Index Definitions and Trademark Language

Index

30-Day Treasury Bill

The 30-Day Treasury Bill Index is an unmanaged index of a one-Treasury bill portfolio updated each month using the shortest-term bill of not less than one month to maturity.

Barclay CTA Index

Barclay CTA Index – The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 582 programs included in the calculation of the Barclay CTA Index for the year 2013, which is unweighted and rebalanced at the beginning of each year. To qualify for inclusion in the CTA Index, an advisor must have four years of prior performance history. Additional programs introduced by qualified advisors are not added to the Index until after their second year. These restrictions, which offset the high turnover rates of trading advisors as well as their artificially high short-term performance records, ensure the accuracy and reliability of the Barclay CTA Index. All data is presented Net of Fees.
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Barclay Currency Traders Index

Barclay Currency Traders Index is an equal weighted composite of managed programs that trade currency futures and/or cash forwards in the inter bank market. All data is presented Net of Fees.

BarclayHedge Equity Long/Short Index
This directional strategy involves equity-oriented investing on both the long and short sides of the market. The objective is not to be market neutral. Managers have the ability to shift from value to growth, from small to medium to large capitalization stocks, and from a net long position to a net short position. Managers may use futures and options to hedge. The focus may be regional or sector specific.
 
The Barclay Equity Long/Short Index is recalculated and updated real-time on this page as soon as the monthly returns for the underlying funds are recorded. Only funds that provide us with net returns are included in the index calculation. The number of funds that are currently included in the calculations for the most recent months can be found in the footnotes above. Please note that the calculation for the number of funds is time-stamped and that the number of funds will continue to increase until all funds categorized within the sector have reported monthly returns.
Bloomberg AUSBond Bank Bill Index

The Bloomberg AUSBond Bank Bill Index is engineered to measure the Australian money market by representing a passively managed short term money market portfolio. This index is comprised of 13 synthetic instruments defined by rates interpolated from the RBA 24-hour cash rate, 1M BBSW, and 3M BBSW. This is a legacy UBS index.
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Bloomberg AUSBond Composite Bond Index

The Bloomberg AusBond Composite Bond Index includes investment grade fixed interest bonds with a minimum of 1 month to maturity issued in the Australian debt market under Australian law..
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Bloomberg Barclays US Aggregate Bond Index

The Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).
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Bloomberg Commodity Index (Total Return)

Bloomberg Commodity Index (Total Return) formerly the Dow Jones-UBS Commodity Index Total Return, reflects the returns on a fully collateralized investment in Bloomberg Commodity Index which is a broadly diversified index composed of futures contracts on physical commodities. The index currently has 22 commodity futures in seven sectors. No one commodity can compose less than 2% or more than 15% of the index and no sector can represent more than 33% of the index as of the annual weightings of the components.
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BofA Merrill Lynch Canada Government Index

The BofA Merrill Lynch Canada Government Index encompasses Canadian dollar-denominated investment grade government bonds, including sovereign and quasi-government debt.
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BofA Merrill Lynch Global Government Ex-Canada Index

The BofA Merrill Lynch Global Government Ex-Canada Index: the BofA Merrill Lynch Global Government Ex-Canada Index is a subset of the BofA Merrill Lynch Global Government Index which tracks the performance of investment grade sovereign debt publicly issued and denominated in the issuer's own domestic market and currency. In order to qualify for inclusion in the Index, a country (i) must be an OECD member; (ii) must have an investment grade foreign currency long-term sovereign debt rating (based on an average of Moody's, S&P and Fitch); (iii) must have at $50 billion (USD equivalent) outstanding face value of Index qualifying debt (i.e., after imposing constituent level filters on amount outstanding, remaining term to maturity, etc.) to enter the Index; (iv) must have at least $25 billion (USD equivalent) in outstanding face value of Index qualifying debt in order to remain in the Index; (v) must be available to foreign investors; and (vi) must have at least one readily available, transparent price source for its securities.
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BofA Merrill Lynch High Yield Master Bond Index

