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SGI Vol Target BRIC Invest

Index level: 1384.40 as of 20/09/2017

Main characteristics

Bloomberg Code SGIXVTBI
Inception Date 18/04/2007
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 (S&P BRIC 40 index) and non-risky (US Libor 1-month) assets. The index takes profit of the relation between bear markets and rising volatility observed in BRIC markets. 

Mechanism

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 Invest (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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