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The SGI Emerging Markets Mean Reversion Index (the “Index”) aims to generate positive performance from potential mean reversion patterns in the iShares MSCI Emerging Markets ETF by capturing the spread between its daily and bi-weekly variances through long exposure to the daily variance of the iShares MSCI Emerging Markets ETF and short exposure to bi-weekly variance of the iShares MSCI Emerging Markets ETF (EEM).
The Index is based on two systematic mechanisms: a long/short variance mechanism and a mid-week rolling mechanism. The long/short variance mechanism consists of hypothetical long positions in the daily variance of the iShares MSCI Emerging Markets ETF and hypothetical short positions in the bi-weekly variance of the iShares MSCI Emerging Markets ETF. In order to achieve the mid-week rolling mechanism, the hypothetical positions are rolled only on Tuesdays, Wednesdays, and Thursdays of each week over a two week period, as these 3 days appear to be the most consistent and least volatile based on SG’s historical observations.