The BofA Merrill Lynch High Yield Master Bond Index monitors the performance of below investment grade US dollar-denominated corporate bonds publicly issued in the US domestic market. BofA Merrill Lynch Indexes are service marks of BofA Merrill Lynch.
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BofA Merrill Lynch US High Yield Master II Index

The US High Yield Master II Index tracks the performance of below investment grade US dollar-denominated corporate bonds publicly issued in the US domestic market.
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BofA Merrill Lynch US Inflation-Linked Treasury Index

BofA Merrill Lynch US Inflation-Linked Treasury IndexSM is an unmanaged index that tracks the performance of US dollar denominated inflation-linked sovereign debt publicly issued by the US government in its domestic market. BofA Merrill Lynch Indexes are service marks of BofA Merrill Lynch.
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CBOE Crude Oil ETF Volatility Index (OVX)

The CBOE Crude Oil ETF Volatility Index ("Oil VIX", Ticker - OVX) measures the market's expectation of 30-day volatility of crude oil prices by applying the VIX® methodology to United States Oil Fund, LP (Ticker - USO) options spanning a wide range of strike prices.
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Cboe S&P 500 BuyWrite Index (BXMSM)

The Cboe S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index.
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Cboe S&P 500 PutWrite Index (PUT)

The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 Index puts and invest cash at one- and three-month Treasury Bill rates. The number of puts sold varies from month to month, but is limited so that the amount held in Treasury Bills can finance the maximum possible loss from final settlement of the SPX puts.
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CBOE Volatility Index® (VIX®)

The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.
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Citi European Government Bond Index

The Citi European Government Bond Index represents the European fixed income markets and includes debt issues of European governments.
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Citi World Non-European Government Bond Index

The Citi World Non-European Government Bond Index represents the broad global fixed income markets and includes debt issues of US and most developed international governments, governmental entities and supranationals, but excluding those from Europe.
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Composite Volatility Index

Composite Volatility Index or “CVX” is a customized measure of implied volatility calculated by First Quadrant, L.P. which incorporates data produced by S&P Dow Jones Indices LLC, Cboe Global Markets, Inc., and STOXX Limited. It is composed of a continuous maturity three-month Cboe Volatility Index (VIX®) future, the three-month moving average of the Euro Stoxx 50® Volatility Index (VSTOXX®), and the three-month moving average of the Cboe Crude Oil ETF Volatility Index (OVX®). Neither S&P Dow Jones Indices LLC, Cboe Global Markets, Inc., STOXX Limited, nor any other third party involved in or related to compiling, computing or creating VIX®, VSTOXX®, or OVX®(the “Data Sources”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof) and the Data Sources expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose. Without limiting any of the foregoing, in no event shall any of the Data Sources have any liability for any direct, indirect, special punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. All trademarks are the property of their respective owners.

Consumer Price Index For All Urban Consumers (CPI-U)

The Consumer Price Index For All Urban Consumers (CPI-U) measures the changes in the price of a basket of goods and services purchased by urban consumers. The urban consumer population is deemed by many as a better representative measure of the general public because most of the country's population lives in highly populated areas, which represent close to 90 percent of the total population.

Credit Suisse AllHedge Long/Short Equity Index

The Credit Suisse AllHedge Long/Short Equity Index is a subset of the Credit Suisse AllHedge Index that measures the aggregate performance of long/short equity funds. Long/short equity funds typically invest in both long and short sides of equity markets, generally focusing on diversifying or hedging across particular sectors, regions or market capitalizations. Managers typically have the flexibility to shift from value to growth; small to medium to large capitalization stocks; and net long to net short. Managers can also trade equity futures and options as well as equity related securities and debt or build portfolios that are more concentrated than traditional long-only equity funds.

Credit Suisse Long/Short Equity Hedge Fund Index

The Credit Suisse Long/Short Equity Hedge Fund Index is a subset of the Credit Suisse Hedge Fund IndexSM that measures the aggregate performance of dedicated short bias funds. Long/short equity funds typically invest in both long and short sides of equity markets, generally focusing on diversifying or hedging across particular sectors, regions or market capitalizations. Managers typically have the flexibility to shift from value to growth; small to medium to large capitalization stocks; and net long to net short. Managers can also trade equity futures and options as well as equity related securities and debt or build portfolios that are more concentrated than traditional long-only equity funds. © 1999-2014 Credit Suisse Hedge Index LLC. All rights reserved. Data is presented Net of Fees.

