S&P Momentum Daily Risk Control 6% Excess Return Index

The index represents a portfolio made up of the S&P Momentum United States LargeMidCap Excess Return Index and a liquid bond index. These two positions are dynamically rebalanced to target 6% volatility. Volatility is calculated as a function of historical returns. Volatility measures are used to deleverage quickly as well as to increase exposure when volatility decreases.

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