S&P Dow Jones announces launch of S&P 500 Veqtor Switch index

By Tali Rackner

Norfolk, Va., Dec. 2 – S&P Dow Jones Indices announced the launch of the S&P 500 Veqtor Switch index, an index that seeks to simulate a dynamic portfolio that allocates between equity and the CBOE Volatility index (VIX index) based on realized volatility in the broad equity market, according to a press release.

This launch expands S&P Dow Jones’ family of asset allocation indexes that uses the VIX as a signal.

The allocation to the equity component of the new index is dynamically adjusted to gain exposure to the S&P 500 with a target volatility of 10%. The remainder of the index is allocated to the S&P 500 VIX Futures Long/Short Switch index, which allocates between cash and one-month VIX futures with the aim of capturing VIX futures roll yield and volatility drops when volatility declines and VIX futures upside when volatility spikes.

"The S&P 500 Veqtor Switch index provides the potential benefits of using the VIX as an 'intelligent' hedge for the S&P 500," S&P senior director of index strategy Vinit Srivastava said in the release.

"The index has an innovative mechanism that dynamically allocates between the S&P 500 and the VIX Futures Long/Short Switch index.

S&P Dow Jones is part of New York-based McGraw-Hill Cos., a resource for index-based concepts, data and research.

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