DB Currency Carry

The DB Currency Carry Index systematically buys the top three-yielding currencies out of the G-10 and sells the bottom three-yielding ones based on three-months’ yields, with the position re-appraised every three months. As with any carry trade the aim is to extract the risk premium for taking currency risk.
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DB Currency Momentum

The DB Currency Momentum Index systematically buys the three currencies with the highest return over the previous year and sells the three currencies with the lowest returns. The idea here is to profit from the fact that currencies trend over time as prices adjust slowly to new information.
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DB Currency Return

The DBCR Index combines the performance of three of the most common FX trading strategies – carry, momentum and valuation. Deutsche Bank has designed proprietary stand-alone indices to harness these strategies – the DB Carry Index, DB Momentum Index and DB Valuation Index – and it is the equally-weighted combination of these that constitutes the DBCR Index.
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DB Valuation

The DB Valuation Index The valuation strategy buys the three most undervalued currencies and sells those three that are most overvalued based on the concept of purchasing power parity – on the basis that research suggests this concept holds up in the long term, which means currencies tend to move towards a measure of fair value. Rebalancing is quarterly.
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Dow Jones US Select REIT Index

The Dow Jones U.S. Select REIT Index measures U.S. publicly traded Real Estate Investment Trusts. Unlike the Fund, the Dow Jones U.S. Select REIT Index is unmanaged, is not available for investment and does not incur expenses.

Euribor® (Euro Interbank Offered Rate)

Euribor® (Euro Interbank Offered Rate) is a benchmark giving an indication of the average rate at which banks lend unsecured funding in the euro interbank market for a given period. It is the rate at which euro interbank term deposits are offered by one prime bank to another within the EMU zone.

EURO STOXX 50® Volatility (VSTOXX®)

The VSTOXX Indices are based on EURO STOXX 50 realtime options prices and are designed to reflect the market expectations of near-term up to long-term volatility by measuring the square root of the implied variance across all options of a given time to expiration. The VSTOXX Indices are part of a consistent family of volatility indices: VSTOXX based on the EURO STOXX 50; VDAX-NEW based on the DAX; and VSMI based on the SMI.

FTSE EPRA/NAREIT Global Real Estate Index

The FTSE EPRA/NAREIT Global Real Estate Index Series is designed to represent general trends in eligible real estate equities worldwide. Relevant activities are defined as the ownership, disposal and development of income-producing real estate. “FTSE®” is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited (“FTSE”) under licence. The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB. The FTSE EPRA/NAREIT Global Index Series is calculated by FTSE in association with EPRA and NAREIT. EPRA® is a trade mark of European Public Real Estate Association (“Partner”). NAREIT® is a trade mark of National Association of Real Estate Investment Trusts (“Partner”). All rights in and to the FTSE EPRA/NAREIT Global Index Series (“Index”) vest in FTSE and/or its relevant Partner(s).
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FTSE NAREIT® All REITs Index

The FTSE NAREIT® All REITs Index is a market capitalization-weighted index that and includes all tax-qualified real estate investment trusts (REITs) that are listed on the New York Stock Exchange, the American Stock Exchange or the NASDAQ National Market List.
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FTSE World Ex US Government Bond Index

The FTSE World Ex US Government Bond Index measures the performance of fixed-rate, local currency, investment-grade sovereign bonds within the FTSE World Government Bond Index (WGBI), excluding the United States. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. The WGBI is a broad benchmark providing exposure to the global sovereign fixed income market.
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FTSE World Government Bond Index (WGBI)

The World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 30 years of history available. The WGBI is a broad benchmark providing exposure to the global sovereign fixed income market.
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Handelsbanken Sweden All Bond Tradable Index

Handelsbanken Sweden All Bond Tradable Index is a market-weighted index whose purpose is to reflect the Swedish market for covered housing bonds and bonds issued by the state and municipality, with benchmark status. The index is rebalanced on a monthly basis and coupons are reinvested in the index continuously. The index is created with liquidity in focus and also complies with the UCITS III directive, through distribution requirements and weight restrictions. The index is owned, calculated and published by Handelsbanken and SIX Telekurs AB acts as Index Sponsor.

