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SGI FX G10 Carry Trade - USD Hedged

Index level: 921.37 as of 20/11/2017

Main characteristics

Bloomberg Code SGIFXH10
Inception Date 02/01/2015
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI FX - G10 Carry Trade Index – USD Hedged (the Index) 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, beta-hedged with a position in the US Dollar.

Mechanism

The Index attempts to extract yield from interest rate spreads between G10 currencies by providing a risk weighted allocation beta-hedged with a position in the US Dollar, 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 6% volatility target mechanism is applied to the Index.

The SGI FX – G10 Carry Trade - USD Hedged (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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