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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.
SGI Vol Premium Dynamic 2 is a systematic rules based index, aiming to capture the spread between implied volatility and realized volatility by rolling variance swaps. The index is rebalanced on a weekly basis.
The SGI Vol Premium Dynamic 2 Index tracks the performance of a hypothetical portfolio holding variance swaps, rolling short or long positions on 1-month variance swaps each business day. The positions in the variance swaps attempt to catpure the spread between implied and realized volatility. The strike of each variance swap is based on the VIX prior to the relevant roll date.
The dynamic exposure mechanism of the Index seeks to deleverage more quickly in case of a sudden rise in volatility.