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.
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.