Salt truVol® US Large Cap Dynamic Hedge Index
Seeks to lower risk by dynamically hedging a S&P 500 portfolio with futures based on short-term forecasts of volatility.
The Salt truVol® US Large Cap Dynamic Hedge Index (ticker: SFTDH) is designed to track the return of a strategy that adjusts net exposure to a constant position in the S&P 500® by dynamically hedging using futures contracts in an attempt to capitalize on the inverse relationship between volatility and returns. When market volatility is high (low), the strategy will generally decrease (increase) net exposure to the Underlying Index.
The index uses truVol®, a proprietary model developed by Salt Financial to estimate future volatility to adjust the hedge daily. truVol® is designed to be a more accurate and responsive forecast of volatility by using more recent, higher frequency returns.
|Base Date||Sep 9, 1997|
|Inception Date||Mar 30, 2020|
|Calculation Agent||S&P Dow Jones Indices, LLC|