Salt truVol® ENZO US Large Cap 5 (Excess Return)

Targets 5% portfolio volatility using short-term forecasts by dynamically adjusting exposure between stocks and cash on daily basis.

Overview

The Salt truVol® ENZO US Large Cap 5% Index (ticker: SF812) is designed to deliver exposure to the SPDR S&P 500 ETF (SPY) while targeting a constant 5% level of volatility. The Index uses the truVol® Risk Control Engine (RCE) to dynamically allocate between SPY and non-renumerated cash in aiming to achieve the volatility target. The mechanism generally allocates more to SPY when volatility falls and more to cash when it rises.

truVol® ENZO is the code name for an extension of the truVol RCE featuring an intraday rebalancing mechanism. The truVol forecast is recalculated at 12 noon using additional intraday information from that morning as well as the overnight return. If this forecast exceeds a specified threshold, the allocation between stock and cash in the index may be adjusted, effective for the close of trading that day.

The index is rebalanced daily and calculated in excess of a daily accrual of 3-month LIBOR (Excess Return).

Key Facts

Ticker SF812
Type Excess Return
Weighting Volatility Driven
Rebalancing Daily
Base Date Dec 31, 2003
Inception Date May 7, 2021
Calculation Agent Salt Financial Indices LLC

Performance