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SGI Cross Asset Dual Momentum Strategy Index

Index level: 275.04 as of 08/21/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +5.23 % +6.28 % +5.56 % +2.31 % -1.47 %
Annualized Performance +2.31 % -0.49 %
Annualized Volatility +6.95 % +6.79 % +6.65 % +7.38 % +8.28 %
Sharpe Ratio 0.31 -0.06
Max Drawdown -0.45 % -3.88 % -3.88 % -6.04 % -18.94 %

The SGI Cross Asset Dual Momentum Strategy Index has been backtested since 18/02/2003 and calculated since 01/03/2016.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.


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.