The S&P 500® Futures 40% VT Adaptive Response 4% Decrement Index measure the performance of a long-only, dynamically adjusted strategy that allocates to the S&P 500 Futures Index ER, using three signals—a turn-of-the month signal, a “Don’t Fight the Fed” signal and a mean-reversion signal—to generate a base allocation to the S&P 500 Futures Index ER. The index then applies a risk control overlay to the base index to achieve a 40% volatility target, subject to the maximum allowed leverage for the index and less a fixed amount of 4% per year.
