You have to validate the disclaimer to access this website.

SGI Interest Rates Trend Following Index

Index level: 405.60 as of 03/12/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -0.97 % +5.38 % +22.47 % +27.44 % +0.69 %
Annualized Performance +27.44 % +0.23 %
Annualized Volatility +2.61 % +13.02 % +13.67 % +13.73 % +10.10 %
Sharpe Ratio 2.00 0.02
Max Drawdown -0.78 % -10.48 % -10.48 % -10.48 % -24.08 %

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.