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SGI Euro Return November 2010

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Main characteristics

Bloomberg Code SGIXERN0
Inception Date 02/11/2010
Return Type Total Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Euro Return Index follows a simple strategy which aims at capturing EUR short-term rate trends created by the European Central Bank (ECB) monetary policy (refinancing rate revisions).The SGI Euro Return Index relies on the three following strategies:-  Detecting trends by using signals on short-term interest rates and taking position to capture those trends-  Performance monitoring through a volatility control and a smoothing of the performance when the trend-following strategy strongly outperforms the objective-  Annual lock of the principal and performance

Mechanism

In the context of current historically low interest rates, the SGI Euro Return Index offers investors the possibility to improve the returns of their money market portfolio.
The SGI Euro Return Index follows a simple strategy which aims at capturing EUR short-term rate trends created by the European Central Bank (ECB) monetary policy (refinancing rate revisions).
The SGI Euro Return Index relies on the three following strategies:
- Detecting trends by using signals on short-term interest rates and taking position to capture those trends
- Performance monitoring through a volatility control and a smoothing of the performance when the trend-following strategy strongly outperforms the objective
- Annual lock of the principal and performance


The SGI Euro Return November 2010 (EUR - TR) (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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