|Return type||Excess Return|
SGI Vol Invest Neutral Index (the “Index”) is a 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 a constant 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 in the VIX futures with the smallest cost of carry, and hypothetical short positions in the VIX futures with the highest cost of carry, 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 the 3rd future.
* Volume Weighted Average Price as calculated by Bloomberg over the last hour before the close of the market.