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SGI Commodities Curve Momentum Alpha

Index level: 103.95 as of 11/21/2019

Graph

For comparison purpose Index level basis 100 as of

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance +0.77 % -4.32 % -0.60 % -0.38 % -0.27 %
Annualized Performance -0.38 % -0.09 %
Annualized Volatility +4.71 % +6.05 % +5.79 % +5.54 % +5.89 %
Sharpe Ratio -0.07 -0.02
Max Drawdown -1.00 % -5.54 % -7.59 % -7.59 % -7.59 %

The SGI Commodities Curve Momentum Alpha has been backtested since 20/03/2000 and calculated since 10/05/2011.
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 Commodities Curve Momentum Alpha Index began publishing on May 10, 2011. Therefore, all data for the Index for the period prior to May 10, 2011 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to May 10, 2011 consistent with the Index methodology. Results prior to May 10, 2011 may have been different had the Index actually been in existence. The SGI Commodities Curve Momentum Alpha 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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