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SGI Vol Premium Dynamic

Index level: 2203.82 as of 22/11/2017

Main characteristics

Bloomberg Code SGIXVPD
Inception Date 01/12/2008
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

SGI Vol Premium Dynamic is an investable index, capturing the spread between the implied volatility and the realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.

Mechanism

The SGI Vol Premium Dynamic Index tracks the performance of a portfolio holding four short or long rolling positions in 1-month variance swaps on the S&P 500 Index. The position in variance swaps gives exposure to the spread between the implied variance and the realized variance. The strike of each variance swap is deducted from the VIX prior to the relevant roll date.
 
The dynamic exposure mechanism makes it possible to deleverage more quickly in case of a sudden rise in volatility.


The SGI Vol Premium Dynamic (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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