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SG Global Security USD VT 9 Index

Index level: 1540.86 as of 14/02/2020

Main characteristics

Bloomberg Code SGKMSEC9
Inception Date 08/11/2019
Return Type Excess Return
Currency USD
Calculated By Solactive

Objective

The SG Global Security USD VT 9 Index is designed a basket that is long the SG Global Security Index with a volatility control mechanism set with a target volatility of 9%.
The Index is calculated and published by Solactive A.G, and is sponsored by Société Générale.

Mechanism

The Index is composed of a hypothetical basket that is long the SG Global Security Index.

The Index is constructed pursuant to a daily Vol Target process where the deemed exposure of the Index to the Subindex is based on a formula using the following input parameters:
(i) the short term historical volatility of the Subindex (the “Realized Volatility”) ;
(ii) a target volatility of 9% (the “Target Volatility”) ;
such that, in most cases, when the short-term historical volatility of the Subindex increases, the deemed exposure to the Subindex decreases, and when the short-term historical volatility of the Subindex decreases, the deemed exposure to the Subindex increases.


SG Global Security USD VT 9 Index (the “Index”) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.

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