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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
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The SG 15% VT on SGI Biotech Index is designed a basket that is long the SGI Biotech Index with a volatility control mechanism set with a target volatilty of 15%
The Index is calculated and published by S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) and is sponsored by Société Générale.
The Index is composed of a hypothetical basket that is long the SGI Biotech 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: the short term historical volatility of the Subindex, a target volatility of 15%, and the historical volatility of the Index itself, 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.
The Exposure is capped at 100% of the Index Level and can be as low as 0%.
If the Exposure is less than 100%, a percentage of the Index’s level is deemed invested in the Subindex in an amount equal to the product of the Exposure and the Index Level.