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FTSE Volatility Target Index Series

The FTSE Volatility Target Index Series represents the performance of an investment strategy that seeks to manage expected volatility close to a specific targeted level.

The FTSE Volatility Target Index Series deleverages (leverages) i.e. decreases (increases) the allocation to the underlying equity index and increases (decreases) exposure to a risk-free cash return component, as the volatility of the underlying index increases (decreases), in order to target a pre-specified level of volatility. The Total Return and the Excess Return Indexes include a cash return component.

Methodology

Index rules should be read in conjunction with supportingFTSE Russell noticesThese notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment in the period up to a rule change.