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Main characteristics

Bloomberg Code SGIXVI
Inception Date 09/02/2012
Return Type Total Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

SGI Vol Invest Index (the Index) aims to provide a hedge against falling equities by providing net long leveraged exposure to the implied volatility of the S&P 500 Index through a strategy that potentially reduces the cost of carry and may mitigate draw downs when volatility falls. The Index is a systematic index based on an optimized roll of VIX futures and a dynamic leverage.

Mechanism

The Index relies on SG developed roll methodology which aims to reduce the cost of carry relative to standard roll methodology (i.e. systematic roll of the first nearby contract).
 
The Index provides exposure to two sub-indices:
 
(1) 100% exposure to the SGI VI Beta Index TR component which embeds a scaled long leveraged position on VIX futures using the SG developed roll methodology that aims to provide positive performance when volatility rises. The strategy provides 3X exposure that is scaled back as positions are taken further along the curve.
 
(2) 50% exposure to the SGI VI Alpha Index ER component which is a long/short strategy that aims to generate alpha (or yield) in order to mitigate the risk of a decline in volatility following a volatility spike. The alpha strategy is long the VIX future picked by the SG proprietary roll methodology and short the first nearby VIX future, with a constant 2X leverage.
 
The weights of the 2 components in the SGI Vol Invest Index are rebalanced monthly.
 


The SGI Vol Invest Index (USD - TR) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index. The S&P 500® Total Return index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and the CBOE Volatility Index® (the VIX®) is the property of the Chicago Board Options Exchange, Incorporated. The S&P 500® Total Return index and the VIX® have been licensed for use by SG in connection with the Index.
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