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The Dynamic Short VIX Futures Index is a dynamic allocation between a hypothetical money market instrument and a dynamic strategy (the “Strategy”) designed to provide efficient short exposure to the first two nearby futures contracts on the VIX Index.
The Index tracks the performance of a money market instrument in USD and a Strategy taking short positions on the 1st to 2nd VIX futures contract. When the VIX Future Term structure is in backwardation, the index aims at not taking any position to potentially avoid losses. When the VIX Future Term structure is in contango, the index aims at rolling short term futures to potentially generate a carry gain.
The Dynamic Short VIX Futures Index is the exclusive property of SG. SG has contracted with the Chicago Board Options Exchange Incorporated (“CBOE”) to maintain and calculate the Index. The
VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX® Index have been licensed for use by SG in connection with the Index. Neither CBOE nor any of its affiliates shall have any liability for any errors or omissions in calculating the Index.