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SGI Vol Invest Gravity Index

Index level: 816.80 as of 20/07/2017

Main characteristics

Bloomberg Code SGIXVIGR
Inception Date 11/10/2013
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Vol Invest Gravity Index aims to generate positive performance from potential mean-reversion patterns in the SGI Vol Invest Spread Index by capturing the spread between its daily and biweekly variance, while capping and flooring the delta of the performance of the Index over the performance of the SGI Vol Invest Spread Index at respectively 200% and -20%.

Mechanism

The Index aims to benefit from the US volatility market’s tendency to mean revert, which should result, on average, in a positive spread between daily variance and biweekly variance. To exploit this potential bias, the Index holds a hypothetical portfolio of ten Variance Spread (difference between the daily and the biweekly variance), rolled every day.
The contribution of the portfolio of Variance Spreads to the Index is capped (or floored) on a daily basis at 200% (or -20%) of the daily performance of the Underlying Index.


SGI Vol Invest Gravity Index (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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by SG.  Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.”

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