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SGI Optimal Portfolio Enhanced Risk Allocation Index

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Main characteristics

Bloomberg Code SGIXOPER
Inception Date 30/11/2019
Return Type Excess Return
Currency USD
Calculated By Compass

Objective

The SGI Optimal Portfolio Enhanced Risk Allocation Index is a rules-based index that tracks the performance of a systematic basket of multi-asset Indices based on rolling futures, with a volatility control mechanism. Specifically, the Index employs an algorithmic and rules-based strategy that aims to create a well diversified portfolio, while a momentum-based selection restricts the investable universe. The Index adjusts its exposure to the Underlying Basket in order to maintain its volatility close to a pre-defined target level of 4%.

Mechanism

The Index is composed of a basket of multi-asset Indices, each replicating a rolling position on futures, where the weightings assigned to each of the Basket Components are determined on a monthly basis.The Basket Components will each be foreign exchange daily hedged into USD.
In order to keep the risk associated with the Index under a certain limit, the Index also includes a volatility control mechanism, where the exposure of the Index to the Underlying Basket varies on a daily basis.


The SGI Optimal Portfolio Enhanced Risk Allocation Index is calculated by COMPASS FINANCIAL TECHNOLOGIES SA. COMPASS FINANCIAL TECHNOLOGIES SA uses its best efforts to ensure that the Index is calculated correctly. Notwithstanding its obligations towards the issuer of the financial product, COMPASS FINANCIAL TECHNOLOGIES SA has no obligation to point out errors in the Index to third parties including without limitation to investors and/or financial intermediaries. The calculation, the publication and the dissemination of the Index by COMPASS FINANCIAL TECHNOLOGIES SA does not constitute a recommendation by COMPASS FINANCIAL TECHNOLOGIES SA to invest capital in the financial product nor does it in any way represent an assurance or opinion of COMPASS FINANCIAL TECHNOLOGIES SA with regard to any investment therein. Purchasers of the financial product are made aware, and accept, that index calculations are based on large quantities of data provided by third parties and are thus susceptible to errors, interruptions and delays. This may result in errors, interruptions and delays in the Index which may have impact on the financial product.

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