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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)
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.
The Global Multiasset Strategy EUR 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 calculate the Index. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”);“Calculated by S&P Dow Jones Indices” and its related stylized mark(s) have been licensed for use by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.