Main characteristics
| Bloomberg Code | SGIXCOXO |
|---|---|
| Inception Date | 01/07/2014 |
| Return Type | Excess Return |
| Currency | EUR |
| Calculated By |
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Objective
The SGI Convex Short CEXO Index aims to delta replicate a put position implemented when there is a downward trend of the SGI Credit Europe XO Index (SGI CEXO), over the 20 preceding business days.
Mechanism
The Index takes short position every day if the 20-business day return of the SGI Credit Europe XO 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 Europe XO Index 20-business days ago, and a maturity of 1 month.
The SGI Convex Short CEXO 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.