US 500 truVol® Risk Control 5% Index
Targets 5% portfolio volatility using short-term forecasts by dynamically adjusting exposure between stocks and cash on daily basis.
Overview
The US 500 truVol® Risk Control 5% Index (ticker: SFSP5) 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-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 | SFSP5 |
|---|---|
| Type | Excess Return |
| Weighting | Volatility Driven |
| Rebalancing | Daily |
| Base Date | Dec 31, 2003 |
| Inception Date | Jul 31, 2021 |
Documents
Performance
| Name | Last | Day | 3M | YTD | 1Y | 3Y | 10Y |
|---|---|---|---|---|---|---|---|
| US 500 truVol® Risk Control 5% Index | 221.86 | -2.01% | -1.29% | 2.49% | 2.91% | 2.06% | 4.40% |
Disclaimer
All information for an index prior to its Inception Date is back-tested, based on the methodology that was in effect on the Inception Date. Back-tested performance, which is hypothetical and not actual performance, can frequently result in material differences between back-tested results and actual results achieved by an investment strategy.
For additional legal information and disclosures on the limitations of back-tested performance, please visit here.
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