S&P Managed Risk Indices

The S&P 500 Managed Risk Index is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatility of the underlying equity and bond indices, while maintaining a fixed allocation to the underlying bond index.

Each index in the S&P Managed Risk Index Series measures the performance of a dynamic allocation that seeks to achieve a target level of volatility by allocating between an underlying equity index and cash, based on the realized volatility in the underlying equity and bond indices, while maintaining a fixed allocation to an underlying bond index. The exposure to the underlying equity index includes a synthetic put position, which is designed to measure the cost of hedging of downside risk, implemented using a delta adjustment to the equity exposure.