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SGI Global Credit Momentum Index

Index level: 989.83 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXGCM
Inception Date 01/09/2014
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Global Momentum index is a credit inddex that exploits trading performance of momentum strategies designed by the SG Quantitative Research and written on four different credit indices.

Mechanism

The SGI Global Credit Momentum takes short and long position of a static basket of four credit momentum strategies as designed by SG quantitative research and reset on a monthly basis. The SGI Global Credit Momentum Index maintains a simple allocation mechanism to provide exposure to the 4 SGI Credit Momentum Indices. The SG Quant Research team developed a simple momentum strategy to determine when to buy or sell CDS protection. The strategy has since been applied to various SG Credit Indices that aim to track the position of protection seller on a single CDS index.

The SGI Global Credit 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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