SGI Vol Invest Dynamic Carry Index
Index level: 681.26 as of 08/06/2018
Main characteristics
| Bloomberg Code | SGIXVIDC |
|---|---|
| Inception Date | 05/10/2012 |
| Return Type | Excess Return |
| Currency | USD |
| Calculated By |
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Objective
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.
Mechanism
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.
The SGI Vol Invest Dynamic Carry Index (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”). “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 Indices. The S&P 500 ® is exclusively the property of S&P Dow Jones Indices. The S&P 500 ® Index has been licensed for use by SG in connection with the Indices. 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 Index.