|Return type||Excess Return|
SGI Vol Invest Dynamic Carry Index (the “Index) is a scaled leveraged long/short strategy that aims to generate potential alpha (or yield) from the shape of the forward curve of VIX in most contango and backwardation market conditions. The Index is a systematic index based on an optimized roll of VIX futures and implementation of 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 systematically taking hypothetical long positions in the VIX futures with the smallest cost of carry, and short positions in the VIX futures with the highest cost of carry when the VIX curve is in contango. When the VIX curve is in backwardation, a long position is taken in the VIX future with the highest positive carry. The strategy applies 3X leverage, which is scaled back as positions are taken further along the curve.