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Main characteristics

Bloomberg Code SGIXTYCO
Inception Date 06/01/2014
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Convex US Treasury Index aims to delta replicate a put position implemented when there is a downward trend on the SGI 10Y US Treasury Note Index (SGIXTY10 Index), over the 20 preceding business days.

 

Mechanism

The Index takes short positions every day if the 20-business day return of the SGI TY10 Index is below zero (signal). Otherwise, no position is taken. The notional of the short position corresponds to the delta of a put options portfolio with a strike close to the price of the SGI 10Y US Treasury Note Index 20-business days ago (plus 2 additional out of the money puts options), and a maturity of 1 month.

 

 


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