The SGI Vol Invest Dynamic Carry Index is a systematic index which aims to generate positive returns under different market conditions, by taking long or short exposures on VIX futures and balancing positions on daily basis.
The SGI Vol Invest Dynamic Carry takes opportunistic long or short scaled leveraged positions along the VIX futures curve according to an optimization algorithm when the curve is in contango or backwardation. The index rolls every day 20% of both long and short positions and selects the most advantageous VIX futures contract to roll based on everyday’s curve shape.