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SGI G6 X-S Bond Carry Index (USD - Excess Return)

Index level: 1377.84 as of 13/12/2018

Main characteristics

Bloomberg Code SGIXBC6E
Inception Date 27/11/2018
Return Type Excess Return
Currency USD
Calculated By Singapore Exchange Limited

Objective

The Index is composed of a synthetic basket of Underlying SGI Indices that aim to replicate a systematic roll of 10y bond futures in US, Germany, UK, Japan, Australia and Canada. The allocation is determined on a daily basis in accordance with the methodology described below. 

Mechanism

The allocation of the Index is systematically adjusted:

(i) On a daily basis, the Carry is calculated for each of the future contract and is adjusted by the Modified Duration of its respective bond future

(ii) The Adjusted Carry is ranked at a descending order. The top ranking bond futures are taken long position and the bottom 3 ranking bond futures are taken short position

(iii) In order to keep zero duration, the Target Weight of each bond future is proportional to the inverse of its modified duration and the Weight is an average of Target Weight during 20 Calculation Days.

 


The SGI Leveraged on MSCI Singapore Index Family (collectively, the “ Custom Indices” and each a “Custom Index”), is the property of Société Générale. Singapore Exchange Limited and its affiliates (collectively, the “ SGX Group Companies”) each expressly excludes any guarantee, warranty, condition, term, undertaking or representation of any kind, express or implied, statutory or otherwise, in relation to the Custom Indices, the methodology and the components of a Custom Index which may include, but is not limited to, constituent level data such as futures prices, shares outstanding, investable weight factor, and fundamental data such as price/earnings ratios and/or other financial ratio, including calculation of the Custom Indices (“ Underlying Data”) or values of the Custom Indices (“ Index Values”). In no event whatsoever shall any of the SGX Group Companies be liable or responsible for any damages or loss of any kind, even if they have been advised of the possibility of such damages or loss, whether in contract, tort (including negligence), strict liability or otherwise and whether direct, indirect, special, incidental, punitive, consequential, economic loss or any kind (including but not limited to loss of profit, loss of reputation, loss of opportunity, or lost time or goodwill), suffered or incurred by any person from the use or reliance of the Custom Indices, Underlying Data or Index Values.

 

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