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SGI Vol Invest 2 Index

Index level: 315.44 as of 07/21/2017

Main characteristics

Bloomberg code SGIXVI2
Inception date 07/05/2012
Return type Total Return
Currency USD

Objective

SGI Vol Invest 2 Index (the Index) aims to provide a hedge against falling equities by providing net long leveraged exposure to the implied volatility of the S&P 500 Index through a strategy that potentially reduces the cost of carry and may mitigate draw downs when volatility falls. The Index is a systematic index based on an optimized roll of VIX futures and a dynamic leverage.

Mechanism

The Index relies on SG developed roll methodology which aims to reduce the cost of carry relative to standard roll methodology (i.e. systematic roll of the first nearby contract).
 
The Index provides exposure to two sub-indices:
 
(1) 100% exposure to the SGI VI Beta 2 Index TR component
which embeds a scaled long leveraged position on VIX futures using the SG developed roll methodology that aims to provide positive performance when volatility rises. The strategy provides 3X exposure that is scaled back as positions are taken further along the curve.
 
(2) 50% exposure to the SGI VI Alpha 2 Index ER component which is a long/short strategy that aims to generate alpha (or yield) in order to mitigate the risk of a decline in volatility following a volatility spike. The alpha strategy is long the VIX future picked by the SG proprietary roll methodology and short the first nearby VIX future, with a constant 2X leverage.
 
The weights of the 2 components in the SGI Vol Invest 2 Index are rebalanced monthly.


The Index began publishing on July 5, 2012. Therefore, all data for the Index for the period prior to July 5, 2012 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 July 5, 2012 may have been different(perhaps considerably) had the Index actually been in existence. The SGI Vol Invest 2 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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