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SGI US Risk Parity Momentum 2014 Index

Index level: 1114.61 as of 11/22/2017

Main characteristics

Bloomberg code SGIXCE14
Inception date 04/21/2014
Return type Excess Return
Currency USD
Calculated by Standard & Poor's

Objective

The SGI US Risk Parity Momentum 2014 Index (the Index) is a systematic multi-asset strategy that aims to generate a stable positive performance over the long term through asset diversification and dynamic risk management.

Mechanism

In addition to a volatility target mechanism, the Index relies on a basket of 3 main performance drivers: Diversified Asset Allocation, Risk Budgeting, and Tactical Trend Following. The Index construction begins with a multi-asset allocation consisting of 14 ETFs with exposure to 6 different asset classes. To potentially provide further diversification, improved performance, and mitigate drawdowns, the Equal Risk Contribution (ERC) methodology is employed, which aims to distribute risk (measured by volatility) equally among each ETF. In order to potentially improve the ERC allocation, a Tactical Trend Following Strategy is also applied. The Tactical Trend Following Strategy examines past performance and seeks to identify the best potential allocation among assets. Potential trends are detected using systematic analysis of each basket component. Underlying weights are then adjusted based on the trend analysis.

 

If the historical volatility is greater (or less) than 6% the Index decreases (or increases) its exposure to the ERC-Momentum allocation in order to maintain the volatility of the Index as close to 6% as possible.


The SGI US Risk Parity Momentum 2014 Index (the “Index”) began publishing on April 21, 2014. Therefore, all data for the Index for the period prior to  April 21, 2014 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to  April 21, 2014 consistent with the Index methodology. Results prior to April 21, 2014 may have been different had the Index actually been in existence. The SGI US Risk Parity Momentum 2014 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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