg Code | SGIXHATR |
|---|---|
| Inception Date | 07/05/2015 |
| Return Type | Total Return |
| Currency | EUR |
| Calculated By |
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| COMPOSED_BY |
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Objective
SGI Harmonia II is a systematic index providing access to a multi-asset allocation based both on a risk budgeting model (ERC methodology) developed by the Lyxor quantitative team, and on a trend following mechanism.
The index aims to provide investors with stable performances during bullish periods and to limit market drawdowns during bearish periods while maintaining volatility near a predefined level.
Mechanism
SGI Harmonia II index is based on both a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanism, which provide 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 enables the calculation of the optimal weighting of each asset within the portfolio
- 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 mechanism.
The SGI Harmonia II (EUR - TR) (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.