The Russell 2000 CFF Volatility Shield 10% Index represents the performance of an investment strategy that provides variable exposure to the Russell 2000 Cash Flow Focus Total Return Index, while targeting a specified level of volatility.
The exposure to the underlying index decreases or increases (subject to a cap) on a daily basis proportionally to the ratio between the specified volatility target and the realized volatility of the underlying index. Such dynamic exposure helps achieve a desired level of volatility and is called a “Volatility Control”.
The Russell 2000 CFF Volatility Shield 10% Index uses intraday prices of the underlying index to estimate its realized volatility hence reacting quickly to changing market conditions, and improving risk-adjusted returns.
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Russell 2000 CFF Volatility Shield 10% Index
The index is designed to provide variable exposure to the Russell 2000 Cash Flow Focus Total Return Index, while targeting a specified level of volatility.
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