Methodology
Rules you can understand. Strategies you can evaluate.
01 — What an index is
Three different things.
Static benchmark
Tracks a fixed set of assets with fixed or market-cap weights. Exposure does not respond to conditions.
What Signal builds
Systematic strategy index
Applies documented rules to adjust weights over time. Every change follows the published methodology.
Actively managed fund
A portfolio managed by people who use discretion on behalf of investors. Signal Indices does not run funds.
An index is a calculated benchmark. It is not itself a portfolio managed for individual investors, and it is not possible to invest directly in an index.
Process
From observation to index level.
01
Market inputs
Defined market data
02
Signal methodology
Documented rules
03
Target weights
Within exposure limits
04
Index calculation
Consistent policy
05
Published index level
Disseminated value
Methodology modules
Four areas of detail.
Index construction
Eligible assets, weight calculations, target exposure and index-level calculations.
Signal framework
How a defined methodology translates market observations into target weights.
Rebalancing & risk
Rebalancing rules, exposure constraints, turnover and operational risks.
Governance & transparency
Methodology documents, calculation policies, data quality and change management.
Flagship exposure
A defined 20%–100% range.
Research & historical analysis
How results will be reported.
These are the measures we plan to report. Live, backtested and hypothetical results will always be labelled and kept separate. Nothing is shown until the data has been validated.
Live
Calculated after the official launch date, in real time.
Status: no data published
Backtested
Simulated by applying the methodology to historical data before launch.
Status: no data published
Hypothetical
Illustrative scenarios used for education only.
Status: no data published
Index vs. benchmark performance
Awaiting validated data
Maximum drawdown
Awaiting validated data
Annualized volatility
Awaiting validated data
Sharpe ratio
Awaiting validated data
Exposure through time
Awaiting validated data
Turnover
Awaiting validated data
Bullish regime duration
Awaiting validated data
Defensive regime duration
Awaiting validated data
Backtest disclosure standard
Any future backtest will disclose:
- Testing period
- Methodology version
- Benchmark used
- Fee assumptions
- Slippage assumptions
- Data sources and limitations
- Other material assumptions
- Clear separation from live results