SWANXT S-Network BlackSwan Core Total Return Index

The Index seeks uncapped exposure to the S&P 500, while buffering against the possibility of significant losses. On each rebalancing date, the index places 90% of its index market capitalization in treasuries and 10% in SPY LEAP call options. The treasury portion of the portfolio replicates and maintains the initial duration of the 10-Year US Treasury. The option portion holds 5% of index market capitalization in June 70-delta SPY call options and 5% in December 70-delta SPY call options. Initially and at rebalance date, calls that are purchased should all have at least one year plus one day until expiration when available. Otherwise, the contract with the furthest expiration is purchased for the given month. The 70-delta rule only applies to initial purchases on the rebalance date. Should there not be a 70-delta option, the closest option above 70 will be utilized.

As of 01/15/2019

Index Information
Provider:     S-Network Global Indexes
Category1:  Alternatives
Category2:  Options
Category3:  Broad
Currency:    USD
Inception date:  12/06/2005
Backtesting data exists:   No
Weighting methodology:   Other
Methdology guide:  Read PDF
Rebalanced:  Semi-annually
Reconstituted:  Semi-annually

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