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SGI Vol Premium Dynamic 2

Index level: 1447.73 as of 03/28/2017

Main characteristics

Bloomberg code SGIXVPD2
Inception date 03/14/2011
Return type Excess Return
Currency USD

Objective

SGI Vol Premium Dynamic 2 is a systematic rules based index, aiming to capture the spread between implied volatility and realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.

Mechanism

The SGI Vol Premium Dynamic 2 Index tracks the performance of a hypothetical portfolio holding variance swaps, rolling short or long positions on 1-month variance swaps each business day. The positions in the variance swaps attempt to catpure the spread between implied and realized volatility. The strike of each variance swap is based on the VIX prior to the relevant roll date.
 
The dynamic exposure mechanism of the Index seeks to deleverage more quickly in case of a sudden rise in volatility.


The SGI Vol Premium Dynamic 2 Index began publishing on March 14, 2011. Therefore, all data for the Indices for the period prior to March 14, 2011 represent Standard & Poor’s ("S&P's") application of the Index methodologies in order to reconstruct hypothetical historic data for the period prior to March 14, 2011 consistent with the Index methodologies. Results prior to March 14, 2011 may have been different had the Indices actually been in existence.  The SGI Vol Premium Dynamic 2 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 2 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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