|Return type||Excess Return|
The SGI FX - G10 Diversified Index (the Index) began publishing on June 28, 2011 and aims to deliver more stable/consistent returns than any of the individual SGI FX strategies underlying the Index. The Index offers potential to benefit from diversification and to improve Sharpe ratio (with a Volatility Target mechanism at 6%). The index is a systematic rules-based index that provides simple and transparent allocation composed of 3 equally weighted SGI FX strategies.
The SGI FX G10 Diversified Index is a combination of three potentially complementary FX strategies (carry, mean reversion & momentum), which provides the potential for diversified exposure to the alpha generated by the G10 FX currencies. This diversified combination of the SGI FX Carry Trade, SGI FX Mean Reversion, and SGI FX Momentum strategies provides the potential advantage of complementary features with historically uncorrelated results.