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SGI Cross Asset Dual Momentum Strategy Index

Index level: 267.16 as of 17/09/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -3.13 % +3.18 % +2.54 % -0.01 % -3.24 %
Annualized Performance -0.01 % -1.09 %
Annualized Volatility +11.91 % +7.86 % +7.39 % +8.00 % +8.31 %
Sharpe Ratio -0.00 -0.13
Max Drawdown -5.75 % -5.75 % -5.75 % -6.04 % -18.94 %

The SGI Cross Asset Dual Momentum Strategy Index has been backtested since 18/02/2003 and calculated since 01/03/2016.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


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