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S&P Managed Risk Indices

Published in Strategy 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 42 indices, including:

  • S&P 400, 500, 600 Managed Risk Indexes, S&P Largemidcap Managed Risk Index (Emerging Plus, Epac Ex. Korea, Global Ex. Australia), S&P EM 100 Managed Risk Index.

Some of the data items available include:

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

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