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Multi Asset Global Futures Total Return EUR Index

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Main characteristics

Bloomberg Code IND1MAGT
Inception Date 04/11/2019
Return Type Total Return
Currency EUR
Calculated By Stoxx

Objective

The Multi Asset Global Futures Total Return EUR Index is a rules-based index that tracks the performance of a systematically weight-adjusted basket of multi-asset Indices with a volatility control mechanism. Specifically, the Index employs an algorithmic and rules-based strategy to track a systematically risk-balanced basket of underlyings representing various asset classes, with the aim of providing risk and asset diversification via the Equal-Risk Contribution Methodology discussed below. The Index undergoes a systematic rebalancing process (based on historical volatilities, correlations and performances of the underlyings in the Underlying Basket (as defined below)) to adjust the weightings of its exposure to the Underlying Basket while maintaining its volatility close to a pre-defined target level of 6%. The exposure of the Index to the Underlying Basket can reach a maximum of 150% of the level of the Index.
The Index is calculated and published by Stoxx Limited, Zurich, Switzerland and is sponsored by Société Générale.

Mechanism

The Index is composed of a basket of SGI Underlying Indices where the weightings assigned to each of the Basket Components are determined on a monthly basis. 
In order to keep the risks associated with the Index under a certain limit, the Index also includes a volatility control mechanism, where the exposure of the Index to the Underlying Basket varies on a daily basis.


The Multi Asset Global Futures Total Return EUR Index is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG.

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