Objective

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.

Mechanism

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%