PRISM™ is an index-based solution intended to provide multi-asset diversification within a simple risk-weighting framework. Constructed as an index of indices, it measures the performance of an inverse-risk-weighted basket of three component indices representing fixed income, equities, and commodities, after accounting for technical and fundamental indicators.


  • Fixed Income

    Fixed income is represented by the S&P Ultra 10-Year U.S. Treasury Note Futures Index


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  • Equities

    Equities are represented by the S&P 500®


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  • Commodities

    Commodities are represented by the S&P GSCI®


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Methodology Highlights

Volatility Scalars

Equities:

  • 10-year yield vs. earnings yield
  • Yield curve multiplier: lagged 60-day average spread between 10-year and 3-month U.S. Treasury rate

Fixed Income:

  • 200-day index moving average

Asset Weighting Strategy

Equities, fixed income, and commodities are weighted by the inverse of their volatility.

Volatility / Risk Control Framework

Volatility target of 5.5% is achieved by allocating to the reference index versus cash.


Asset Weighting Strategy

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    1. Calculate three trend allocation signals representing the three asset classes in the index

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    2. Rank long-term asset class returns on 200-day excess returns

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    3. Scale volatilities based on momentum, valuation, and yield curve multiplier

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    4. Weight components by the inverse of their volatility

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    5. Calculate the reference index on a 2-day lag

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    6. Add a risk-control overlay with a 5.5% target to create the S&P PRISMTM Index


More Information

To learn more about PRISM, or to download the index methodology, fact sheet, or data, visit the S&P PRISM Index page.