The index tracks the performance of a multi-asset basket of indices, with a volatility control mechanism. The aim is to provide risk and asset diversification via the Equal-Risk Contribution methodology applied to different asset classes indices.
The index is composed of a basket of underlying SG indices and based on the both a risk budgeting model and a momentum mechanism which provides the optimal weightings for each Underlying SG Index on a monthly basis. The quantitative model defining the weightings follow three steps:
- A strategic allocation thanks to an Equal-Risk Contribution methodology
- A tactical allocation thanks to a momentum strategy to benefit from positive trends
- And a volatility target mechanism to maintain a volatility near 6%
The Multi Asset Global Futures EUR Index (EUR – Excess Return) is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG.