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|Return type||Excess Return|
SGI Vol Premium 3 Index (the “Index”) is a systematic and rule based index that aims to capture the potential volatility risk premium that may be observed on the S&P 500 Index between the implied and realized volatility. The Index is designed to track the performance of a hypothetical portfolio of rolling short positions in a group of five (5) hypothetical 1-month variance swaps on the S&P 500 Index.
The Index portfolio comprises hypothetical short positions in 5 variance swaps each representing 1/5th of the portfolio (entered into over 5 successive business days). Each new variance swap’s characteristics are as follows:
- Strike; corresponding to the prevailing implied volatility
- Maturity; corresponding to the listed maturity closest to 1 month or slightly longer
- Nominal; resulting in a hypothetical exposure equal to 35% of the Index level
Shortly before each variance swap’s maturity, the hypothetical position is rolled (spread over 5 successive business days). The previous variance swap positions are deemed unwound (mark-to-market value is deemed realized), and hypothetical short positions in new variance swaps are deemed taken.