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SGI Chipeco Vol Target

Index level: 786.26 as of 10/17/2017

Main characteristics

Bloomberg code SGMDCPCV
Inception date 02/07/2011
Return type Net Return
Currency USD

Objective

The SGI Chipeco Vol Target (USD-Total Return) Index (the Index) began publishing on March 18, 2011, with a level set at 1,000. The Index reflects long positions in the Chilean, Peruvian and Colombian equity markets through American Depositary Receipts (ADRs) or Common Stocks, while benefiting from a volatility control mechanism.

Mechanism

The Index selects the basket of equities according to a systematic stock picking criteria (Equity Basket). Every quarter, the weight of each stock within a given country is adjusted according to its market capitalization. In addition, the weightings of each stock is adjusted to make the Chilean, Peruvian and Colombian portfolios respectively equal to 40,% 40% and 20% of the Equity Basket generally corresponding to the market size of each country.
 
The Index then varies its exposure to the Equity Basket depending on the historical volatility of the Equity Basket as compared to a Target Volatility of 15%. If the historical volatility is greater or less than 15,% the Index increases or decreases its exposure to the Equity Basket, respectively with a cap of 150% on exposure and a floor of 0% on exposure.


The SGI Chipeco Vol Target Index began publishing on February 7, 2011. Therefore, all data for the Index for the period prior to February 7, 2011 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to February 7, 2011 consistent with the Index methodology. Results prior to February 7, 2011 may have been different had the Index actually been in existence. The SGI Chipeco Vol Target 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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