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SGI Vol Invest Dynamic Carry Index

Index level: 672.56 as of 19/02/2020

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -3.66 % +12.76 % -1.40 % +22.64 % -27.34 %
Annualized Performance +22.64 % -10.10 %
Annualized Volatility +33.14 % +24.03 % +26.82 % +28.19 % +37.33 %
Sharpe Ratio 0.80 -0.27
Max Drawdown -7.60 % -9.31 % -7.61 % -16.81 % -48.95 %

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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