Main characteristics
| Bloomberg Code | SGIXVI2 |
|---|---|
| Inception Date | 05/07/2012 |
| Return Type | Total Return |
| Currency | USD |
| Calculated By |
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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:
- 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.
- 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.