|Return type||Excess Return|
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.
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.