The S&P 500® Growth Value Rotator Daily Risk Control 5% Index seeks to provide risk-controlled, excess return measurement of the S&P 500 Growth Value Rotator Index. The S&P 500 Growth Value Rotator Index is designed to track the one-year performance of the S&P 500 Growth (TR) and S&P 500 Value (TR), striving to capture the better performing of the two index universes dynamically. Each month, based on these returns, the index fully allocates to either the growth or value index. The S&P 500 Growth Value Rotator Daily Risk Control 5% Index is dynamically rebalanced to target a 5% volatility level with an excess return calculated using the overnight LIBOR rate.
