The SGI Cross Asset Dual Momentum Strategy TR 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.
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:
- 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 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.
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