|Return type||Excess Return|
The SGI RP Income Index is a multi-strategy basket which implements various short volatility strategies in Equities, FX, and VIX Futures. The Index aims to generate long-term positive returns while potentially limiting downside risk though diversification.
The SGI RP Income Index utilizes a static allocation (rebalanced quarterly). The allocation was set based on long-term volatility levels and the weights are inversely proportional to the long-term historical volatility.