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Main characteristics

Bloomberg Code SGIXUSGR
Inception Date 01/10/2012
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

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.

Mechanism

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.


The SGI US Gravity (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index. The S&P 500® Total Return index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and the CBOE Volatility Index® (the VIX®) is the property of the Chicago Board Options Exchange, Incorporated. The S&P 500® Total Return index and the VIX® have been licensed for use by SG in connection with the Index.
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