The S&P U.S. Equity and Gold Futures 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 gold 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, mean reversion and a fundamental signal for the gold component. The index also includes a transaction cost adjustment (TCA).

• S&P 500 Engle 14% VT Index
• S&P 500 Engle 15% VT TCA Index
• S&P 500 Engle 15% VT Index
• S&P 500 Engle 14% VT TCA Index
• S&P 500 Engle 8% VT Index