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Index Calculation

Index value

FLIt = FLIt-1 * (1 + (Pricet/Pricet-1 – 1) * CLRt-1 – BorrowRatet * (CLRt-1 – 1))

For the inverse indices the CLR in above formula is the value of the debt held by the index dividend by the current net asset value of the index (i.e. -1 if at target leverage).

Current Leverage Ratio for next epoch

CLRt+1 = max(MINLR, min(MAXLR, CLRt * (1 – RS) + TLR * RS))

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