SGI Vol Premium Dynamic 2 is a systematic rules based index, aiming to capture the spread between implied volatility and realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.
The SGI Vol Premium Dynamic 2 Index tracks the performance of a hypothetical portfolio holding variance swaps, rolling short or long positions on 1-month variance swaps each business day. The positions in the variance swaps attempt to catpure the spread between implied and realized volatility. The strike of each variance swap is based on the VIX prior to the relevant roll date.
The dynamic exposure mechanism of the Index seeks to deleverage more quickly in case of a sudden rise in volatility.