The SGI EURO GRAVITY Index aims to generate positive performance from potential mean-reversion patterns in the levels of the EUROSTOXX 50 index by capturing the spread between its daily and biweekly variance, while capping the value of the performance of the Index over the performance of the Underlying Index (the “delta”) realized the day before floored at -50% and capped at 200%.
The SGI EURO GRAVITY Index combines three different mechanisms:
- The Index takes long positions in the daily variance and short positions in the bi-weekly variance of the EUROSTOXX 50 Index;
- The Long/Short positions in the variance are rolled only on Tuesdays, Wednesdays and Thursdays of each week over a two-week period;
- Every day, the ratio between the performance of the Index and the performance of the EUROSTOXX 50 Index called the ‘’delta’’ is floored at -50% and capped at 200%.