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SGI VI Smart Beta Index

Index level: 671.95 as of 11/22/2017

Main characteristics

Bloomberg code SGMDVISB
Inception date 01/27/2014
Return type Total Return
Currency USD

Objective

The SGI VI Smart Beta Index (the “Index”) is a systematic and rules-based index intended to hypothetically replicate long exposure to the implied volatility of the S&P 500® Index through VIX futures, using SG’s proprietary “dynamic roll” methodology, which aims to provide potential positive performance when volatility rises.

Mechanism

The Index is based on hypothetical long positions in the 6 optimized VIX futures with the smallest cost of carry, amongst the 6 most nearby VIX futures, using SG’s dynamic roll methodology. The strategy applies a dynamic leverage. The closer a VIX future is to the front end of the curve, the higher the leverage (up to a maximum leverage of 3X). If the optimized VIX future is not one of the 3 most nearby, no hypothetical long position will be made in the optimized VIX future for this day. Each day, 1/5 of the exposure is rolled. SG roll methodology is based on the closing price for futures 1 & 2 and the Volume Weighted Average Price (as calculated by Bloomberg)  for future 3.


The SGI Vol Invest Smart Beta Index began publishing on January 27, 2014.Therefore, all data for the Index for the period prior to January 27, 2014 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to January 27, 2014 consistent with the Index methodology. Results prior to January 27, 2014 may have been different had the Index actually been in existence. The SGI Vol Invest Smart Beta 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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