The S&P 500^® Futures 12% Volatility Intraday Target Long TCA 2% Decrement Index measures the performance of a long-only, dynamically adjusted strategy based on E-mini S&P 500 futures and targets 12% volatility by using an intraday rebalance strategy based on time-weighted average prices computed during different time windows in the day, and it may be levered up to 180% to achieve its target. The index applies an intraday momentum signal and an overnight mean reversion signal to adapt to different market environments and includes a transaction cost adjustment (TCA), less a fixed amount of 2% per year.

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• S&P 500 Engle 15% VT Index
• S&P 500 Engle 14% VT TCA Index
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