SGI VI Alpha Short Term Index

Index level: 1939.669 as of 03/02/2023

Main characteristics

Bloomberg Code SGIXVIAS
Inception Date 03/04/2013
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones


The main objective of the SGI VI Alpha Short Term Index is to generate return from a dynamic steepener position on VIX futures contracts. The index is devised to profit from stable or decreasing equity volatility, while mitigating the downside in stressed markets through a reactive repositioning of the steepener position.


The SGI VI Alpha Short Term Index benefits from the shape of the futures curve, by combining  a dynamic long position on the “cheapest-to-roll” VIX futures contract with a short position on the 1st VIX futures contract. The consistent reassessment of the long position allows the Index to quickly reposition itself in order to mitigate the downside in the event of volatility spikes.

The SGI Vol Invest Alpha Short Term 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 trademarks 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. The S&P 500® Total Return index is the exclusive property of S&P Dow Jones and the CBOE Volatility Index® (the VIX®) is the property of the Chicago Board Options Exchange, Incorporated. The S&P 500® Total Return index and the VIX® have been licensed for use by SG in connection with the Index. S&P Dow Jones shall have no liability for any errors or omissions in calculating the Index.
Login to add this product to your favorites