|Return type||Total Return|
SGI Vol Invest Beta 2 Index (the “Index”) aims to provide long exposure to the implied volatility of the S&P 500 Index through VIX futures in order to provide positive performance when volatility rises. The Index is based on an SG systematic methodology that aims to optimize the roll of VIX futures and implement 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 taking hypothetical long positions on VIX futures. 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 futures 3 to 7.
* Volume Weighted Average Price as calculated by Bloomberg over the last hour before the close of the market.