ABR Enhanced Short Volatility Index

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The ABR Enhanced Short Volatility IndexSM, designed by ABR Dynamic Funds, LLC, seeks significant long-term returns. The ABR Enhanced Short Volatility Index uses dynamic inverse exposure to VIX Index futures to capitalize on the long-term downward trend of volatility assets while mitigating their appreciation in a crisis. The ABR Enhanced Short Volatility Index proprietary model also applies dynamic exposure to U.S. 20+ year treasuries in further seeking to reduce drawdowns. Created in 2017, with a time series of data beginning on December 30, 2005, the ABR Enhanced Short Volatility Index is designed to capture volatility decay in order to generate substantial performance.

Summary

  • Designed for long-term capital appreciation
  • Inverse volatility exposure uses the S&P 500 VIX Short-Term Futures Index
  • Treasuries exposure use the Barclays U.S. Treasury 20+ Year Total Return Index
  • Correlated to Inverse VIX Index futures but with mitigated drawdowns

Fact Sheet

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Methodology

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Press Release

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