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S&P 500 Futures 20% Intraday VT 2% Decrement Index
Description
The S&P 500® Futures 20% Intraday VT Index measures the performance of a long-only, dynamically adjusted strategy based on E-mini S&P 500 futures. The index seeks to achieve a 20% volatility target by using an intraday rebalance strategy based on volume-weighted average prices computed during different time windows in the day, and it may be levered up to two times to achieve its target. The index has a decrement factor of 2% per year.
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Top 10 Constituents by Index Weight
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