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Main characteristics

Bloomberg Code SGIFXG4
Inception Date 29/01/2013
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI FX Smile Premium G4 Index is a systematic index that aims to capture the spread between implied and realized volatility observed on the G4 currencies (EUR, GBP, JPY versus USD). The Index aims to provide consistent and stable returns, while exhibiting low correlation with traditional asset classes.

Mechanism

The SGI FX Smile Premium G4 Index tracks the performance of 3 sub-Indices (one by currency) rolling short positions in 25 delta strangles with a 1-month maturity on 3 currencies versus US dollar (GBP, JPY and EUR). The position of the Index is delta hedged on a daily basis by taking positions on the underlying forward.


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