The S&P Gold Futures 15% Volatility Intraday Target Long TCA Index measures the performance of a long-only, dynamically adjusted strategy that allocates to gold futures. The index targets 15% volatility using an intraday rebalancing strategy based on time-weighted average prices (TWAPs) that calculate during different time windows in the day. The index uses a combination of a currency signal and an overnight indexed swap rates signal to construct a fundamental signal to adapt to different market environments. The index can lever up to 200% to achieve the target volatility and includes a volatility adjustment factor to achieve target volatility and a transaction cost adjustment (TCA).

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• S&P 500 Engle 15% VT TCA Index
• S&P 500 Engle 15% VT Index
• S&P 500 Engle 14% VT TCA Index
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