There are several information displayed on sgindex.com about SGI indices, such as the description, the mechanism and the performances of our indices.
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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
- Use user-friendly interface that helps you to find the information that you need on a specific index (launch date, performance, documentation...).
- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
You can find your favorite indices in the \"My Space\" section by clicking on the Account icon.
|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.