HFR Risk Parity Vol 10 Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of 10% or less are classified as Volatility Target: 10%.
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HFR Risk Parity Vol 10 Institutional Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of 10% or less are classified as Volatility Target: 10%. Funds must have assets under management of USD $500MM or greater in order to be considered for inclusion in an HFR Risk Parity Institutional Index.
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HFR Risk Parity Vol 12 Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of greater than 10% and less than 15% are classified as Volatility Target: 12%.
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HFR Risk Parity Vol 12 Institutional Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of greater than 10% and less than 15% are classified as Volatility Target: 12%. Funds must have assets under management of USD $500MM or greater in order to be considered for inclusion in an HFR Risk Parity Institutional Index.
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HFR Risk Parity Vol 15 Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of 15% or greater are classified as Volatility Target: 15%.
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HFR Risk Parity Vol 15 Institutional Index

Risk Parity is an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. Risk Parity funds are classified by main volatility targets. Funds with a volatility target of 15% or greater are classified as Volatility Target: 15%. Funds must have assets under management of USD $500MM or greater in order to be considered for inclusion in an HFR Risk Parity Institutional Index.
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HFRI EH: Equity Market Neutral Index - Equity Market Neutral

HFRI EH: Equity Market Neutral Index - Equity Market Neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities, select securities for purchase and sale. These can include both Factor-based and Statistical Arbitrage/Trading strategies. Factor-based investment strategies include strategies in which the investment thesis is predicated on the systematic analysis of common relationships between securities. In many but not all cases, portfolios are constructed to be neutral to one or multiple variables, such as broader equity markets in dollar or beta terms, and leverage is frequently employed to enhance the return profile of the positions identified. Statistical Arbitrage/Trading strategies consist of strategies in which the investment thesis is predicated on exploiting pricing anomalies which may occur as a function of expected mean reversion inherent in security prices; high frequency techniques may be employed and trading strategies may also be employed on the basis on technical analysis or opportunistically to exploit new information the investment manager believes has not been fully, completely or accurately discounted into current security prices. Equity Market Neutral Strategies typically maintain characteristic net equity market exposure no greater than 10% long or short. All data is presented Net of Fees.
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HFRI Emerging Markets: Global Index

HFRI Emerging Markets: Global Index The constituents of the HFRI Emerging Markets: Global Index will shift their weightings among a variety of emerging market regions according to market conditions and manager perspectives. All data is presented Net of Fees.
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HFRI Event Driven (Total) Index

HFRI Event Driven (Total) Index includes investment managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure. All data is presented Net of Fees.
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HFRI Fund of Funds Composite Index

HFRI Fund of Funds Composite Index includes Fund of Funds investing with multiple managers through funds or managed accounts. The strategy designs a diversified portfolio of managers with the objective of significantly lowering the risk (volatility) of investing with an individual manager. The Fund of Funds manager has discretion in choosing which strategies to invest in for the portfolio. A manager may allocate funds to numerous managers within a single strategy, or with numerous managers in multiple strategies. The minimum investment in a Fund of Funds may be lower than an investment in an individual hedge fund or managed account. The investor has the advantage of diversification among managers and styles with significantly less capital than investing with separate managers. PLEASE NOTE: The HFRI Fund of Funds Index is not included in the HFRI Fund Weighted Composite Index. All data is presented Net of Fees.
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HFRI Macro (Total) Index

HFRI Macro (Total) Index includes investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which the fundamental characteristics on the company are the most significant are integral to investment thesis. All data is presented Net of Fees. All data is presented Net of Fees.
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HFRI Macro: Systematic Diversified Index

