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SGI VRR US Index - Vol Roll on Rates (USD - Total Return)

Index level: 1202.97 as of 19/09/2019

Main characteristics

Bloomberg Code SGBVVRRU
Inception Date 23/04/2018
Return Type Total Return
Currency USD
Calculated By Bloomberg

Objective

The Index aims to generate a systematic positive carry from the backwardation in the USD swaption volatility term structure by investing in delta hedged swaption triangles.

 

Mechanism

The VRR Strategy is a systematic investment strategy that takes advantage of the backwardated term structure of the USD rates     volatility. It sets up a “cheap” long forward volatility position every week built with simple ATMf straddles using the expiry/tenor that offers the highest expected carry.


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