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Main characteristics

Bloomberg Code SGIXVTBE
Inception Date 16/04/2007
Return Type Total Return
Currency EUR
Calculated By S&P Dow Jones


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.


The SGI Vol Target BRIC index adjusts the allocation between risky (S&P BRIC 40 Index) and non-risky (US Libor 1-month) assets so that its 1-month realised volatility remains close to a 18% maximum target. The index can then be leveraged (with a cap set at 200%) or de-leveraged to keep the 18% target volatility unchanged. This strategy allows investors to fully benefit from stable market by being over exposed on equities, and protects them from market drawdowns by reducing index exposure on S&P BRIC 40 Index. The index is rebalanced on a daily basis.

The SGI Vol Target BRIC (EUR - 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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