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The S&P 500 Duo Swift Capped Index is designed to measure the performance of a controlled volatility version of the S&P 500, with the monthly return capped at 4%. The index features a risk control mechanism on S&P 500 E-mini futures, with a 10-year U.S. Treasury Bond futures overlay. The intraday rebalance methodology is based on time-weighted average prices (TWAPs) computed during different time windows in the day.
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