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SGI Vol Invest Dynamic Carry Hedge Index

Index level: 625.23 as of 22/06/2017

Main characteristics

Bloomberg Code SGIXVDCH
Inception Date 03/04/2013
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Vol Invest Dynamic Carry Hedge Index is a systematic index which aims to generate positive returns under different market conditions, by taking opportunistic long or long/short exposures on VIX futures and balancing positions on daily basis.

Mechanism

The SGI Vol Invest Dynamic Carry Hedge takes opportunistic long or long/short scaled leveraged positions along the VIX futures curve according to an optimization algorithm when the curve is in contango or backwardation. The index rolls every day 20% of both long and short positions to reach a vega positive or vega neutral position and selects the most advantageous VIX futures contract to roll based on everyday’s curve shape.


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