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SGI Vol Invest Gravity Index

Index level: 823.62 as of 08/17/2017

Main characteristics

Bloomberg code SGIXVIGR
Inception date 10/11/2013
Return type Excess Return
Currency USD
Calculated by Standard & Poor's

Objective

Some assets 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 assets. The SGI VI Gravity Index is a systematic index with its level published daily on Bloomberg, that aims 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 SGI VI Spread Index*.

 

* The SGI VI Spread Index aims to be a systematic investible proxy to the VIX Index, with potentially enhanced mean reversion patterns.

Mechanism

The SGI VI Gravity Index takes hypothetical long positions in the daily variance and hypothetical short positions in the bi-weekly variance of the SGI VI Spread Index.  Exposure to the variance spread is capped and floored at 200% and -20% respectively, in order to mitigate the risk of drawdown following a prolonged trend in the SGI VI Spread Index.


The SGI VI Gravity Index began publishing on October 11, 2013. Therefore, all data for the Index for the period prior to October 11, 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 October 11, 2013 consistent with the Index methodology. Results prior to October 11, 2013 may have been different had the Index actually been in existence. The SGI VI Gravity 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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