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A.I. Managed Futures Volatility Index (AIMFV)

Fact Sheet
Methodology Sheet

Index Description
The A.I. Managed Futures Volatility Index (AIMFV) is a long/short/flat diversified managed futures index. The index is both a systematically and quantitatively based index of numerous components that serve as a proxy for exposures to economic sectors related to financial futures, commodity and volatility futures. Elementally, AIMFV provides exposure to managed futures sectors complemented with innovative overlays. The methodology accounts for multi-factor seasonality with a focus on efficient access to directional movements inherent in the underlying components of futures contracts.

Index Rebalance: Monthly
Directional Analysis: Monthly
Index Reconstitution: Annually (Calendar Year - End)

Index Composition & Directional Analysis
AIMFV is comprised of 24 components that can be long, short or flat. The constituent components and exposure weightings are determined each calendar year and rebalanced on a monthly basis. Based on proprietary signals, the directional exposures (long, short, or flat) are determined monthly. If a flat exposure is determined for any component, then no allocation occurs. However, a flat (zero) allocation does not change the weights of the other components. In this regard, each component acts independently and maintains its proportional core weight influence on the index, even with no allocation.

AIMFV components and weights are determined annually. The weights and directional indicators (long/short/flat) are then maintained and rebalanced monthly.

A Portfolio Diversifier
AIMFV may help the risk/return profile of a portfolio comprised of traditional stocks and bonds. The graph below illustrates the effects of adding 10% incremental allocations of the AIMFV to a traditional “60/40” stock and bond portfolio.

 

A.I. Managed Futures Volatility Index

Bloomberg Ticker: AIMFV

Live Date

2/1/2013

Inception

4/30/2004

Data prior to index live date is based on backtested performance for informational purposes only.

A.I. Managed Futures Volatility Index (AIMFV) reflects hypothetical and/or simulated performance figures and is not meant to represent actual performance results for any product or service. This material was prepared without regard for specific circumstances and objectives. The contents are not an offer to buy or sell any security or to participate in any trading strategy.

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