Salt truVol® US Equity Target Risk 4.5 (Excess Return)

Targets 4.5% portfolio volatility using short-term forecasts by dynamically adjusting exposure between stocks and cash on daily basis.


The Salt truVol® US Equity Target Risk 4.5 Index (ticker: SFTR4) is designed to deliver exposure to the SPDR S&P 500 ETF (SPY) while targeting a constant 4.5% 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.

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

Key Facts

Ticker SFTR4
Type Excess Return
Weighting Volatility Driven
Rebalancing Daily
Base Date Dec 31, 2003
Inception Date Sep 10, 2020
Calculation Agent Salt Financial Indices LLC