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S&P Managed Volatility Indices

Published in Strategy Indices

The following S&P Strategy indices incorporate strategies that can be used to help reduce the amount of volatility in a portfolio:

  • Dow Jones Portfolio Indices – These indexes were created with an objective to maximize returns at tolerable risk levels. The series includes two families: Dow Jones Relative Risk Indexes and Dow Jones Target Date Indexes, where each represents a total portfolio through stock, bond and cash sub-indexes. The families differ in that Relative Risk Indexes reflect fixed levels of potential risk, while Target Date Indexes reflect potential risk levels that decline as targeted maturity dates approach.
  • S&P 500 Daily Risk Control Indices – S&P Dow Jones Risk Control Indices offer tracking with an in-built mechanism to indicate a leveraged/de-leveraged status. The Indices include a leverage factor that changes based on realized historical volatility, so that the underlying index remains in control. These indices rely on the existing S&P 500 methodology and overlay mathematical algorithms to control the index risk profiles at specific volatility targets. RIMES hosts Daily, Average and Monthly indices.
  • S&P 500 Dynamic VEQTOR Index – These indices dynamically allocate long-only exposure between the S&P 500 and the S&P VIX® Short-Term Futures Index 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 series includes indices such as the S&P 500 Dynamic VEQTOR, the S&P 500 VIX Short-Term Futuresx, the S&P 500 Dynamic VEQTOR Mid-Term, etc.
  • S&P Balanced Index – This index combines investable S&P indices for core equity and fixed income to provide a regularly re-balanced multi-asset measure for conservative, moderate and growth risk-reward profiles. This series is calculated based on total returns using monthly values. For this data source, RIMES hosts the S&P Balanced Equity and Bond Conservative Index, S&P Balanced Equity and Bond Growth Index, and S&P Balanced Equity and Bond Moderate Index.
  • S&P GIVI Indices – The S&P Global Intrinsic Value Indices are a subset of the S&P Global BMI, excluding China A Shares. They measure the performance of strategies utilizing specific measures of risk and intrinsic value to select and weight constituents in the index, with exceptions noted in S&P GIVI Sub-Indices and S&P Low Beta Indices. Companies with negative or zero intrinsic values are not eligible for the S&P GIVI Indices. Index coverage includes country, region, capped and currency versions of the index series.
  • S&P Managed Risk 2.0 Indices – These indices are 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.
  • S&P Risk Parity Indices – These indices seek to measure the performance of a multi-asset strategy that allocates risk equally among equity, fixed income, and commodities futures contracts. Within each asset class, the indices also maintain an equal risk exposure to each individual futures contract. The balanced risk contribution is designed to offer diversification that may reduce risk without sacrificing return across different economic cycles. The indices are also designed to serve as benchmarks for risk parity funds.
  • S&P Spread Indices – These indices measure the spread in performance or return as a way to hedge against downturns in stock portfolios.  Indices that may enable you to hedge positions in many markets or offset risk include S&P futures and equity dollar indexes. Constituents include the S&P 500® Futures Excess Return Index and the S&P U.S. Treasury Bond Futures Excess Return Index. The S&P US Treasury Bond Futures Index ER are constructed from the front-month futures contract on the U.S. Treasury Bond.
  • S&P STRIDE Indices – The S&P Shift To Retirement Income and Decumulation (STRIDE) Index Series represents a life cycle, rules-based transition from growth assets to a hedged stream of inflation-adjusted retirement income. This new generation of retirement plan indices is intended to measure the risks and rewards accruing to a specific strategy of shifting from growth assets to an expected, inflation-adjusted simulated retirement income stream.
  • S&P Target Date Indices – This series includes the S&P Target Date Index, which is comprised of eleven multi-asset class indices, each corresponding to a particular target retirement date. The classes include U.S. large cap, U.S. mid cap, U.S. small cap, international equities, emerging markets, U.S. REITs, core fixed income, short term treasuries, TIPS, commodities, and high yield corporate bonds.

Key Features and Coverage on RIMES

For these data sources, RIMES hosts retrievable data items that are both index and company-based, including:

  • 2 Month LIBOR in USD, 3 Month LIBOR in USD, Adjusted Price, Adjustment Factor, Bloomberg Ticker, Bond Return, Bond Weight, Branding, Cap Range Flag, Cash Return, Cash Weight, Country Code, Daily Excess Return, Daily Price Return, Daily Return, Daily Total Return, Database Domain Code, Date of Portfolio, Dividend Per Share, Dividend Points, Divisor Factor, DJ Industry Code, Dow Jones Daily Change in Total Return, Dow Jones Industry Code, Dow Jones Month to Date Return, Equity Return, Equity Weight, Excess Return, Exchange Country, Exposure Level, Exposure Level Zero Lag Days, Factor, GICS Industry Level 4 Code, Gross Index, etc.
  • Index Family, Index Type, Interest Rate, Investable Weight, ISIN Code, Last Price Date, Local Code, Long Term Variance, Long Term Volatility, Market Capitalization, Market Identifier Code, Market Value, Net Adjustment Factor, Net Dividend Points, Net Index, Net Return, Next Day Divisor, Number of Constituents, Opening Investable Weight in Index, Opening Unadjusted Price, Price Index, Realized Volatility, Region Flag, Reuters Identification Code (RIC), S&P Company Global Vantage Key, S&P Index ID, Shares Outstanding, Short Term Variance, Short Term Volatility, Spin Off Adjustment Factor, Ticker, Total Return, Unadjusted Price, Value, Weight Type,

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