SGI Equity NQ Intraday Trend Index

Index level: 1555.260 as of 02/02/2023

Main characteristics

Bloomberg Code SGIDTNQ
Inception Date 20/04/2021
Return Type Excess Return
Currency USD
Calculated By Singapore Exchange Limited

Objective

The SGI Equity NQ Intraday Trend Index is a rules-based index that aims to capture the intraday trend of th US equity market by taking long & short positions on the Nasdaq Index based on observable intradays signals.

Mechanism

•The strategy takes positions on Nasdaq futures contracts during the day (11 times a day) according to trend signals.

 

•The trend signal is based on the intra-day returns versus the close of the day before:

•If the return is positive, the strategy can take a long position on the underlying

•If the return is negative, the strategy can take a short position on the underlying

The size of the position depends on the strength of the trend, as measured at this point of time (i.e. the higher/lower the return, the higher the long or short exposure), with a cap and smoothed using TWAP.

 

•Any position is unwound at the end of the day as smoothly as possible to limit market impact. 


The SGI Equity NQ Intraday Trend Index is the property of [the Customer Singapore Exchange Limited and its affiliates (collectively, the SGX Group Companies) each expressly excludes any guarantee, warranty, condition, term, undertaking or representation of any kind, express or implied, statutory or otherwise, in relation to the Custom Indices, the methodology and the components of a Custom Index which may include, but is not limited to, constituent level data such as futures prices, shares outstanding, investable weight factor, and fundamental data such as price/earnings ratios and/or other financial ratio, including calculation of the Custom indices (Underlying Data) or values of the Custom Indices (Index Values). In no event whatsoever shall any of the SGX Group Companies be liable or responsible for any damages or loss of any kind, even if they have been advised of the possibility of such damages or loss, whether in contract, tort (including negligence), strict liability or otherwise and whether direct, indirect, special, incidental, punitive, consequential, economic loss of any kind (including but not limited to loss of profit, loss of reputation, loss of opportunity, or lost time or goodwill), suffered or incurred by any person from the use or reliance of the Custom Indices, Underlying Data or Index Values.

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