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SGI Vol Invest Neutral Index

Index level: 771.48 as of 01/17/2020

Main characteristics

Bloomberg code SGIXVIN
Inception date 04/03/2013
Return type Excess Return
Currency USD

Objective

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.

Mechanism

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.

The Index began publishing on April 3, 2013. Therefore, all data for the Index for the period prior to April 3, 2013 represent Standard & Poor's ("S&P"s) application of the Index methodology in order to reconstruct hypothetical historical data. Results during the period prior to April 3, 2013 may have been different(perhaps considerably) had the Index actually been in existence. The SGI Vol Invest Neutral 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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