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SGI Convex Short CAIG Index

Index level: 953.89 as of 19/10/2017

Main characteristics

Bloomberg Code SGIXCOIG
Inception Date 01/07/2014
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Convex Short CAIG Index aims to delta replicate a put position implemented when there is a downward trend of the SGI Credit  North America IG 125 index (SGI CAIG), over the 20 preceding business days.

Mechanism

The Index takes short position every day if the 20-business day return of the SGI Credit North America IG 125 index is below zero (signal). Otherwise, no position is taken. The notional of the short position corresponds to the delta of a put option with a strike close to the price of the SGI Credit North America IG 125 index 20-business days ago, and a maturity of 1 month.


The SGI Convex Short CAIG Index (the “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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