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Main characteristics

Bloomberg code SGIXVIER
Inception date 07/29/2011
Return type Excess Return
Currency USD

Objective

SGI Vinci ER Index (the Index) aims to provide a hedge against falling equities by giving a leveraged exposure to the implied volatility of the S&P 500 Index through a strategy that potentially reduces the cost of carry and may mitigate draw downs when volatility falls. SGI Vinci is a systematic index based on an optimized roll of VIX futures and a dynamic leverage.

Mechanism

The Index combines two positions on VIX futures contracts: a long position (Beta Component) and a term structure position (Alpha Component). The Beta Component syntheticaly goes long VIX futures according to an optimised roll methodology seeking to deliver positive performance when volatility rises. The Alpha Component combines a long position on VIX futures using the optimised roll methodology and a short position on VIX futures using a standard roll strategy seeking to mitigate the risk of a decline in volatility following a volatility spike.
 
The positions of the Alpha and Beta Components are leveraged, thus resulting in a net long leveraged exposure to VIX futures.


The SGI Vinci ER Index (the "Index") began publishing on July 29, 2011. therefore, all data for the SGI Index for the period prior to July 29, 2011 represent Standard & Poor's ("S&P's") application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to July 29, 2011 consistent with the index methodology. Results prior to July 29, 2011 may have been different had the Index actually been in existence. The SGI Vinci 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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