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SGI US Carry Index

Index level: 3235.25 as of 08/20/2018

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +3.70 % +7.06 % +3.62 % +12.37 % +33.58 %
Annualized Performance +12.37 % +10.13 %
Annualized Volatility +8.70 % +11.15 % +12.78 % +11.23 % +12.70 %
Sharpe Ratio -- --
Max Drawdown -1.42 % -5.14 % -9.19 % -9.19 % -100.00 %

The SGI US Carry Index has been backtested since 04/04/2002 and calculated since 19/01/2016.
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 US Carry Index began publishing on January 19th, 2016. Therefore, all data for the Index for the period prior to January 19th, 2016 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to January 19th, 2016 consistent with the Index methodology. Results prior to January 19th, 2016 may have been different had the Index actually been in existence. The The SGI US Carry Index  (the “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 maintain and 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 Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.

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