S&P U.S. Bond Futures 6% Volatility Intraday Target Long TCA Index

The S&P U.S. Bond Futures 6% Volatility Intraday Target Long TCA Index measures the performance of a long-only, dynamically adjusted strategy that allocates to 10-Year U.S. Treasury Note Futures. The index targets 6% volatility using an intraday rebalancing strategy; it also applies a medium-term momentum signal and a medium-term mean reversion signal to adapt to different market environments. The index can lever up to 200% to achieve the target volatility and includes a transaction cost adjustment (TCA).