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Main characteristics

Bloomberg Code TFRULES
Inception Date 31/10/2016
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Cross Asset Trend Following Index utilizes a systematic, rules-based trend-following strategy to provide dynamic exposure to a broad basket of Fixed Income, Equity, FX and Commodity indices in different global regions.

Mechanism

The Index utilizes absolute momentum signals to dynamically allocate across a range of 50 indices on Fixed Income, Equity, FX and Commodity. The absolute momentum is a pure trend-following strategy which consists to be long on positive past performing assets and short on negative performing assets based on 4 signals allowing diversification of the signal to limit the risk of overfitting. The exposure to basket (equi-weighted basket of the 4 trend following sub-indices, one by asset class) is adjusted on a monthly basis, so that the long term realized volatility of the SGI Cross Asset Trend Following Index is close to a volatility target of  3%.


The SGI Cross Asset Trend Following 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.

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