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SGI Vol Invest Smart Beta

Index level: 799.61 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXVISB
Inception Date 15/04/2016
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Vol Invest Smart Beta Index is designed to provide investors with an efficient instrument for equity hedging strategies. The Index gives investors exposure to the implied volatility of the S&P 500 Index through VIX Futures, which tends to be negatively correlated with the performances of the major equity indices.

Mechanism

The SGI Vol Invest Smart Beta Index tracks the performance of a strategy that consists of rolling futures contracts on the VIX. The Index replicates a systematic long volatility strategy that takes positions in such futures according to an SG developed “optimized roll methodology”; which aims at exploiting the steepness of the forward curve of the VIX in order to mitigate the rolling costs generally associated with rolling such futures contracts. The Index may thus track long positions in various CBOE Volatility Index VIX futures contracts at any point in time.


The SGI Vol Invest Smart Beta (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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by SG.  Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.

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