Objective

The Global Multiasset Strategy EUR Index aims to provide the performance of a systematic basket of multi-asset indices based on rolling futures with a volatility control mechanism. The index is composed of a basket of 11 diversified indices with the aim of generating stable returns in a wide range of market scenarios. 

The possible Index universe is:

SGI Long Gilt

SGI- 10 Y JGB (JPY -ER)

SGI - 10y US Treasury

SGI-Euro Bund

SGI Gold Static Roll

Brent Crude Oil Benchmark Excess Return Index

SGI CrudeOil Static Roll

SGI Futures Series - US Equity Index (USD - Excess Return)

SGI Futures Series - European Large Cap Equity Index (EUR - Excess Return)

SGI Futures Series - UK Equity Index (GBP - Excess Return)

SGI Futures Series - Japan Equity Index (JPY - Excess Return)

Mechanism

The basket components are determined on a quarterly basis with the aim to maximize the one-year expected return of the Underlying Basket under the following volatility and weights constraints:

-              The Underlying Basket volatility should be less than or equal to 6%: a volatility target mechanism is applied to maintain the volatility level of the index close to 6%, in order to reduce significant price fluctuations and provide investors with protection against spikes in volatility

-              Each Basket Component weight should be less than or equal to 30%

-              A maximum weight is also set per asset class:

·        Debt Instrument    100%

·        Commodity Instrument        30%

·        Equity Instrument  60%

The Index is daily FX hedged in EUR.