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SGI Vol Premium Dynamic 2

Index level: 1555.35 as of 19/10/2017

Main characteristics

Bloomberg Code SGIXVPD2
Inception Date 14/03/2011
Return Type Excess Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

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.

Mechanism

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.


The SGI Vol Premium Dynamic 2 (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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