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SGI Vol Premium Dynamic

Index level: 2020.09 as of 03/28/2017

Main characteristics

Bloomberg code SGIXVPD
Inception date 12/01/2008
Return type Excess Return
Currency USD

Objective

SGI Vol Premium Dynamic is an investable index, capturing the spread between the implied volatility and the realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.

Mechanism

The SGI Vol Premium Dynamic Index tracks the performance of a portfolio holding four short or long rolling positions in 1-month variance swaps on the S&P 500 Index. The position in variance swaps gives exposure to the spread between the implied variance and the realized variance. The strike of each variance swap is deducted from the VIX prior to the relevant roll date.
 
The dynamic exposure mechanism makes it possible to deleverage more quickly in case of a sudden rise in volatility.


The SGI Vol Premium Dynamic (Excess Return) Index began publishing on December 1, 2008. Therefore, all data for the Index for the period prior to December 1, 2008 represent Standard & Poor’s ("S&P's") application of the Index methodologies in order to reconstruct hypothetical historic data for the period prior to December 1, 2008 consistent with the Index methodologies. Results prior to December 1, 2008 may have been different had the Index actually been in existence.  The SGI Vol Premium Dynamic 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. Structured Products linked to the SGI Vol Premium Dynamic Index is only being offered and sold in the United States to persons who are "Accredited Investors", as defined under the U.S. Securities Act of 1933, as amended.
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