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S&P 500 Futures 35% Volatility Compass TCA 6% Decrement Index
Description
The S&P 500® Futures 35% Volatility Compass Index measures the performance of a long-only risk control strategy with a dynamic position in the E-mini S&P 500 futures. The index features an intraday volatility rebalancing framework with a 35% volatility target, designed to more dynamically adjust to evolving market conditions and enhance volatility stability. The index includes a transaction cost adjustment and has a decrement factor of 6% per year.
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Top 10 Constituents by Index Weight
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