The SGI FX - G10 Mean Reversion Index (the Index) began publishing on June 28, 2011 and aims at capturing the mean reversion pattern of Forex rates, especially in volatile FX environments (Long Volatility). The Index seeks to capitalize on the view that, over short periods of time, markets are cyclical - meaning that an upward trend in the value of a currency is usually followed by a downward trend in such currency, and vice versa. The higher the realized volatility of a currency pair, the higher its expected contribution to the performance of the Index.
The Index is a systematic long short strategy linked to the G10 Currencies. On a daily basis, the Index takes a long position in the currencies performing below the average basket performance and short positions in the currencies performing above the average basket performance, as calculated under the index rules. The size of the synthetic positions taken by the Index in any currency will be proportional to the width of the spread between the individual return of the relevant currency and the return of the basket.