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The S&P 500® Futures 35% VT Adaptive Response Index measures the performance of a long-only, dynamically adjusted strategy that allocates to the S&P 500 Futures Index ER, using three signals—a turn-of-the month signal, a “Don’t Fight the Fed” signal and a mean-reversion signal—to generate a base allocation to the S&P 500 Futures Index ER. The index then applies a risk control overlay to the base index to achieve a 35% volatility target, subject to the maximum allowed leverage for the index.
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