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SGI FX-EUR/USD Momentum

Index level: 1089.01 as of 02/14/2020

Main characteristics

Bloomberg code SGIFXMEU
Inception date 06/28/2011
Return type Excess Return
Currency USD

Objective

The SGI FX - Momentum EUR/USD Index (the Index) began publishing on June 28, 2011 and seeks to provide alpha over the long term by capturing potential trends in EUR vs. USD. The Index may be used to complement the Carry Trade as it provides alternative performance factors and offers diversification during FX crises'.

Mechanism

The Index is implemented on the EUR vs. USD currency pair only. A position is taken depending on several signals based on the return of the EUR/USD over a wide range of durations, ranging from 22-26 days. The Momentum Strategy averages all of the signals and, if positive, takes a long position on the EUR/USD for one day, otherwise it will take a short position for one day.
 
A vol target mechanism is applied on top of the momentum strategy with the aim of keeping the realized short term volatility of the Index close to a pre-defined target volatility level of 6%.

The SGI FX - EUR/USD Momentum Index (USD - Excess Return) began publishing on June 28, 2011. Therefore, all data for the Index for the period prior to June 28, 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 June 28, 2011 consistent with the Index methodology. Results prior to June 28, 2011 may have been different had the Index actually been in existence. The SGI FX - EUR/USD Momentum 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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