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SGI Vol Invest Hedge Index (the Index) aims to provide a hedge against falling equities by providing net long 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. The Index is a systematic index based on an optimized roll of VIX futures and a dynamic leverage.
The Index relies on SG developed roll methodology which aims to reduce the cost of carry relative to standard roll methodology (i.e. systematic roll of the first nearby contract). The Index provides exposure to two sub-indices:
(1) 100% exposure to the SGI VI Beta Short Term Index component which embeds a scaled long leveraged position on VIX futures using the SG developed roll methodology that aims to provide positive performance when volatility rises. The strategy provides 3X exposure that is scaled back as positions are taken further along the curve.
(2) 50% exposure to the SGI VI Alpha Short Term Index component which is a long/short strategy that aims to generate alpha (or yield) in order to mitigate the risk of a decline in volatility following a volatility spike. The alpha strategy is long the VIX future picked by the SG proprietary roll methodology and short the first nearby VIX future, with a constant 2X leverage.
The weights of the 2 components in the SGI Vol Invest 2 Index are rebalanced monthly.