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Main characteristics

Bloomberg Code SGIXFMI
Inception Date 16/02/2007
Return Type Total Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The SGI Fed Model US index aims to outperform an equally weighted portfolio of US bonds and equities. 
The index is based on an asset allocation tool, which determines the optimal exposure of US shares relative to that of bonds and allocates accordingly pursuant to systematic rebalancing rules. The index is rebalanced every month.

Mechanism

The SGI Fed Model US is based on an equity-bond relative valuation model including:
- An equity valuation indicator, given by the earnings to price (E/P). The higher the E/P, the more attractive the equity valuation is.
- A bond valuation indicator, given by the nominal bond yield (BY). The allocation is determined according to the average historical difference between the inverse of the 12-month-forward price-to-earnings forecast and the market price of the generic 10-year Treasury bond.
- When the average spread is equal to or greater than 0.3%, the SGI Fed Model is fully exposed to equity market.
- When the average spread is equal to or less than -0.3%, the SGI Fed Model is fully exposed to the bond market.
- When the average spread is between -0.3% and 0.3% the SGI Fed Model is exposed to both equity and bond markets, with the allocation based on a linear function of the average spread.


The SGI Fed Model US Invest (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. The S&P 500® Total Return index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and has been licensed for use by SG in connection with the Index. The Federal Reserve Board has not sponsored, endorsed, or promoted the Fed Model of equity valuation and the SGI Fed Model.
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