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SGI Equity US Intraday Trend Index

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Main characteristics

Bloomberg code TESRULES
Inception date 01/07/2008
Return type Excess Return
Currency USD
Calculated by Singapore Exchange Limited

Objective

The SGI Equity US Intraday Trend Index  is a rules-based index that aims to capture the intraday trend of the US equity market by taking long or short positions  on the S&P 500 Index based on an observable signal 

Mechanism

The strategy takes positions on S&P 500 futures contracts during the day (several times a day) according to trend signals.

The trend signal is based on the intra-day returns versus the close of the day before :

If the return is positive, the strategy takes a long position on the underlying

If the return is negative, the strategy takes a short position on the underlying

The size of the position is depending on the strength of the trend, as measured at this point of time (i.e. the higher/lower the return, the higher the long or short exposure), with a cap and smoothed using TWAP.

Any position is unwound at the end of day as smoothly as possible to limit market impact.  


The SGI Equity US Intraday Trend Index, is the property of Société Générale. Singapore Exchange Limited and its affiliates (collectively, the “ SGX Group Companies”) each expressly excludes any guarantee, warranty, condition, term, undertaking or representation of any kind, express or implied, statutory or otherwise, in relation to the Custom Indices, the methodology and the components of a Custom Index which may include, but is not limited to, constituent level data such as futures prices, shares outstanding, investable weight factor, and fundamental data such as price/earnings ratios and/or other financial ratio, including calculation of the Custom Indices (“ Underlying Data”) or values of the Custom Indices (“ Index Values”). In no event whatsoever shall any of the SGX Group Companies be liable or responsible for any damages or loss of any kind, even if they have been advised of the possibility of such damages or loss, whether in contract, tort (including negligence), strict liability or otherwise and whether direct, indirect, special, incidental, punitive, consequential, economic loss or any kind (including but not limited to loss of profit, loss of reputation, loss of opportunity, or lost time or goodwill), suffered or incurred by any person from the use or reliance of the Custom Indices, Underlying Data or Index Values.

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