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SGI Vol Target BRIC

Index level: 1716.90 as of 11/23/2017

Main characteristics

Bloomberg code SGIXVTBC
Inception date 04/16/2007
Return type Total Return
Currency USD

Objective

The SGI Vol Target BRIC Index (the Index) consists of and is constructed pursuant to a systematic rebalancing process between three components: (i) the S&P BRIC 40 Index (Net Total Return) (Bloomberg Ticker: SPTRBRIC ) (the Underlying Index), (ii) a Hypothetical Deposit yielding at USD 1-month LIBOR (the LIBOR Rate), and (iii) a Hypothetical Borrowing based on the LIBOR Rate. The Underlying Index is designed to track the performance of 40 leading companies from the emerging markets of Brazil, Russia, India and China (the BRIC countries). The Index components' weightings are determined based on the volatility of the Underlying Index compared to a pre-defined target level.

Mechanism

The Index systematically varies its exposure to its three components depending on the annualized 20-day historical volatility of the Underlying Index (the Historical Volatility”) relative to a target volatility of 18% (the Target Volatility):
 
- When the Historical Volatility exceeds the Target Volatility, the Index is less than 100% exposed to the Underlying Index and will be exposed, in whole or in part, to the Hypothetical Deposit. The greater the excess of the Historical Volatility over the Target Volatility, the lesser the exposure of the Index to the Underlying Index and the greater the exposure of the Index to the Hypothetical Deposit. In this case, the Index is not exposed to the Hypothetical Borrowing.
 
- When the Historical Volatility is less than the Target Volatility, the Index is more than 100% exposed to the Underlying Index, subject to a maximum of 200% exposure. This leveraged exposure to the Underlying Index is deemed financed by the Hypothetical Borrowing. The greater the Historical Volatility decreases from the target volatility, the greater the exposure of the Index to the Underlying Index and the Hypothetical Borrowing. The Hypothetical Borrowing will have a negative impact on performance of the Index. In this case, the Index is not exposed to the Hypothetical Deposit.


Hypothetical Cumulative Performance: this analysis assumes a starting level of 100 for each index on 03/05/2001. This is the earliest date for which Index levels are available. The historical performance information set forth herein is illustrative and provided for information only. It should not be read as a guarantee or an indication of the future performance of the Index described herein or any other index. The SGI Vol Target BRIC Index began publishing on April 18, 2007. Therefore, all data for the Index for the period prior to April 18, 2007 represent Standard & Poor’s ("S&P's") application of the Index methodology in order to reconstruct hypothetical historic data for the period prior to April 18, 2007 consistent with the Index methodology. Results prior to April 18, 2007 may have been different had the Index actually been in existence. The SGI Vol Target BRIC 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.
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