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Main characteristics

Bloomberg Code SGIXVTBC
Inception Date 16/04/2007
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Vol Target BRIC index aims to outperform the S&P BRIC 40 (TR) index benchmark through an allocation between risky and non-risky assets. The index takes profit of the relation between bear markets and rising volatility observed in BRIC markets.

Mechanism

The Index systematically varies its exposure to its three components depending on the  annualized 20-day historical volatility of the Underlying Index (the Historical Volatility”) relative to a target volatility of 18% (the Target Volatility):
 
- When the Historical Volatility exceeds the Target Volatility, the Index is less than 100% exposed to the Underlying Index and will be exposed, in whole or in part, to the Hypothetical Deposit. The greater the excess of the Historical Volatility over the Target Volatility, the greater the exposure of the Index to the Hypothetical Deposit, and the lesser the exposure of the Index to the Underlying Index. In this case, the Index is not exposed to the Hypothetical Borrowing.
 
- When the Historical Volatility is less than the Target Volatility, the Index is more than 100% exposed to the Underlying Index, subject to a maximum of 200% exposure. This leveraged exposure to the Underlying Index is deemed financed by the Hypothetical Borrowing. The greater the excess of the Target Volatility over the Historical Volatility, the greater the exposure of the Index to the Underlying Index and the Hypothetical Borrowing. The Hypothetical Borrowing will have a negative impact on performance of the Index. In this case, the Index is not exposed to the Hypothetical Deposit.


The SGI Vol Target BRIC (USD - TR) (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 BRIC 40SM index is the exclusive property of S&P Dow Jones Indices, its affiliates and/or their third party licensor(s) and has been licensed for use by SG in connection with the Index.
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