|Return type||Excess Return|
The SGI RP Momentum Premium aims to track the hypothetical performance of a systematically weight adjusted multi-asset basket of risk premia strategies.
The SGI RP Momentum Premium utilizes a passive Equal Risk Contribution (ERC) algorithm to obtain potential diversification and a trend following allocation methodology on the basket of sub-indices. These sub-indices implement such risk premia as Value, Carry or Momentum which rely on structural economic rationales, with the goal of potentially outperforming benchmarks in the long run. The selection is allocated with a mix of Risk Parity and Momentum in order to potentially balance risk management and concentration risk.