Dal prospetto:
The performance of the Index is equal to the performance of a basket of short-term (1 to 2 month maturities) and medium-term (3-5 term maturities) futures on the VIX index increased by the cumulative performance of American Treasury interest rates (3-month T-Bill). In order to optimise the performance of the Index, the basket comprises medium-term futures in calm periods and short-term futures in stress periods. Movement from one basket to the other is defined, according to Index methodology, by signals based on the value of the VIX in relation to its moving average.