The S&P 500® Futures 10% Volatility Intraday Target Long TCA Index measures the performance of a long-only, dynamically adjusted strategy that allocates to E-mini S&P 500 Futures. The index targets 10% volatility using an intraday rebalancing strategy based on time-weighted average prices (TWAPs) that calculate during different time windows in the day. The index applies an intraday momentum signal and an overnight mean reversion signal to adapt to different market environments. The index can lever up to 150% to achieve the target volatility and includes a transaction cost adjustment (TCA).
