The SGI US Delta Cap Mean Reversion Index aims to generate positive performance from potential mean-reversion patterns in the levels of the S&P 500 index by capturing the spread between its daily and biweekly variance, while capping the absolute value of the performance of the Index over the performance of the Underlying Index (the “delta”) realized the day before at 200%.
The SGI US Delta Cap Mean Reversion Index combines three different mechanisms:
- The Index takes long positions in the daily variance and short positions in the bi-weekly variance of the S&P 500 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 S&P 500 Index called the ‘’delta’’ is floored at -200% and capped at 200%.