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Home : Indexes : Powered by Wilshire : ABR Crisis Alpha Index

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Powered by Wilshire : ABR Crisis Alpha Index

ABR Crisis Alpha IndexSM, designed by ABR Dynamic Funds, LLC, measures a strategy whose purpose is to capitalize on sustained periods of market crisis. The ABR Crisis Alpha Index uses a proprietary market volatility model to determine the appropriate exposure mix to the market as reflected by the S&P 500, volatility as measured by the S&P 500 VIX Short-Term Futures Index (SPVXSTR), and cash. Created in 2016, with a time series of data beginning on December 30, 2005, the ABR Crisis Alpha Index measures a strategy designed to preserve capital better than typical tail-risk protection strategies in extended bull markets.

Summary

  • Designed to generate significant returns in sustained periods of market crisis while preserving capital in extended bull markets
  • Split between the S&P 500, S&P 500 VIX Short-Term Futures, and cash
  • Seeks to provide down side risk protection

Fact Sheet


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Methodology


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Press Release


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Wilshire calculates and distributes Powered by Wilshire indexes based on the 3rd party supplied methodology. Wilshire makes no representations about the intended purpose or the methodology used to construct Powered by Wilshire indexes.


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