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Main characteristics

Bloomberg Code SGIXVIER
Inception Date 29/07/2011
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

SGI Vinci ER Index (the Index) aims to provide a hedge against falling equities by giving a leveraged exposure to the implied volatility of the S&P 500 Index through a strategy that potentially reduces the cost of carry and may mitigate draw downs when volatility falls.
 
SGI Vinci is a systematic index based on an optimized roll of VIX futures and a dynamic leverage.

Mechanism

The Index combines two positions on VIX futures contracts: a long position (Beta Component) and a term structure position (Alpha Component). The Beta Component syntheticaly goes long VIX futures according to an optimised roll methodology seeking to deliver positive performance when volatility rises. The Alpha Component combines a long position on VIX futures using the optimised roll methodology and a short position on VIX futures using a standard roll strategy seeking to mitigate the risk of a decline in volatility following a volatility spike.
 
The positions of the Alpha and Beta Components are leveraged, thus resulting in a net long leveraged exposure to VIX futures.
 
Please refer to the accompanying material for additional detail regarding the Index.


The SGI Vinci (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 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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