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SGI Global Credit Momentum Index

Index level: 977.58 as of 13/12/2018

Main characteristics

Bloomberg Code SGIXGCM
Inception Date 01/09/2014
Return Type Excess Return
Currency EUR
Calculated By Markit

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 is administered and calculated by Markit. For more information, see www.markit.com

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