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SGI Equity Tail Risk EU Index

Index level: 91.28 as of 15/07/2019

Main characteristics

Bloomberg Code SGIXTRSE
Inception Date 03/10/2018
Return Type Excess Return
Currency EUR
Calculated By Stoxx

Objective

The SGI Equity Tail Risk EU Index (EUR – Excess Return) is a systematic and rules-based strategy that aims to replicate a hypothetical portfolio of long positions in listed put options on the EURO STOXX 50 Index. 

Mechanism

The Index is composed of 12 hypothetical portfolios ("Roll in Portfolio") of up to eight long-term Option Contracts that are rolled annually over a term spanning approximately one month and 12  hypothetical portfolios ("Roll out Portfolio") of up to eight short-term Option Contracts that were previously the Roll In Portfolio for the respective Intermediate Index over the prior year. 


The SGI Equity Tail Risk EU Index (EUR – Excess Return) is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG

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