|Return type||Total Return|
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.
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.