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The SGI FX - G10 Carry Trade Index (the Index) began publishing on June 28, 2011 and seeks to extract yield from interest rate spreads between currencies, while controlling FX risk based on volatility measures. The Index provides a risk weighted allocation between 9 G10 currency pairs and provides leverage in order to limit the drawdowns generated by cyclical FX crises.
The Index attempts to extract yield from interest rate spreads between G10 currencies by providing a risk weighted allocation, rebalanced on a daily basis. The relative weights of each of the currency pairs are determined according to the Forward Sharpe Ratio, with the highest relative weight given to the currency pair with the highest Forward Sharpe Ratio.
Forward Sharpe Ratio is the expected return generated by the interest rate spread (known at inception), divided by the 1W ATM implied volatility.
Once the relative allocation is provided, the global exposure of the Index to the underlying FX positions is systematically adjusted according to a predefined risk budget based on 1W FX volatility of each currency pair. A volatility target mechanism is also applied to the Index in order to keep the realized volatility of the Index close to a pre-defined target volatility level of 6%.