|Return type||Excess Return|
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.
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.