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SGI US Risk Parity Momentum 2014 TR Index

Index level: 1127.10 as of 20/11/2017

Main characteristics

Bloomberg Code SGIXCT14
Inception Date 21/04/2014
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI US Risk Parity Momentum 2014 Index is a rules-based index providing access to a multi-asset allocation within a basket of ETFs based on both a risk budgeting model (the Equal-Risk Contribution methodology) and a momentum filter.

The index aims to provide stable performance during bullish periods and to mitigate drawdowns during bearish periods through risk and asset diversification, while maintaining volatility near a predefined level. 

Mechanism

The SGI US Risk Parity Momentum Index is based on the combination of a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanism, which provides 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 ensures each Component contributes a relatively equal amount of risk to the Basket

- 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

The SGI US Risk Parity Momentum Index (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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