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SGI US Delta Cap Mean Reversion

Index level: 1037.65 as of 10/16/2019

Main characteristics

Bloomberg code SGIXUSGC
Inception date 06/03/2013
Return type Excess Return
Currency USD

Objective

US equity markets appear to have a tendency to mean revert, meaning that large positive moves are often followed by negative ones (and vice versa). On average, this should result in a positive spread between the daily and bi-weekly realized variance of the returns of such markets.

 

*The SGI US Delta Cap Mean Reversion Index is a systematic index with its level published daily on Bloomberg, aiming to generate positive performance by capturing this potential spread through hypothetical positions that are long the daily variance and short the bi-weekly variance of the S&P 500 Index. Exposure to the spread is capped when exposure to the S&P 500 Index reaches an absolute value of 200%.

Mechanism

The SGI US Delta Cap Mean Reversion Index takes hypothetical long positions in the daily variance and hypothetical short positions in the bi-weekly variance of the S&P 500 Index, while capping its maximum exposure to the underlying S&P 500 Index at an absolute value of 200%. In addition, these hypothetical positions are rolled only on Tuesdays, Wednesdays, and Thursdays of each week over a two-week period, in order to avoid a potential weekend effect on the volatility of the S&P 500 Index on Mondays and Fridays.

 

*FOR THE PURPOSES OF THIS FACTSHEET, DAILY VARIANCE REFERS TO THE SUM OF THE SQUARED DAILY RETURNS OF THE S&P 500 OVER THE GIVEN PERIOD, WHEREAS BI-WEEKLY VARIANCE REFERS TO THE SQUARED SUM OF THE DAILY RETURNS OF THE S&P 500 OVER THE GIVEN PERIOD.

The SGI US Delta Cap Mean Reversion Index began publishing on July 3, 2013. Therefore, all data for the Index for the period prior to July 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 July 3, 2013 consistent with the Index methodology. Results prior to July 3, 2013 may have been different had the Index actually been in existence. The SGI US Delta Cap 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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