US equity markets appear to have a tendency to mean revert, meaning that large positive moves are often followed by negative ones (and vice versa). On average, this should result in a positive spread between the daily and bi-weekly realized variance of the returns of such markets.
The SGI US Gravity Index is a systematic index with its level published daily on Bloomberg, aiming to generate positive performance by capturing this spread on the S&P 500 Index.
* For the purposes of this webpage, Daily Variance refers to the sum of the squared daily returns of the S&P 500 over the given period, whereas Weekly/Bi-weekly Variance refers to the squared sum of the daily returns of the S&P 500 over the given period.
The SGI US Gravity Index takes hypothetical long positions in the daily variance and hypothetical short positions in the bi-weekly variance of the S&P 500 Index. In addition, these hypothetical positions are rolled only on Tuesdays, Wednesdays, and Thursdays of each week over a two-week period, in order to avoid a potential weekend effect of greater volatility in the returns of the S&P 500 Index on Mondays and Fridays.