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SGI Vol Invest Neutral Index

Index level: Index level is not available

Main characteristics

Bloomberg Code SGIXVIN
Inception Date 03/04/2013
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Vol Invest Neutral Index is a systematic index which aims to generate positive returns under different market conditions, by taking long / short exposures on VIX futures and balancing both L/S positions on daily basis.

Mechanism

The SGI Vol Invest Neutral index rolls every day 20% of both long and short positions (based on weekly Index level) to reach a vega neutral position regardless of curve movement on VIX futures.

The SGI Vol Invest Neutral Index selects the most advantageous VIX futures contract to roll based on everyday’s curve shape.


The SGI Vol Invest Neutral 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”); 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 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. S&P Dow Jones shall have no liability for any errors or omissions in calculating the Index.
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