|Return type||Excess Return|
SGI Vol Invest Alpha 2 Index (the “Index”) is a long/short strategy that aims to generate yield (alpha) from the volatility curve in contango market conditions. The Index is a systematic index based on an optimized roll of VIX futures and a constant leverage.
The Index relies on SG developed roll methodology which aims to reduce the cost of carry relative to the standard roll methodology by taking hypothetical short positions in the first nearby VIX futures, and hypothetical long positions in the VIX futures with the smallest cost of carry (excluding the first nearby future), with a constant 2X leverage on both positions. SG’s roll methodology is based on the closing price for futures 1 & 2 and the VWAP* for futures 3 to 7.
* Volume Weighted Average Price as calculated by Bloomberg over the last hour before the close of the market.