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SGI Harmonia II Vol Target 3% Index

Index level: 1061.68 as of 19/10/2017

Main characteristics

Bloomberg Code SGMDHA3E
Inception Date 24/08/2015
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Harmonia II Vol Target 3% Index is designed to provide the exposure to the performance of the SGI Harmonia II Index (excess return), with a target volatility of 3%.

Mechanism

SGI Harmonia II index is based on both a risk budgeting model (ERC Equal Risk Contributions methodology) and a trend following mechanisms, which provide the optimal weighting for each asset within the portfolio on a monthly basis. To determine the allocation the quantitative model follows three steps:
- A strategic allocation thanks to ERC that enables the calculation of the optimal weighting of each asset within the portfolio.
-A tactical allocation thanks to a trend following in order to benefit from positive trends.
-Maintain volatility near a predefined level of 3%, thanks to a volatility target mechanism.


SGI Harmonia II Vol Target 3% 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”); and these trademarks have been licensed to S&P Dow Jones Indices. “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 Index.
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