HFRI Macro: Systematic Diversified Index includes strategies that have investment processes typically as a function of mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Strategies which employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. Strategies typically employ quantitative process which focus on statistically robust or technical patterns in the return series of the asset, and typically focus on highly liquid instruments and maintain shorter holding periods than either discretionary or mean reverting strategies. Although some strategies seek to employ counter trend models, strategies benefit most from an environment characterized by persistent, discernable trending behavior. Systematic: Diversified strategies typically would expect to have no greater than 35% of portfolio in either dedicated currency or commodity exposures over a given market cycle. The HFRI Systematic Diversified Index is a trademark of Hedge Fund Research Inc. All data is presented Net of Fees.
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HFRI RV: Fixed Income - Asset Backed

HFRI RV: Fixed Income - Asset Backed includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a fixed income instrument backed physical collateral or other financial obligations (loans, credit cards) other than those of a specific corporation. Strategies employ an investment process designed to isolate attractive opportunities between a variety of fixed income instruments specifically securitized by collateral commitments which frequently include loans, pools and portfolios of loans, receivables, real estate, machinery or other tangible financial commitments. Investment thesis may be predicated on an attractive spread given the nature and quality of the collateral, the liquidity characteristics of the underlying instruments and on issuance and trends in collateralized fixed income instruments, broadly speaking. In many cases, investment managers hedge, limit or offset interest rate exposure in the interest of isolating the risk of the position to strictly the yield disparity of the instrument relative to the lower risk instruments. All data is presented Net of Fees.
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HFRI RV: Fixed Income - Convertible Arbitrage

HFRI RV: Fixed Income - Convertible Arbitrage includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a convertible fixed income instrument. Strategies employ an investment process designed to isolate attractive opportunities between the price of a convertible security and the price of a non-convertible security, typically of the same issuer. Convertible arbitrage positions maintain characteristic sensitivities to credit quality the issuer, implied and realized volatility of the underlying instruments, levels of interest rates and the valuation of the issuer's equity, among other more general market and idiosyncratic sensitivities. All data is presented Net of Fees.
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HFRI RV: Fixed Income - Corporate

HFRI RV: Fixed Income - Corporate includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a corporate fixed income instrument. Strategies employ an investment process designed to isolate attractive opportunities between a variety of fixed income instruments, typically realizing an attractive spread between multiple corporate bonds or between a corporate and risk free government bond. Fixed Income - Corporate strategies differ from Event Driven: Credit Arbitrage in that the former more typically involve more general market hedges which may vary in the degree to which they limit fixed income market exposure, while the latter typically involve arbitrage positions with little or no net credit market exposure, but are predicated on specific, anticipated idiosyncratic developments. All data is presented Net of Fees.
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HFRI RV: Multi-Strategy Index - Multi-Strategies

HFRI RV: Multi-Strategy Index - Multi-Strategies employ an investment thesis is predicated on realization of a spread between related yield instruments in which one or multiple components of the spread contains a fixed income, derivative, equity, real estate, MLP or combination of these or other instruments. Strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. In many cases these strategies may exist as distinct strategies across which a vehicle which allocates directly, or may exist as related strategies over which a single individual or decision making process manages. Multi-strategy is not intended to provide broadest-based mass market investors appeal, but are most frequently distinguished from others arbitrage strategies in that they expect to maintain >30% of portfolio exposure in 2 or more strategies meaningfully distinct from each other that are expected to respond to diverse market influences. All data is presented Net of Fees.
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HFRX EH: Equity Market Neutral Index

Equity Market Neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities, select securities for purchase and sale. These can include both Factor-based and Statistical Arbitrage/Trading strategies. Factor-based investment strategies include strategies in which the investment thesis is predicated on the systematic analysis of common relationships between securities. In many but not all cases, portfolios are constructed to be neutral to one or multiple variables, such as broader equity markets in dollar or beta terms, and leverage is frequently employed to enhance the return profile of the positions identified. Statistical Arbitrage/Trading strategies consist of strategies in which the investment thesis is predicated on exploiting pricing anomalies which may occur as a function of expected mean reversion inherent in security prices; high frequency techniques may be employed and trading strategies may also be employed on the basis on technical analysis or opportunistically to exploit new information the investment manager believes has not been fully, completely or accurately discounted into current security prices. Equity Market Neutral Strategies typically maintain characteristic net equity market exposure no greater than 10% long or short. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.
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HFRX Macro/CTA Index

