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SGI Cross Asset Dual Momentum Strategy Index

Index level: 270.35 as of 05/25/2017

Main characteristics

Bloomberg code SGBVCADM
Inception date 03/01/2016
Return type Excess Return
Currency USD
Calculated by Bloomberg

Objective

The SGI Cross Asset Dual Momentum Strategy Index utilizes a systematic, rules-based momentum strategy to provide dynamic exposure to a broad basket of Fixed Income, Equity, FX and Commodity futures in different global regions.

Mechanism

The SGI Cross Asset Dual Momentum Strategy Index combines Relative Strength and Absolute Momentum screens to provide investors with dynamic exposure to a broad basket of Fixed Income, Equity, FX and Commodity futures across different regions.

The Index takes long and short exposure in up to 16 subindex futures - 3 in Fixed Income, 3 in Equities, 3 in FX , and 7 in Commodities using momentum measures:

- Relative Strength Momentum: an asset’s performance, relative to performance of other assets

- Absolute Momentum: an asset’s past performance, considered independently from the returns of other assets


The SGI Cross Asset Dual Momentum Strategy Index began publishing on March 1st, 2016. Therefore, all data for the Index for the period prior to March 1st, 2016 represent Bloomberg application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to March 1st, 2016 consistent with the Index methodology. Results prior to March 1st, 2016 may have been different had the Index actually been in existence. Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with Société Générale and do not approve, endorse, review, or recommend the SGI Cross Asset Dual Momentum Strategy Index. 
Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI Cross Asset Dual Momentum Strategy Index. Bloomberg makes no warranty, express or implied, as to the SGI Cross Asset Dual Momentum Strategy Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages—whether direct, indirect, consequential, incidental, punitive, or otherwise—arising in connection with the SGI Cross Asset Dual Momentum Strategy Index or any data or values relating thereto—whether arising from their negligence or otherwise.

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