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Main characteristics

Bloomberg Code SGIXVI2
Inception Date 05/07/2012
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The main objective of the SGI Vol Invest 2 Index is to provide investors with an efficient instrument for equity hedging strategies, by taking a net long exposure to the implied volatility of the S&P 500 Index through VIX futures, while mitigating the typical cost of carrying this position.
 

Mechanism

The SGI Vol Invest 2 Index aims to offer an asymmetric return profile by combining two sub-index strategies:

  1. SGI VI Beta 2 Index exploits the steepness of the forward curve of the VIX Index through an optimised roll strategy. It seeks to profit from the short-term rise in the volatility of the S&P 500 Index, while mitigating the cost of carry in periods of market stability.
  2. SGI VI Alpha 2 Index benefits from the shape of the futures curve, by combining a dynamic Long/short strategy on the VIX Futures. It aims at generating returns in the event of falling or stable volatility, while reducing the downside in stressed markets.

The SGI Vol Invest 2 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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