Macro strategy managers trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposed to EH, in which the fundamental characteristics on the company are the most significant and integral to investment thesis. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.
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HFRX Macro: Systematic Diversified CTA Index

Systematic Diversified strategies have investment processes typically as function of mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Strategies which employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. Strategies typically employ quantitative process which focus on statistically robust or technical patterns in the return series of the asset, and typically focus on highly liquid instruments and maintain shorter holding periods than either discretionary or mean reverting strategies. Although some strategies seek to employ counter trend models, strategies benefit most from an environment characterized by persistent, discernible trending behavior. Systematic Diversified strategies typically would expect to have no greater than 35% of portfolio in either dedicated currency or commodity exposures over a given market cycle. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.
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HFRX RV: Multi-Strategy Index

RV: Multi-Strategies employ an investment thesis is predicated on realization of a spread between related yield instruments in which one or multiple components of the spread contains a fixed income, derivative, equity, real estate, MLP or combination of these or other instruments. Strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. In many cases these strategies may exist as distinct strategies across which a vehicle which allocates directly, or may exist as related strategies over which a single individual or decision making process manages. Multi-strategy is not intended to provide broadest-based mass market investors appeal, but are most frequently distinguished from others arbitrage strategies in that they expect to maintain >30% of portfolio exposure in 2 or more strategies meaningfully distinct from each other that are expected to respond to diverse market influences. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.
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Ibbotson US 30 Day Treasury Bill Index

The Ibbotson U.S. 30 Day Treasury Bill Index is an unweighted index which measures the performance of one-month maturity U.S. Treasury Bills. Each month a one-bill portfolio containing the shortest-term bill having not less than one month to maturity is constructed. To measure holding period returns for the one-bill portfolio, the bill is priced as of the last trading day of the previous month-end and as of the last trading day of the current month.
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ICE BofAML US 3-Month Treasury Bill Index

The ICE BofAML 3-Month T-Bill Index is an unmanaged index that measures returns of three-month Treasury Bills.
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iShares Core US Value ETF

The iShares Core U.S. Value ETF seeks to track the investment results of a broad-based index composed of U.S. equities that exhibit value characteristics.
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iShares Russell 3000 ETF

The iShares Russell 3000 ETF seeks to track the investment results of a broad-based index composed of U.S. equities.
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MSCI ACWI

The MSCI ACWI Index is a free float‐adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
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MSCI ACWI Ex US

The MSCI ACWI Ex US is a free float‐adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the US.
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MSCI ACWI Price

The MSCI Price Indexes measure the price performance of markets without including dividends. On any given day, the price return of an index captures the sum of its constituents’ free float‐weighted market capitalization returns. The MSCI Country and Regional Indices are calculated in local currency as well as in USD. The concept of a “local currency” calculation excludes the impact of currency fluctuations.
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MSCI EAFE Index

The MSCI EAFE Index (Europe, Australasia, Far East) is a free float‐adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
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MSCI Emerging Markets Index

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. Unlike the Fund, the Index is unmanaged, is not available for investment and does not incur expenses.
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MSCI Europe Index

The MSCI Europe Index is a free float‐adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. The MSCI Europe Index consists of the following 15 developed market country indexes: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.
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MSCI Volatility Tilt Index

The MSCI World Volatility Tilt Index is based on MSCI World, its parent index, which includes large and mid-cap stocks across 23 Developed Markets (DM) countries*. It aims to reflect the performance of a low volatility strategy with relatively high investment capacity. The indexes are created by tilting the market capitalization weights of all the constituents in the parent index based on the inverse of security price variance and then re-weighting them. * DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Equal Weighted Index

The MSCI World Equal Weighted Index represents an alternative weighting scheme to its market cap weighted parent index, the MSCI World Index. The index includes the same constituents as its parent (large and mid cap securities from 23 Developed Markets countries). However, at each quarterly rebalance date, all index constituents are weighted equally, effectively removing the influence of each constituent’s current price (high or low). Between rebalances, index constituent weightings will fluctuate due to price performance. Developed Markets countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Ex Australia

