SGI Commodity Trend Following Index

Index level: 1021.498 as of 25/11/2022

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -3.24 % -10.08 % +9.81 % +8.85 % +58.09 %
Annualized Performance +8.85 % +16.49 %
Annualized Volatility +4.61 % +5.53 % +11.61 % +11.24 % +11.92 %
Sharpe Ratio 0.79 1.38
Max Drawdown -3.52 % -10.81 % -12.09 % -12.09 % -12.09 %

The SGI Commodity Trend Following Index has been backtested since 06/01/1992 and calculated since 31/10/2016.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


The SGI Commodity Trend Following 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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.