The S&P Global Infrastructure Risk Control Indices offer investors greater stability and a reduction in the overall risk level of the S&P Global Risk Control Index. 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 global infrastructure markets while limiting their risk. Currently, S&P Indices offers four risk controlled versions of the S&P Global Infrastructure Index.
The S&P Global Infrastructure Risk Control Indices utilize the existing S&P Global Infrastructure methodology, plus an overlying mathematical algorithm designed to control the level of risk of the index by establishing a specific volatility target and dynamically adjusting the exposure to the S&P Global Infrastructure Index based on its observed historic volatility.
The S&P Global Infrastructure Daily Risk Control Indices include:
S&P Global Infrastructure Daily Risk Control 5% Index
S&P Global Infrastructure Daily Risk Control 10% Index
S&P Global Infrastructure Risk Control 12% Index
S&P Global Infrastructure Daily Risk Control 15% 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 Global Infrastructure Daily Risk Control 5% Index
The S&P Global Infrastructure Daily Risk Control 5% Index represents a portfolio consisting of the S&P Global Infrastructure Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target a 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 Global Infrastructure Daily Risk Control 10% Index
The S&P Global Infrastructure Daily Risk Control 10% Index represents a portfolio consisting of the S&P Global Infrastructure Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target a 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 Global Infrastructure Risk Control 12% Index
The S&P Global Infrastructure Risk Control 12% Index represents a portfolio consisting of the S&P Global Infrastructure Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target a 12% 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
12%
150%
3-month Eurodollar deposits
Exponentially weighted
94%
97%
Daily
S&P Global Infrastructure Daily Risk Control 15% Index
The S&P Global Infrastructure Daily Risk Control 15% Index represents a portfolio consisting of the S&P Global Infrastructure Index and a cash component accruing interest based on three-month Eurodollar deposits. The index is dynamically adjusted to target a 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
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.
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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