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SGI VI Alpha 2

Index level: 1040.67 as of 12/12/2019

Main characteristics

Bloomberg code SGIXVIA2
Inception date 07/05/2012
Return type Excess Return
Currency USD

Objective

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.

Mechanism

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.

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 Alpha 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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