There are several information displayed on sgindex.com about SGI indices, such as the description, the mechanism and the performances of our indices.
Thanks to the search parameters offered by the sgindex.com website, you can filter the indices by asset class, category or region.
To find an index on the sgindex.com website, you can either enter the name of the index, its ticker or a theme word related to the index in the search bar.
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For more detailed information about an index, please contact your Societe Generale contact person.
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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
- Use user-friendly interface that helps you to find the information that you need on a specific index (launch date, performance, documentation...).
- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
You can find your favorite indices in the \"My Space\" section by clicking on the Account icon.
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.