Salt truVol® US Technology 5 (Excess Return)

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

Overview

The Salt truVol® US Technology 5 Index (ticker: SFQ5) is designed to deliver exposure to the Invesco QQQ ETF (QQQ) while targeting a constant 5% level of volatility. The Index uses the truVol® Risk Control Engine (RCE) to dynamically allocate between QQQ and non-renumerated cash in aiming to achieve the volatility target. The mechanism generally allocates more to QQQ when volatility falls and more to cash when it rises.

The Index is rebalanced daily and calculated in excess of a daily accrual of the Federal Funds Effective Rate (Excess Return).

Key Facts

Ticker SFQ5
Type Excess Return
Weighting Volatility Driven
Rebalancing Daily
Base Date Dec 31, 2003
Inception Date Jul 31, 2021
Calculation Agent Salt Financial Indices LLC

Performance