• Skip to primary navigation
  • Skip to main content
  • Skip to footer

  • Home
  • About
    • Our Platform
    • Management
    • News
  • Services
  • Analytics
  • Research
    • White Papers & Articles
    • BLOG
    • Podcast
  • Contact
  • LOGIN | SIGN UP

258

May 3, 2019 By

MSR US 2yr Treasury – Exposure-Active, TV10 Index

Active Exposure Indices are long only indices that will trade in and out of the underlying futures market(s) based on a combination of MSR’s Trend Following and Reversal Algorithms. These indices never take a short position. The algorithm calculates the position size that will most likely deliver the annualized volatility being targeted. Annualized volatility is calculated by multiplying the standard deviation of daily returns by the square root of 252 (the estimated number of trading days in a year). In this case the index simulates the active, long-only trading of 2YR US TREASURY NOTE futures contracts to a targeted annualized volatility of 10%.

Footer

let’s connect

  • linkedin

MSR Indices | 973.706.5136 | 8 Campus Drive | Suite 105 | Parsippany, NJ 07054

Copyright © 2021 · MSR Indices

Copyright © 2023 · Pressed & Dressed