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SGI RP Relative Value

Index level: 1417.49 as of 03/28/2017

Main characteristics

Bloomberg code SGIXRPRV
Inception date 08/28/2014
Return type Excess Return
Currency USD

Objective

The SGI RP Relative Value Index is a multi-strategy basket which implements various risk premia strategies including equity and FX mean-reversions, futures roll-yield and rates term-structure. The Index aims to generate positive returns while limiting downside risk.

Mechanism

The SGI RP Relative Value Index utilizes a passive Equal Risk Contribution (ERC) algorithm to obtain potential diversification and normalize risk contributions among the various risk premia strategies.  The weight of each underlying strategy within the basket is rebalanced quarterly.


The SGI US RP Relative Value Index (the “Index”) began publishing on October 2, 2014. Therefore, all data for the Index for the period prior to  October 2, 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  October 2, 2014 consistent with the Index methodology. Results prior to October 2, 2014 may have been different had the Index actually been in existence. The SGI US RP Relative Value 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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