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SGI Vol Invest Dynamic Carry Index

Index level: 978.07 as of 17/09/2020

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +2.98 % +7.65 % +43.39 % +58.26 % +7.98 %
Annualized Performance +58.26 % +2.59 %
Annualized Volatility +75.61 % +80.88 % +82.27 % +70.74 % +53.70 %
Sharpe Ratio 0.82 0.05
Max Drawdown -18.61 % -48.07 % -48.07 % -48.07 % -52.29 %

The SGI Vol Invest Dynamic Carry Index has been backtested since 12/12/2006 and calculated since 05/10/2012.
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 Vol Invest Dynamic Carry 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 maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Indices. The S&P 500 ® is exclusively the property of S&P Dow Jones Indices. The S&P 500 ® Index has been licensed for use by SG in connection with the Indices. The VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX ® Index has been licensed for use by SG in connection with the Index.
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