ABR Crisis Alpha Index

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ABR Crisis Alpha IndexSM, designed by ABR Dynamic Funds, LLC, measures a strategy whose purpose is to capitalize on sustained periods of market crisis. The ABR Crisis Alpha Index uses a proprietary market volatility model to determine the appropriate exposure mix to the market as reflected by the S&P 500, volatility as measured by the S&P 500 VIX Short-Term Futures Index (SPVXSTR), and cash. Created in 2016, with a time series of data beginning on December 30, 2005, the ABR Crisis Alpha Index measures a strategy designed to preserve capital better than typical tail-risk protection strategies in extended bull markets.

Summary

  • Designed to generate significant returns in sustained periods of market crisis while preserving capital in extended bull markets
  • Split between the S&P 500, S&P 500 VIX Short-Term Futures, and cash
  • Seeks to provide down side risk protection

Fact Sheet

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Methodology

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Press Release

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