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SGI US Momentum Balanced

Index level: 246.20 as of 03/23/2017

Main characteristics

Bloomberg code SGIXUFM6
Inception date 03/02/2015
Return type Total Return
Currency USD

Objective

The US Momentum Balanced Index (the “Index”) is a systematic strategy that aims to generate stable, positive performance over the long term through dynamic exposure to US equities, fixed income, and cash.

Mechanism

The Index utilizes a non-discretionary momentum mechanism to adjust exposure between equity and fixed income indices, with 100% exposure in equity when an upward momentum in the S&P 500 is determined, and 100% in bonds when a downward momentum is determined (the “Underlying Allocation”). 

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


The SGI US Momentum Balanced Index (the “Index”) began publishing on March 2, 2015. Therefore, all data for the Index for the period prior to  March 2, 2015 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to  March 2, 2015 consistent with the Index methodology. Results prior to March 2, 2015 may have been different had the Index actually been in existence. The SGI US Momentum Balanced 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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