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SGI Vol Invest Dynamic Carry Hedge Index

Index level: 1006.16 as of 03/27/2020

Main characteristics

Bloomberg code SGIXVDCH
Inception date 04/03/2013
Return type Total Return
Currency USD

Objective

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.

Mechanism

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.

The Index began publishing on April 3, 2013. Therefore, all data for the Index for the period prior to April 3, 2013 represent Standard & Poor's ("S&P"s) application of the Index methodology in order to reconstruct hypothetical historical data. Results during the period prior to April 3, 2013 may have been different(perhaps considerably) had the Index actually been in existence. The SGI Vol Invest Dynamic Carry Hedge 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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