The SGI Low Volatility US Index aims at delivering the performance of the S&P 500, increased by the alpha extracted from the low volatility stocks anomaly phenomenon. The index tracks the performance of the 100 constituents of the S&P 500 that exhibits the lowest volatility.
The index universe includes the constituents of the S&P 500 index complying to the liquidity filters. It includes stocks with a free-float market capitalization higher than 3 billion USD and an average daily volume higher than 10 million USD.
Each month, the Index composition is reviewed. On each scheduled review date, eligible stocks are ranked based on the 6-month historical volatility. The 100 eligible stocks with the lowest 6-month historical volatility are selected and deemed to be constituents of the index. The index is equally weighted.