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The SG Index range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. SG Index allows your to:
- Access the full range of flagship indices in Equity,Foreign Exchange, Credit, Rates and Cross Assets.
- Use user-friendly interface that helps you to find the information that you need on a specific index (launch date, performance, documentation...).
- Access all struvtured indices aiming to provide an adequate trade-off between liquidity and performance.
You can find your favorite indices in the \"My Space\" section by clicking on the Account icon.
The Index aims to generate a systematic positive carry from the backwardation in the USD swaption volatility term structure by investing in delta hedged swaption triangles.
The VRR Strategy is a systematic investment strategy that takes advantage of the backwardated term structure of the USD rates volatility. It sets up a “cheap” long forward volatility position every week built with simple ATMf straddles using the expiry/tenor that offers the highest expected carry.
The SGI VRR US Index - Vol Roll on Rates (USD - Total Return) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.