|Return type||Excess Return|
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.
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.