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SGI Equity Tail Risk US Index

Index level: 78.62 as of 16/01/2019

Main characteristics

Bloomberg Code SGIXTTRU
Inception Date 12/05/2017
Return Type Excess Return
Currency USD
Calculated By Stoxx

Objective

The Equity Tail Risk Strategy aims at replicating a down variance swap with liquid and transparent plain vanilla options.

Mechanism

A variance swap can be statically replicated with strips of puts and calls. Based on this, our strategy systematically buys long-term, downside puts on the underlying index (S&P 500 index) & applies a skew-adjusted delta hedge.


The SGI Equity Tail Risk US Index is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG

 

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