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S&P Multi-Asset 5% Volatility Intraday Target Long TCA Index
Description
The S&P Multi-Asset 5% Volatility Intraday Target Long TCA Index measures the performance of a long-only, dynamically adjusted strategy that allocates to E-mini-S&P 500® Futures and 10-Year U.S. Treasury Note Futures. The index targets a 5% volatility level and applies a fixed 60/40 distribution to the intraday weights of each component, based on individual volatility, momentum and mean reversion signals and includes a transaction cost adjustment (TCA).
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Top 10 Constituents by Index Weight
Full Constituents List-
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Sector
Index Weight
Maturity Breakdown
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Index Weight
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