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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:
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|Return type||Excess Return|
The SGI FX - G4 Smile Premium Index (the Index) was launched on January 29, 2013 and aims, through 3 sub-indices, to synthetically capture the spread between implied and realized volatility observed on the G4 currencies (USD versus EUR, GBP, and JPY) by hypothetically rolling delta hedged strategies.
The SGI FX - G4 Smile Premium Index tracks the performance of 3 sub-indices, hypothetically rolling short positions in 25 delta strangles that are hypothetically delta-hedged with a 1-month maturity on the 3 G4 currencies versus the US Dollar (GBP, JPY, and EUR). The position of the Index is delta hedged by taking positions on the underlying forward.