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The S&P 500® Futures 35% Edge Volatility Index measures the performance of a leveraged strategy applied to the S&P 500 Futures Index based on a forward-looking volatility estimate. The index comprises five equally weighted subindices, with each subindex rebalancing on one day of the week, applying a floor at 25% of the prior week’s rebalancing and a leverage cap. The index targets a 35% annualized volatility.
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