Main characteristics
| Bloomberg Code | SGIXACE |
|---|---|
| Inception Date | 04/03/2015 |
| Return Type | Excess Return |
| Currency | USD |
| Calculated By |
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Objective
SGI Asia Compass is a systematic index providing access to a multi-asset allocation based both on a risk budgeting model (ERC methodology) and on a trend following mechanism. The Index focuses on Asian underlyings.
The Index aims to provide investors with stable performances during bullish periods and to limit market drawdowns during bearish periods while maintaining volatility near a predefined level.
Mechanism
SGI Asia Compass Index is based on both a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanism, which provide the optimal weighting for each asset within the portfolio on a monthly basis. To determine the allocation the quantitative model follows three steps:
- A strategic allocation thanks to ERC that enables the calculation of the optimal weighting of each asset within the portfolio
- A tactical allocation thanks to a trend following in order to benefit from positive trends
- Maintain volatility near a predefined level of 6%, thanks to a volatility target mechanism
SGI Asia Compass (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.