The S&P 500® Futures Volatility Watcher 40% VT TCA 6% Decrement Index measures the performance of a long-only risk control strategy that allocates to the S&P 500 Futures Index ER to achieve a 40% volatility target. The index uses a combination of exponential-weighted returns of the S&P 500 Futures Index ER and the level of the Cboe Volatility Index (VIX®) to estimate the realized volatility that is used to calculate the exposure needed to achieve the desired volatility target, less a fixed amount of 6% per year and includes a transaction cost adjustment (TCA). 

• S&P 500 Futures 25% Defined Volatility Index
• S&P 500 Futures 30% Defined Volatility 3% Decrement Index
• S&P 500 Futures 30% Defined Volatility Index
• S&P 500 Futures 35% Defined Volatility 3% Decrement Index
• S&P 500 Futures 35% Defined Volatility Index