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SGI VRR US Index - EUR Hedged (EUR - Total Return)

Index level: 1031.06 as of 03/08/2020

Main characteristics

Bloomberg Code SGBVRRU2
Inception Date 07/01/2019
Return Type Total Return
Currency EUR
Calculated By Bloomberg

Objective

The SGI VRR US Index – EUR Hedged (EUR - Total Return) is a systematic, rules-based strategy that aims to provide a hypothetical exposure to the performance of an SGI Index which aims to generate a systematic positive carry from the USD swaption volatility term structure, while hedging the performance of such index in EUR. 
The Index is calculated and published by Bloomberg Finance L.P. and is sponsored by Société Générale.

Mechanism

The Index is composed of an Underlying SGI Index (the “Index Component”).


The SGI VRR US Index – EUR Hedged has been developed by, and is proprietary to, Société Générale and no third party shall have any proprietary interest herein except as may be expressly granted by SG. Bloomberg Finance L.P. acknowledges that the ownership and all intellectual property rights in respect of the name of the Index are and shall remain the exclusive property of SG.

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