SGI Emerging Markets Mean Reversion
Index level: 972.90 as of 10/18/2018
Main characteristics
| Bloomberg code | SGIXEMMR |
|---|---|
| Inception date | 09/03/2013 |
| Return type | Excess Return |
| Currency | USD |
| Calculated by |
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Objective
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).
Mechanism
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.
The SGI Emerging Markets Mean Reversion Index began publishing on September 3, 2013. Therefore, all data for the Index for the period prior to September 3, 2013 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to September 3, 2013 consistent with the Index methodology. Results prior to September 3, 2013 may have been different had the Index actually been in existence. The SGI Emerging Markets 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.