SGI VRR US Index Trend Index (Excess Return)

Index level: 385.308 as of 19/10/2021

Main characteristics

Bloomberg Code SGIXEV3R
Inception Date 17/10/2021
Return Type Excess Return
Currency USD
Calculated By Solactive


The SGI VRR US Index Trend aims to generate a systematic positive carry from the USD swaption volatility term structure by investing in delta hedged swaption triangles, with a trend adjustment. This Index is a systematic investment strategy that takes advantage of the backwardation in the USD rates volatility term structure and the  trending pattern of rates in periods of stress.

The SGI VRR US Index Trend - Excess Return - (the “Index”) 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.

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