Main characteristics

Bloomberg Code VRR2RULES
Inception Date 10/11/2020
Return Type Excess Return
Currency USD
Calculated By Solactive

Objective

The SGI VRR US Index – Series 2 (USD) (the “Index”) is a systematic, rules-based strategy that aims to generate a systematic positive carry from the USD swaption volatility term structure.

Mechanism

Taking advantage of the “backwardated” shape of the USD Volatility Term Structure to generate persistent positive carry by buying “cheap” forward volatility using simple ATM Swaption Straddles,  the SGI VRR Series 2 Index offers a unique combination of diversification features vs traditional and Risk Premia portfolios:

  • A persistent positive carry,
  • A low correlation to traditional assets classes and risk premia in a normal regime,
  • A risk-off profile in stressed scenario.

The SGI VRR Series 2 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 otheLeverage related risk: This Index includes embedded leverage, which amplifies the
variation, upwards or downwards, in the value of the underlying instrument(s).

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