The S&P Southeast Asia 40 Risk Control Indices offers investors greater stability and a reduction in the overall risk level of the S&P Southeast Asia 40. By integrating a volatility control within the index rules, Standard & Poor’s provides a new level of innovation for investors looking to gain exposure to the Southeast Asia equity markets while limiting their risk.
The S&P Southeast Asia 40 Risk Control Indices utilizes the existing S&P Southeast Asia 40 methodology, plus an overlying mathematical algorithm designed to control the level of risk of the S&P Southeast Asia 40 by establishing a specific volatility target and dynamically adjusting the exposure to the S&P Southeast Asia 40 based on its observed historic volatility.
S&P Southeast Asia 40 Daily Risk Control Indices include:
S&P Southeast Asia 40 Daily Risk Control 5% Index
S&P Southeast Asia 40 Daily Risk Control 10% Index
S&P Southeast Asia 40 Daily Risk Control 15% Index
S&P Southeast Asia 40 Risk Control 18% Index
Index Name
Index Version
Risk Control Level
Maximum Leverage
Interest Rate
Volatility Calculation
Decay Factor Short-Term Volatility
Decay Factor Long-Term Volatility
Rebalance Frequency
S&P Southeast Asia 40 Daily Risk Control 5% Index
The S&P Southeast Asia 40 Daily Risk Control 5% Index represents a portfolio consisting of the S&P Southeast Asia 40 Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target an 5% level of volatility. Realized historical volatility is calculated using an expontentially weighted average. A shorter term and longer term measure of volatility are taken using decay factors of 94% and 97%, respectively. In order to be conservative, the higher level of volatility is used in the risk control calculation. The index rebalances daily.
Net Total Return
5%
150%
3-month Eurodollar deposits
Exponentially weighted
94%
97%
Daily
S&P Southeast Asia 40 Daily Risk Control 10% Index
The S&P Southeast Asia 40 Daily Risk Control 10% Index represents a portfolio consisting of the S&P Southeast Asia 40 Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target an 10% level of volatility. Realized historical volatility is calculated using an expontentially weighted average. A shorter term and longer term measure of volatility are taken using decay factors of 94% and 97%, respectively. In order to be conservative, the higher level of volatility is used in the risk control calculation. The index rebalances daily.
Net Total Return
10%
150%
3-month Eurodollar deposits
Exponentially weighted
94%
97%
Daily
S&P Southeast Asia 40 Daily Risk Control 15% Index
The S&P Southeast Asia 40 Daily Risk Control 15% Index represents a portfolio consisting of the S&P Southeast Asia 40 Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target an 15% level of volatility. Realized historical volatility is calculated using an expontentially weighted average. A shorter term and longer term measure of volatility are taken using decay factors of 94% and 97%, respectively. In order to be conservative, the higher level of volatility is used in the risk control calculation. The index rebalances daily.
Net Total Return
15%
150%
3-month Eurodollar deposits
Exponentially weighted
94%
97%
Daily
S&P Southeast Asia 40 Risk Control 18% Index
The S&P Southeast Asia 40 Risk Control 18% Index represents a portfolio consisting of the S&P Southeast Asia 40 Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target an 18% level of volatility. Realized historical volatility is calculated using an expontentially weighted average. A shorter term and longer term measure of volatility are taken using decay factors of 94% and 97%, respectively. In order to be conservative, the higher level of volatility is used in the risk control calculation. The index rebalances daily.
Net Total Return
18%
150%
3-month Eurodollar deposits
Exponentially weighted
94%
97%
Daily
Index Governance and Policy
This index is maintained by the S&P Index Committee, whose members include Standard & Poor’s economists and index analysts. It follows a set of published rules and policies that provide the transparent methodology used to maintain the index.
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