Index Resources
For financial professional use only. Find out more about our TrackGuard™ index strategies from well-known investment managers.
The S&P 500 is widely regarded as the best single gauge of large-cap U.S. equities. The index includes 500 leading companies and covers approximately 80% of available market capitalization.
- Widely regarded as the best single gauge of Large Cap U.S. Equities.
- 500 leading companies represent approximately 80% of available market capitalization.
The index is comprised of the 100 largest non-financial companies listed on Nasdaq. It seeks to deliver and dynamically adjust daily exposure to the NASDAQ-100 Total Return Index with the aim of achieving a 12% volatility target.
- The Nasdaq-100 Volatility Control Indexes (each as “Index”) are designed to deliver exposure to the NASDAQ-100 Total Return Index (ticker: XNDX) (the “Underlying Index”) while targeting a specified level of volatility.
- The Indexes use the truVol® Risk Control Engine to dynamically adjust exposure on a daily basis to the Underlying Index with the aim of achieving the volatility target
Barclays Aries Index combines 50 low volatility stocks from the NYSE & NASDAQ. The stocks are equally weighted, rebalanced monthly and are combined with US Treasuries using Mean Variance Optimization. The treasury allocation is based on inflation, interest rates and equity price momentum. The index targets 10% volatility.
- Barclays Aries Index combines 50 low volatility stocks, equally weighted and rebalanced monthly. These stocks are combined with US Treasuries to benefit from diversification and the usual negative correlation between stocks and bonds.
- The index uses Mean Variance Optimization to determine the optimal allocation between stocks and treasuries and may remove the treasury allocation completely based on inflation, interest rates and equity price momentum.
- The index targets 10% volatility.
The S&P 500 Dynamic Intraday TCA Index aims to provide exposure to the S&P 500 through the use of E-mini S&P 500 futures, while applying an intraday volatility control and trend-following mechanism. The index rebalances up to 13 times daily using a time-weighted average price (TWAP).
- The S&P 500® Dynamic Intraday Index aims to measure exposure to the S&P 500® with controlled volatility by utilizing S&P 500® futures contracts via E-mini S&P 500® Futures.
- The index adjusts its allocation to the futures up to 13 times per day based on observations of intraday price movements.
- Trend signals guide rebalancing to help the index respond to market movements while maintaining its 15% volatility target more closely than a daily risk control mechanism can.
The BlackRock U.S. Equity Bitcoin Balanced Risk 12% Index (the “Index”) is designed to deliver exposures to the iShares Core S&P 500 ETF and the iShares Bitcoin Trust ETF, subject to a Target Volatility. The Index manages to a 12% Target Volatility by incorporating a cash constituent. The Index tracks the return of the weighted Index constituents, above the return on the Interest Rate.
On each business day, the Index Construction steps are applied to the Index.
- Risky Basket Daily Rebalance. Compute the allocations of the underlying ETF constituents on a daily basis such that both ETFs contribute equally to the total risk of the Risky Basket. The weight of the iShares Bitcoin Trust ETF is constrained to a maximum of 25%.
- Adaptive Variance Budget. Update the Adaptive Variance Budget using recent Index volatility.
- Final Index Weights. Determine the allocation to the Risky Basket in the Final Index using the Adaptive Variance Budget from the previous step as an input. Then, calculate the Final Index Daily Weights, including allocation to the Cash Constituent.