The SGI Beta Leveraged Low Volatility US Index aims at delivering the performance of the S&P 500, increased by the alpha extracted from the low volatility stocks anomaly phenomenon, while maintaining a beta close to 1 vs. the original benchmark. The index tracks the performance of the 100 constituents of the S&P 500 that exhibits the lowest volatility with a leverage equal to 1/beta.
The index universe includes the constituents of the S&P 500 index complying to the liquidity filters. It includes stocks with a free-float market capitalization higher than 3 billion USD and an average daily volume higher than 10million USD.
Each month, the Index composition is reviewed. On each scheduled review date, eligible stocks are ranked by the 6-month historical volatility. The 100 eligible stocks with the lowest 6-month historical volatility are selected and deemed to be constituents of the index. The index is equally weighted.
To maintain a beta close to 1 vs. the benchmark, the index uses a leverage equal to 1/beta. The target exposure is capped at 200% and floored at 50% with a monthly leverage variation capped at 20%.