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Main characteristics

Bloomberg Code SGIFXD10
Inception Date 28/06/2011
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The SGI FX - G10 Diversified Index (the Index) began publishing on June 28, 2011 and aims to deliver more stable/consistent returns than any of the individual SGI FX strategies underlying the Index. The Index offers potential to benefit from diversification and to improve Sharpe ratio (with a Volatility Target mechanism at 6%). The index is a systematic rules-based index that provides simple and transparent allocation composed of 3 equally weighted SGI FX strategies.

Mechanism

The SGI FX G10 Diversified Index is a combination of three potentially complementary FX strategies (carry, mean reversion & momentum), which provides the potential for diversified exposure to the alpha generated by the G10 FX currencies. This diversified
combination of the SGI FX Carry Trade, SGI FX Mean Reversion, and SGI FX Momentum strategies provides the potential advantage of complementary features with historically uncorrelated results.


The SGI FX-G10 Diversified (USD - ER) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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