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.


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