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Main characteristics

Bloomberg code SGIXRPTP
Inception date 08/28/2014
Return type Excess Return
Currency USD

Objective

The SGI RP Income Index is a multi-strategy basket which implements various short volatility strategies in Equities, FX, and VIX Futures. The Index aims to generate long-term positive returns while potentially limiting downside risk though diversification.

Mechanism

The SGI RP Income Index utilizes a static allocation (rebalanced quarterly).  The allocation was set based on long-term volatility levels and the weights are inversely proportional to the long-term historical volatility. 


The SGI US RP Income Index (the “Index”) began publishing on October 2, 2014. Therefore, all data for the Index for the period prior to  October 2, 2014 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to  October 2, 2014 consistent with the Index methodology. Results prior to October 2, 2014 may have been different had the Index actually been in existence. The SGI US RP Income 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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