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The SGI FX - Momentum EUR/USD Index (the Index) began publishing on June 28, 2011 and seeks to provide alpha over the long term by capturing potential trends in EUR vs. USD. The Index may be used to complement the Carry Trade as it provides alternative performance factors and offers diversification during FX crises'.
The Index is implemented on the EUR vs. USD currency pair only. A position is taken depending on several signals based on the return of the EUR/USD over a wide range of durations, ranging from 22-26 days. The Momentum Strategy averages all of the signals and, if positive, takes a long position on the EUR/USD for one day, otherwise it will take a short position for one day.
A vol target mechanism is applied on top of the momentum strategy with the aim of keeping the realized short term volatility of the Index close to a pre-defined target volatility level of 6%.