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S&P Strategy Indices

Published in Strategy Indices

The S&P 500 Low Volatility Target Beta Indices are indices of indices that measure the performance of a strategy that effectively leverages its allocation to the S&P 500 Low Volatility Index, within a range from 1.2X to 2.0X, in order to target realized beta of 1 with respect to the S&P 500. The beta used in the calculations is the slope of the regression line of the S&P 500 Low Volatility Index’s trailing 252 trading day daily price returns versus the daily price returns of the S&P 500 over the same period.

At each rebalancing, the beta of the S&P 500 Low Volatility Price Return Index with respect to the S&P 500 Price Return Index is determined. The beta used in the calculations is the slope of the regression line of the S&P 500 Low Volatility Index’s trailing 252 trading day daily price returns versus the daily price returns of the S&P 500 over the same period, both measured in U.S. dollars.

For this data source, RIMES hosts the S&P 500 Low Volatility Target Beta Index The return of the S&P 500 Low Volatility Target Beta Index consists of two components:

  • The return on the position in the S&P 500 Low Volatility Index
  • The interest cost (the interest rate applied is based on the one-month U.S. dollar LIBOR rate, using a 360 day year).

The underlying S&P 500 Low Volatility Index level items include values for:

  • The close of business of the current trading date.
  • The close of business of the last effective rebalancing date.
  • The weight or final exposure of the equity return (calculated at each rebalancing and held constant until the next rebalancing).
  • The close of business of the reference date prior to the last effective rebalancing date.
  • The one-month U.S. dollar LIBOR rate.

Some of the data items available include:

  • Price Return
  • Total Return
  • Net Total Return

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