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SGI 10Y US Treasury Note Vol Target Index

Index level: Index level is not available

Main characteristics

Bloomberg code SGIXTYV6
Inception date 02/14/2014
Return type Excess Return
Currency USD

Objective

The SGI 10Y US Treasury Note Vol Target Index (the Index) monitors its exposure to the SGI 10Y US Treasury Note Index (the “Underlying Index”) and implements a risk monitoring mechanism to optimize performance and control volatility.

Mechanism

The Underlying Index is hypothetically exposed to the performance of a notional position in the 1st nearest 10Y US Treasury Note future contract, which is synthetically rolled every 3 months.

 

The Index varies its exposure to the Underlying Index depending on the historical volatility of such Underlying Index as compared to a Target Volatility of 6%. If the historical volatility is greater or less than 6% the Index increases or decreases its exposure to the Underlying Index in order to maintain the volatility of the Index as close to 6% as possible.


The SGI 10Y US Treasury Note Vol Target Index began publishing on February 14, 2014. Therefore, all data for the Index for the period prior to February 14, 2014 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to February 14, 2014 consistent with the Index methodology. Results prior to February 14, 2014 may have been different had the Index actually been in existence. The SGI 10Y US Treasury Note Vol Target Index (the “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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