SGI VRR EU Index - Vol Roll on Rates (EUR - Total Return)

Index level: 1220.975 as of 04/10/2022

Main characteristics

Bloomberg Code SGBVVRRE
Inception Date 25/05/2018
Return Type Total Return
Currency EUR
Calculated By Solactive

Objective

The VRR Strategy (Vol Roll on Rates) is a systematic investment strategy that takes advantage of the “backwardated” shape of the EUR Volatility Term Structure to generate persistent positive carry.

Mechanism

The strategy rolls weekly a long Forward Volatility position choosing the option on the curve maximising the volatility exposure by:

  • Buying “cheap” forward volatility …
  • … using simple ATM Swaption Straddles …
  • … on the expiry / tenor with the highest expected carry.

 


The SGI VRR EU Index - Vol Roll on Rates (EUR - Total Return) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.