The S&P 500 Duo Swift Capped 0.5% Decrement Index is designed to measure the performance of a controlled volatility version of the S&P 500, with the monthly return capped at 4% and less a fixed fee of 0.5%. The index features a risk control mechanism on S&P 500 E-mini futures, with a 10-year U.S. Treasury Bond futures overlay. The intraday rebalance methodology is based on time-weighted average prices (TWAPs) computed during different time windows in the day.
