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Main characteristics

Bloomberg Code SGIXVIAE
Inception Date 12/01/2012
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

The main objective of the SGI VI Alpha Index is to generate return from a dynamic position on the VIX futures curve. The index is devised to profit from stable or decreasing equity volatility, while mitigating the downside in stressed markets through a reactive repositioning of the curve position.

Mechanism

The SGI VI Alpha Index benefits from the shape of the futures curve, by combining  a dynamic long position on the “cheapest-to-roll” VIX futures contract with a short position on the 1st VIX futures contract. The consistent reassessment of the long position allows the Index to quickly reposition itself in order to mitigate the downside in the event of volatility spikes.


The SGI VI Alpha Index (USD - ER) (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 VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX ® Index has been licensed for use by SG in connection with the
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