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SGI Vol Invest Hedge Index

Index level: 400.44 as of 17/08/2017

Main characteristics

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

Objective

The main objective of the SGI Vol Invest Hedge Index is to provide investors with an efficient instrument for equity hedging strategies, by taking a net long exposure to the implied volatility of the S&P 500 Index through VIX futures, while mitigating the typical cost of carrying this position.

Mechanism

The SGI Vol Invest Hedge Index aims to offer an asymmetric return profile by combining two sub-index strategies:

  1. SGI VI Beta Short Term Index exploits the steepness of the forward curve of the VIX Index through an optimised roll strategy. It seeks to profit from the short-term rise in the volatility of the S&P 500 Index, while mitigating the cost of carry in periods of market stability.
  2. SGI VI Alpha Short Term Index benefits from the shape of the futures curve, by combining a dynamic Long/short strategy on the VIX Futures. It aims at generating returns in the event of falling or stable volatility, while reducing the downside in stressed markets.

The SGI Vol Invest Hedge 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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