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SGI Vol Invest Dynamic Carry Hedge Index (the “Index) is a scaled leveraged long or long/short strategy that aims to generate potential alpha (or yield) from the shape of the forward curve of VIX in most contango market conditions and generate potential alpha in most backwardation market conditions. The Index is a systematic index based on an optimized roll of VIX futures and implementation of dynamic leverage.
The Index relies on SG developed roll methodology which aims to reduce the cost of carry relative to the standard roll methodology by systematically taking hypothetical long positions in the VIX futures with the smallest cost of carry, and short positions in the VIX futures with the highest cost of carry when the VIX curve is in contango. When the VIX curve is in backwardation, long positions are taken in the VIX futures with the highest cost of carry, and short positions in the VIX futures with the smallest cost of carry (no short leg if the strategy is long of the first contract). The strategy applies 3X leverage, which is scaled back as positions are taken further along the curve. SG’s roll methodology is based on the closing price for futures 1 & 2 and the VWAP* for the 3rd future.
* Volume Weighted Average Price as calculated by Bloomberg over the last hour before the close of the market.