US 500 truVol® Risk Control 12% Index
Targets 12% portfolio volatility using short-term forecasts by dynamically adjusting exposure between stocks and cash on daily basis.
Overview
The US 500 truVol® Risk Control 12% Index is designed to deliver exposure to the SPDR S&P 500 ETF (SPY) while targeting a constant 12% level of volatility. The Index uses the truVol® Risk Control Engine (RCE) to dynamically allocate between SPY and non-remunerating 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 the Federal Funds Effective Rate (Excess Return).
Key Facts
| Ticker | - |
|---|---|
| Type | Excess Return |
| Weighting | Volatility Driven |
| Rebalancing | Daily |
| Base Date | Dec 31, 2003 |
| Inception Date | Sep 5, 2023 |