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Main characteristics

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

Objective

The main objective of the SGI VI Beta Index is to provide investors with an efficient instrument for equity hedging strategies, by taking an enhanced 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 VI Beta Index goes long VIX Futures according to an optimised roll strategy, which aims at exploiting the steepness of the forward curve of the VIX Index.  It also applies a dynamic exposure algorithm in order to fully capture the short-term rise in the volatility of the S&P 500 Index and to mitigate the cost of carry in periods of market stability.


The SGI VI Beta 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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