The S&P Systematic Global Macro Index (S&P SGMI) is a trend-following strategy that takes long or short positions in 37 constituent futures across equites, commodities, fixed income, and FX.
In 2020, the S&P SGMI did particularly well during the COVID-19-related drawdowns, finishing March up 11.3%, and closing the year at an all-time high. Thus far in 2021, the index has continued along this path, reaching new highs. As Exhibit 1 shows, the full-year 2020 return was 12.76% and the 2021 return is 11.17% YTD.
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