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SGI Systematic US Short Call Index

Index level: 1079.62 as of 08/17/2017

Main characteristics

Bloomberg code SGIXSUSC
Inception date 08/27/2015
Return type Total Return
Currency USD


The SGI Systematic US Short Call tracks a hypothetical portfolio of short positions in call options which aims to generate positive performance in volatile, bearish periods, while smoothing option entry points to potentially reduce drawdowns and overall strategy volatility.


The Option Portfolio consists of ten hypothetical 102% 2-week call options sold on the S&P 500® Price Return Index over the last ten successive business days with 1/10th of the nominal sold daily. This methodology seeks to reduce sudden drawdown risk by smoothing the volatility.

The SGI Systematic US Short Call Index has been backtested since and calculated since 08/27/2014 THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA. Société Générale ("SG") believes that the information on this page or accessible from this page is reliable but makes no representation or warranty as to whether the information is current, accurate or complete. SG is under no obligation to update, modify or amend this communication or to otherwise notify you that any matter contained herein has changed or subsequently became inaccurate. SG and its affiliates expressly disclaim all responsibility for any use of or reliance upon the information on or accessible from this page. This presentation is provided solely for informational purposes and may not be construed as an offer to buy or sell, or a solicitation of an offer to buy or sell, any financial instrument. If you are considering investing in a financial instrument whose performance is based in whole or in part on the index described herein, you should refer to the full offering document for important information concerning such investment, including related risk factors. Such risks include, without limitation, risk of loss of some or all of your investment, risk of adverse or unanticipated market developments, risk of counterparty or issuer default and risk of liquidity. The SGI Systematic US Short Call Index (the “Index”) began publishing on August 27, 2014. Therefore, all data for the Index for the period prior to August 27, 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 August 27, 2014 consistent with the Index methodology. Results prior to August 27, 2014 may have been different had the Index actually been in existence. The SGI Systematic US Short Call 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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