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S&P Managed Risk 2.0 Indices

Published in Strategy Indices

The S&P 500 Managed Risk 2.0 Index is designed to simulate a downside-protected portfolio that utilizes a framework that includes a targeted volatility and a synthetic option overlay to hedge the portfolio’s downside risk. The framework allocates the index weights between the equity and reserve asset and then the volatility of the combined allocation is hedged using a synthetic put option. This framework provides for lower drawdowns and a stable volatility profile for the index while allowing for a higher participation in the upside of the components.

Key Features and Coverage on RIMES

For this data source, RIMES hosts ten 10 indices, including S&P Managed Risk 2.0 Indices (400, 500, 600), and LargeMidCap Indices. Some of the data items available include:

  • Bond Return, Bond Weight, Cash Return, Cash Weight, Country Code, Description, Database Domain Code, Equity Return, Equity Weight, Gross Index in US Dollars, Index Family, Index Type, Last Price Date, Cap Range Flag, Database Source, Database Symbol, Total Return, Weight Type, etc.

 

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