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Global Multiasset Strategy EUR Index

Index level: 147.62 as of 13/12/2018

Main characteristics

Bloomberg Code IND1GMAS
Inception Date 01/03/2018
Return Type Excess Return
Currency EUR
Calculated By S&P Dow Jones

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.


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.

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