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%.
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.