The SGI FX G10 Carry Index aims to provide an exposure to the performance of a carry strategy on the G10 currencies (EUR, JPY, GBP, CHF, AUD, NZD, CAD, SEK and NOK) vs USD.
The Index is composed of a basket of SG indices replicating a systematic roll of FX forwards. The allocation of the Index is systematically adjusted on a monthly basis according to a proprietary model based on an implied rates differential ranking. The top 3 ranking currencies with the highest carry signal are chosen to be equally invested in the long position and the bottom 3 ranking currencies with the lowest carry signal are chosen to be equally invested in the short position.
“The SGI FX G10 Carry 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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.”