The BMO Core Investor 5% Target Volatility Index is a proprietary index that is based on the Modern Portfolio Theory approach to asset allocation. This theory suggests how investors can select a portfolio from available assets to maximize expected return for a given amount of risk. Composed of 8 exchange-traded funds and the U.S. Federal Funds Rate, the Index represents a diverse range of sectors, asset classes and geographic regions. The Index rebalances monthly into a new portfolio that is the best performing portfolio over the past six months with volatility equal to or less than 5%.