S&P 500 Sector Rotator Daily RC2 5% Index

The S&P 500® Sector Rotator Daily RC2 5% Index relies on the S&P 500 High Momentum Value Sector Rotation, which is designed to measure the performance of S&P 500 sectors with attractive valuations with a momentum overlay, as the underlying strategy. The Risk Control 2 volatility targeting overlay uses mathematical algorithms between the index and the S&P 10-Year U.S. Treasury Note Futures Index to dynamically rebalance the strategy to control the index risk profile at a predefined volatility target of 5%. The S&P Daily Risk Control Indices comprise various volatility targets and underlying universes (S&P 500, S&P 500 Dividend Aristocrats®, S&P 500 Low Volatility Index, etc.).

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