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.