Suggested topics
1 M | 6 M | YTD | 1 Y | 3 Y | |
---|---|---|---|---|---|
Cumulative Performance | +0.11 % | +1.34 % | +3.31 % | +3.23 % | +5.60 % |
Annualized Performance | +3.23 % | +1.83 % | |||
Annualized Volatility | +0.78 % | +1.13 % | +1.28 % | +1.30 % | +1.30 % |
Sharpe Ratio | 2.48 | 1.41 | |||
Max Drawdown | -0.12 % | -0.59 % | -0.65 % | -0.65 % | -1.15 % |
The SGI Credit Europe IG 125 has been backtested since 20/09/2004 and calculated since 22/01/2010.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
Further to the new 2014 ISDA Credit Derivatives Definitions, Markit changed its roll dates for the CDX IG and iTraxx indices to October 6th 2014, and for Markit CDX HY to October 9th 2014.
As a consequence, the following SGI indices will be impacted:
The SGIXCEIG, SGIXCEXO, SGIXCAHY and SGIXCAIG indices will be rounded to 3 decimal places from and including 15th January 2018, the historical value will also be reduced to 3 decimal place due to system limitations.