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SGI Interest Rates Trend Following Index

Index level: 359.023 as of 19/01/2022

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +1.98 % -6.76 % +3.02 % -6.96 % +8.18 %
Annualized Performance -6.96 % +2.66 %
Annualized Volatility +8.35 % +6.47 % +9.90 % +7.03 % +10.13 %
Sharpe Ratio -0.99 0.26
Max Drawdown -1.18 % -10.94 % -1.03 % -15.32 % -25.59 %

The SGI Interest Rates 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 Interest Rates 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.