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SGI 15% VT on SGI Biotech Index

Index level: 6793.22 as of 02/07/2020

Main characteristics

Bloomberg Code SGMDBIOV
Inception Date 16/09/2019
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones

Objective

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.

 

 

 

Mechanism

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.

 


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