SGI Harmonia II is a systematic index providing access to a multi-asset allocation based both on a risk budgeting model (ERC methodology) developed by the Lyxor quantitative team, and on a trend following mechanism.
The index aims to provide investors with stable performances during bullish periods and to limit market drawdowns during bearish periods while maintaining volatility near a predefined level.
SGI Harmonia II index is based on both a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanism, which provide the optimal weighting for each asset within the portfolio on a monthly basis. To determine the allocation the quantitative model follows three steps:
- A strategic allocation thanks to ERC that enables the calculation of the optimal weighting of each asset within the portfolio
- A tactical allocation thanks to a trend following in order to benefit from positive trends
- Maintain volatility near a predefined level of 6%, thanks to a volatility target mechanism.