There are several information displayed on sgindex.com about SGI indices, such as the description, the mechanism and the performances of our indices.
Thanks to the search parameters offered by the sgindex.com website, you can filter the indices by asset class, category or region.
To find an index on the sgindex.com website, you can either enter the name of the index, its ticker or a theme word related to the index in the search bar.
To recover your password, simply go to the login section and click on “Forgot your password?” An email will be sent to your email address with a new temporary password.
For more detailed information about an index, please contact your Societe Generale contact person.
To add an index to your favorites, simply click on the star icon to add this product to your favorites.
The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
- Use user-friendly interface that helps you to find the information that you need on a specific index (launch date, performance, documentation...).
- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
You can find your favorite indices in the \"My Space\" section by clicking on the Account icon.
|Return type||Excess Return|
The SGI FX - G10 Carry Trade Index (the Index) began publishing on June 28, 2011 and seeks to extract yield from interest rate spreads between currencies, while controlling FX risk based on volatility measures. The Index provides a risk weighted allocation between 9 G10 currency pairs and provides leverage in order to limit the drawdowns generated by cyclical FX crises.
The Index attempts to extract yield from interest rate spreads between G10 currencies by providing a risk weighted allocation, rebalanced on a daily basis. The relative weights of each of the currency pairs are determined according to the Forward Sharpe Ratio, with the highest relative weight given to the currency pair with the highest Forward Sharpe Ratio.
Forward Sharpe Ratio is the expected return generated by the interest rate spread (known at inception), divided by the 1W ATM implied volatility.
Once the relative allocation is provided, the global exposure of the Index to the underlying FX positions is systematically adjusted according to a predefined risk budget based on 1W FX volatility of each currency pair. A volatility target mechanism is also applied to the Index in order to keep the realized volatility of the Index close to a pre-defined target volatility level of 6%.