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SGI Flexible Trend Allocator Index

Index level: 207.61 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXFLEX
Inception Date 31/10/2012
Return Type Excess Return
Currency EUR
CALCULATED_BY Stoxx

Objective

The SGI Flexible Trend Allocator offers a diversified investment strategy through an exposure to 3 performing assets (Equities, European Credit, and Gold) and a defensive asset (Short-term bond without credit risk). The Index aims to capture the performance of the 3 performing assets when they are in a bull trend and limits the fall by investing in a defensive asset when some performing assets are in a bear trend.

Mechanism

Each month, the 1-month moving average of each performing is compared to the 12-month one.
For each performing asset, if the 1-month moving average is superior to the 12-month average:

  • Bull trend signal
  • Exposure of 1/3 in the underlying performing asset 

If not:

  • Bear trend signal
  • No exposure in the underlying performing asset and exposure of 1/3 in the defensive asset

The SGI Flexible Trend Allocator benefits from a volatility target mechanism to maintain realized volatility of the Index around 5%, the index can be leveraged with a cap at 200%.


The SGI Flexible Trend Allocator Index is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG. The SGI Europe IG Index and SGI Bond 2Y EUR Index (the « Indices ») are 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 Indices. 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 Indices.
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