S&P 500 Sector Rotator Daily RC2 6% (5Yr Treasury) Index

The S&P 500® Sector Rotator Daily RC2 6% (5Yr Treasury) Index relies on the S&P 500 High Momentum Value Sector Rotation, which is designed to measure the performance of S&P 500 sectors with attractive valuations with a momentum overlay, as the underlying strategy. The Risk Control 2 volatility targeting overlay uses mathematical algorithms between the index and the S&P 5-Year U.S. Treasury Note Futures Index to dynamically rebalance the strategy to control the index risk profile at a predefined volatility target of 6%. The S&P Daily Risk Control Indices comprise various volatility targets and underlying universes (S&P 500, S&P 500 Dividend Aristocrats®, S&P 500 Low Volatility Index, etc.).