Description

The S&P 500® Engle 15% VT TCA Index measures exposure to E-mini S&P 500 futures while applying an intraday volatility control mechanism with a volatility target of 15%. The volatility control mechanism is based on a Multiplicative Error Model intraday forecasting model introduced by Professor Robert Engle.


Characteristics


Constituents

Top 10 Constituents by Index Weight

Full Constituents ListFull Constituents List
  • Constituent
  • Symbol
  • Sector*


Sector Breakdown

Sector
Index Weight


Maturity Breakdown

Maturity Range
Index Weight


Rating Breakdown

Rating
Index Weight



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