The S&P 500 Futures Volatility Watcher 35% VT TCA 5% Decrement Index measures the performance of a long-only risk control strategy that allocates to the S&P 500 Futures Index ER to achieve a 35% volatility target, less a fixed amount of 5% per year. The index uses a combination of exponential-weighted returns of the S&P 500 Futures Index ER and the level of the Cboe Volatility Index (VIX) to estimate the realized volatility that is used to calculate the exposure needed to achieve the desired volatility target and includes a transaction cost adjustment (TCA).
