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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
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- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
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SGI Vol Invest Beta Short Term 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 the 3rd future.
* Volume Weighted Average Price as calculated by Bloomberg over the last hour before the close of the market.