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S&P 500 Dynamic VEQTOR Index

 

The S&P 500® Dynamic VEQTOR Index dynamically allocates long-only exposure between the S&P 500, the S&P VIX® Short-Term Futures Index, and cash in order to measure broad equity market exposure with an implied volatility hedge. The index mitigates risk between equity and volatility and helps hedge downside protection in volatile markets. This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective. The series consistes of the following indices:

  • The S&P 500 Dynamic VEQTOR Index dynamically allocates long-only exposure between the S&P 500, the S&P 500 VIX Short-Term Futures Index and cash in order to measure broad equity market exposure with an implied volatility hedge.
  • The S&P 500 Dynamic VEQTOR Mid-Term Index works similarly as the VEQTOR index. However, it uses the S&P 500 VIX Mid-Term Futures Index instead of the S&P 500 VIX Short-Term Futures Index as the implied volatility component.
  • The S&P 500 Dynamic VEQTOR X Index is a companion index designed to be held by an investor already holding an S&P 500 Index-like portfolio. Since the investor already has long exposure to an equity portfolio, VEQTOR X dynamically allocates long exposure in the S&P 500 VIX Short-Term Futures Index and short exposure in the S&P 500. Combining VEQTOR X with an S&P 500-like holding can potentially achieve similar-type performance to the S&P 500 Dynamic VEQTOR Index.

The allocations are evaluated daily, though changes in allocation may occur less frequently. The indices also provide a stop-loss feature to further enhance dynamic equity and volatility investing.

Key Features and Coverage on RIMES

The S&P 500 Dynamic VEQTOR Index series dynamically allocates between equity, volatility and cash to provide broad equity market exposure with an implied volatility hedge. The series consists of the the 3 indices listed above.

Some of the data items available include:

  • Branding, Country Code, Divisor Factor in US Dollars, Database Domain Code, Excess Return in US Dollars, Index Family, Index Type, Investable Weight in Index, Last Price Date, Next Day Divisor in US Dollars, Net Index in US Dollars, Net Index Divisor in US Dollars, Next Day Net Index Divisor in US Dollars, Cap Range Flag, Total Return in US Dollars, etc.

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