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.
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.