Suggested topics
1 M | 6 M | YTD | 1 Y | 3 Y | |
---|---|---|---|---|---|
Cumulative Performance | +2.61 % | +7.60 % | +2.61 % | +0.60 % | +4.16 % |
Annualized Performance | +0.60 % | +1.37 % | |||
Annualized Volatility | +5.97 % | +9.27 % | +5.97 % | +9.79 % | +62.50 % |
Sharpe Ratio | 0.06 | 0.02 | |||
Max Drawdown | -0.66 % | -5.81 % | -0.66 % | -11.28 % | -58.38 % |
The SGI Credit Europe Crossover has been backtested since 22/06/2004 and calculated since 20/03/2014.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
The SGI Credit Europe XO Index are administered and calculated by Markit. For more information, see www.markit.com
Markit has announced iTraxx Crossover to be expanded to 75 names, from the current 60. The changes will be implemented on September 22, 2014.
Further to the new 2014 ISDA Credit Derivatives Definitions, Markit changed its roll dates for the CDX IG and iTraxx indices to October 6th 2014, and for Markit CDX HY to October 9th 2014.
As a consequence, the following SGI indices will be impacted:
The SGIXCEIG, SGIXCEXO, SGIXCAHY and SGIXCAIG indices will be rounded to 3 decimal places from and including 15th January 2018, the historical value will also be reduced to 3 decimal place due to system limitations.
On 31 May 2019, the European Money Markets Institute (EMMI) announced that the Euro Overnight Index Average (EONIA) will be discontinued on 3 January 2022. The Working Group on Euro Risk-free Rates (Euro RFR WG) has recommended that the Euro Short-Term Rate (€STR) be adopted as EONIA’s replacement prior to EONIA’s discontinuation. The Euro RFR WG’s statements can be found at
https://www.ecb.europa.eu/press/pr/date/2019/html/ecb.pr190314_1~af10eb740e.en.html.
In accordance with the Euro RFR WG’s recommendation and to maintain the economic characteristics of the following indices, Société Générale, as Index Sponsor, will adjust the Index Rules and direct the Index Calculation Agents to replace the use of EONIA by €STR. Such change will be effective on July 12 th, 2021 (included).
An updated version of the Index Rules is available upon request to the Index Sponsor.
Scope of indices:
SGIMCESP
SGMDCESP
SGIXCEIG
SGIXCEXO
SGIXB6EE
SGIXS6EE