SP5LVRUP S&P 500 Low Volatility Rate Response Index

The Index starts by ranking all 500 stocks in the S&P 500 on their interest rate sensitivity, computed by performing a regression of the prior 60 monthly stock returns to changes in the 10 year U.S. treasury rate. The 100 stocks with the greatest sensitivity to changes in the 10 year U.S. treasury rate are eliminated. The remaining 400 constituents are weighted relative to the inverse of their volatility, with the least volatile stocks receiving the highest weights.The 100 companies within the remaining universe with the lowest volatility form the index.

As of 09/11/2017

Index Information
Provider:     S&P Dow Jones
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Country:      USA
Currency:    USD
Inception date:  03/23/2015
Backtesting data exists:   Yes
Weighting methodology:   Volatility
Number of holdings:  100
Total return version:  SP5LVRUT

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