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S&P 500 Engle 12% VT TCA Index

The S&P 500® Engle 12% VT TCA Index measures exposure to E-mini S&P 500 futures while applying an intraday volatility control mechanism with a volatility target of 12%. The volatility control mechanism is based on a Multiplicative Error Model intraday forecasting model introduced by Professor Robert Engle.

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