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S&P 500 Systematic Mean Reversion Tactical Allocator Index
Description
The S&P 500® Systematic Mean Reversion Tactical Allocator (SMRT) Index implements a mean reversion factor to determine the dynamic leverage on the S&P 500 PR. The factor is based on the index level at market close and the index’s exponential weighted moving average, and the factor is adjusted by volatility to determine leverage and subtracts a funding rate from the leverage portion.
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