There are several information displayed on sgindex.com about SGI indices, such as the description, the mechanism and the performances of our indices.
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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
- Use user-friendly interface that helps you to find the information that you need on a specific index (launch date, performance, documentation...).
- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
You can find your favorite indices in the \"My Space\" section by clicking on the Account icon.
SGI Vol Premium Dynamic is an investable index, capturing the spread between the implied volatility and the realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.
The SGI Vol Premium Dynamic Index tracks the performance of a portfolio holding four short or long rolling positions in 1-month variance swaps on the S&P 500 Index. The position in variance swaps gives exposure to the spread between the implied variance and the realized variance. The strike of each variance swap is deducted from the VIX prior to the relevant roll date.
The dynamic exposure mechanism makes it possible to deleverage more quickly in case of a sudden rise in volatility.