MSR US Fixed Income – Exposure-Active, TV5 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 a US Fixed Income portfolio that allocates its risk (measured by target volatility) equally to a variety of government bond futures contracts from the U.S. with a range of maturities from 2 to 30 years. The entire index targets an annualized volatility of 5%.