ABR Enhanced Short Volatility Index

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ABR Enhanced Short Volatility Index℠

December 31, 2021

The ABR Enhanced Short Volatility Index℠, designed by ABR Dynamic Funds, LLC, seeks significant long-term returns. The ABR Enhanced Short Volatility Index uses dynamic inverse exposure to VIX Index futures to capitalize on the long-term downward trend of volatility assets while mitigating their appreciation in a crisis. The ABR Enhanced Short Volatility Index proprietary model also applies dynamic exposure to U.S. 20+ year treasuries in further seeking to reduce drawdowns. Created in 2017, with a time series of data beginning on December 30, 2005, the ABR Enhanced Short Volatility Index is designed to capture volatility decay in order to generate substantial performance.

Five-Year Average Exposure

Cash

7%

Short Volatility

43% Treasuries

50%

Performance Snapshot

	Total Return (%)			Annualized Total Return (%)
3-month	Ytd	2020	1-year	3-year	5-year	10-year
13.56	70.14	5.00	70.14	50.18	21.52	37.57

Performance History

14,000

12,000

10,000

8,000

6,000

4,000

2,000

0

Inverse SPVXSTR		ABRXIV

Objective

Long-term capital appreciation.

Key Features

• Proprietary measure of volatility
• Exposures updated daily
• • Inverse S&P 500 VIX Short-Term Futures Index
  • Barclays U.S. Treasury 20+ Year Index
  • Cash
• Limited daily rebalance size
• Correlated to Inverse VIX Index futures but with mitigated drawdowns
• Created January 31, 2017

Quick Facts

Weighting

Inverse volatility, treasuries, and cash

Review Frequency

Daily

Base Value

Total Index: 100.00 (at Dec 30, 2005)

Calculation Frequency

Daily for each U.S. trading day

History Availability

Daily from December 30, 2005

Since Inception Risk Values

Index	Annualized	Correlation to	Correlation to Barclays	Max Drawdown	Standard	Sharpe Ratio
Return	Inverse SPVXSTR	Treasury 20+	Deviation
ABRXIV	34.69%	79.5%	-17.5%	-44.4%	36.7%	0.9
Inverse SPVXSTR	-4.33%	100.0%	-32.5%	-98.9%	69.2%	-0.1

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Frequency of Negative Monthly Returns

40

30

20

10

0

less than -50%	-50 to -40%		-40 to -30%		-30 to -20%		-20 to -10%	-10 to 0%
				ABRXIV		Inverse SPVXSTR
Negative Monthly Return Range (%)	less than -50%	-50 to -40%	-40 to -30%	-30 to -20%	-20 to -10%	-10 to 0%
ABRXIV	0	0	0	6	12	35
Inverse SPVXSTR	4	1	6	13	22	25
* Number of months where this occurred.
Expected Symbology
Suggested Ticker	Bloomberg		Reuters Station		Yahoo
ABRXIV	ABRXIV		us;ABRXIV		^ABRXIV

More Information

Powered by Wilshire Indexes, please visit www.wilshire.com or email [e-mail].

ABR Dynamic Funds, LLC, please visit https://abrfunds.com/home/ or email [e-mail].

The performance of the Index shown is hypothetical, does not reflect actual trading and does not reflect the deduction of any advisory fees, brokerage or other commissions and other expenses that a The Barclays U.S. 20+ Year Treasury Bond Index is an unmanaged index of U.S. Treasury securities that have a remaining maturity of at least 20 years. The CBOE Volatility Index, otherwise known as VIX®, is the leading measure of the stock market's expectation of volatility, as implied by S&P 500 options. The S&P 500® VIX Short-Term Futures Index utilizes prices of the next two near-term VIX® futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts.

The ABR Enhanced Short Volatility Index℠ ("Index") is based on a methodology designed by ABR Dynamic Funds, LLC and is Powered by Wilshire. Wilshire calculates and distributes the Index based on the third-party supplied methodology, information and data. Wilshire makes no representations about the intended purpose or the methodology, information or data used to construct the Index. It is not possible to invest directly in an index. Exposure to an asset class represented by an index may be available through investable instruments derived from that index. Wilshire makes no representations regarding the advisability of investing in investment products based on the Index, which is not sponsored, endorsed, sold or promoted by Wilshire. Index returns do not reflect payment of certain sales charges or fees an investor may pay to purchase the securities underlying the Index or investment vehicles intended to track the performance of the Index. The imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Index performance shown. Inclusion of a company in the Index does not in any way reflect an opinion of Wilshire on the investment merits of the company.

Subscriber to the Index will bear. The performance of the Index and other indices reflects the reinvestment of dividends and other earnings. Past performance is not indicative of future results and it is possible that investing in accordance with the Index could lead to losses in your investment. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS BROCHURE.

This material is based upon information generally available to the public and from third party sources believed to be reliable. Wilshire does not independently verify any of the information it receives. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information is as of the date indicated, and is subject to change without notice. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice. Wilshire receives compensation in connection with licensing of its indices to third parties.

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