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SGI FX-G10 Mean Reversion

Index level: 962.15 as of 12/14/2017

Main characteristics

Bloomberg code SGIFXM10
Inception date 06/28/2011
Return type Excess Return
Currency USD

Objective

The SGI FX - G10 Mean Reversion Index (the Index) began publishing on June 28, 2011 and aims at capturing the mean reversion pattern of Forex rates, especially in volatile FX environments (Long Volatility). The Index seeks to capitalize on the view that, over short periods of time, markets are cyclical - meaning that an upward trend in the value of a currency is usually followed by a downward trend in such currency, and vice versa. The higher the realized volatility of a currency pair, the higher its expected contribution to the performance of the Index.

Mechanism

The Index is a systematic long short strategy linked to the G10 Currencies. On a daily basis, the Index takes a long position in the currencies performing below the average basket performance and short positions in the currencies performing above the average basket performance, as calculated under the index rules. The size of the synthetic positions taken by the Index in any currency will be proportional to the width of the spread between the individual return of the relevant currency and the return of the basket.


The SGI FX - G10 Mean Reversion Index (USD - Excess Return) began publishing on June 28, 2011. Therefore, all data for the Index for the period prior to June 28, 2011 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to June 28, 2011 consistent with the Index methodology. Results prior to June 28, 2011 may have been different had the Index actually been in existence. The SGI FX - G10 Mean Reversion 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 maintain and 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 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.
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