The MSCI World Ex Australia Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of 22 of 23 developed markets countries within the MSCI World Index, excluding the Australia. The MSCI World IndexSM is a registered trademark of Morgan Stanley Capital International.
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MSCI World Ex Europe Index

The MSCI World Ex Europe Index captures large and mid cap representation across 8 of 23 Developed Markets (DM) countries. DM countries include: Australia, Canada, Hong Kong, Israel, Japan, New Zealand, Singapore and the USA. With 1,196 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
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MSCI World Ex US Index

The MSCI World Ex US Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of 22 of 23 developed markets countries within the MSCI World Index, excluding the United States. The MSCI World IndexSM is a registered trademark of Morgan Stanley Capital International.
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MSCI World Index

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. MSCI and its brands and product names are the trademarks, service marks, or registered trademarks of MSCI or its subsidiaries in the United States and other jurisdictions.
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MSCI World Index (AUD)

The MSCI World Index captures large and mid cap representation across 23 Developed Markets (DM) countries. With 1,650 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
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MSCI World Index (AUD)

The MSCI World Index captures large and mid cap representation across 23 Developed Markets (DM) countries. With 1,650 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
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MSCI World Minimum Volatility (USD) Index

The MSCI World Minimum Volatility (USD) Index aims to reflect the performance characteristics of a minimum variance strategy applied to the MSCI large and mid cap equity universe across 23 Developed Markets countries*. The index is calculated by optimizing the MSCI World Index, its parent index, for the lowest absolute risk (within a given set of constraints). Historically, the index has shown lower beta and volatility characteristics relative to the MSCI World Index. * Developed Markets countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Momentum Index

The MSCI World Momentum Index is based on MSCI World, its parent index, which includes large and mid cap stocks across 23 Developed Markets (DM) countries. It is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Quality Index (USD)

The MSCI World Quality Index is based on MSCI World, its parent index, which includes large and mid cap stocks across 23 Developed Market (DM) countries*. The index aims to capture the performance of quality growth stocks by identifying stocks with high quality scores based on three main fundamental variables: high return on equity (ROE), stable year-over-year earnings growth and low financial leverage. The MSCI Quality Indexes complement existing MSCI Factor Indexes and can provide an effective diversification role in a portfolio of factor strategies. * Developed Market countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Size Tilt Index

The MSCI World Size Tilt Index is based on MSCI World, its parent index, which includes large and mid-cap stocks across 23 Developed Markets (DM) countries*. It aims to reflect the performance of a low size strategy with relatively high investment capacity. The indexes are created by including all the constituents in the parent index and weighting the constituents using the square root of their market capitalization weight. *DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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MSCI World Value Weighted Index

The MSCI World Value Weighted Index is based on a traditional market cap weighted parent index, the MSCI World Index, which includes large and mid cap stocks across 23 Developed Markets (DM) countries. The MSCI World Value Weighted Index reweights each security of the parent index to emphasize stocks with lower valuations. Index weights are determined using fundamental accounting data—sales, book value, earnings and cash earnings—rather than market prices. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
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RBA Cash Rate

RBA Cash Rate: The Reserve Bank of Australia’s measure of the cash rate is the interest rate which authorised deposit-taking institutions (ADIs) pay or charge to borrow funds from or lend funds to other ADIs on an overnight unsecured basis. This measure is also known as the interbank overnight rate. The Reserve Bank of Australia calculates and publishes this cash rate each day on the basis of data collected directly from banks. This measure of the cash rate has been published by the Reserve Bank of Australia since June 1998.

Russell 1000® Index

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market. The Russell 1000 Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
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Russell 2000® Index

The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. Russell Investments is the owner of the trademarks, service marks and copyrights related to its indexes. Russell Investments is a trade name and registered trademark of Frank Russell Company, a Washington USA corporation, which operates through subsidiaries worldwide and is part of London Stock Exchange Group.
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Russell 3000® Index

The Russell 3000® Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Russell 3000 Index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected.
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Russell Developed Ex US Large Cap

The Russell Developed ex-US Large Cap index offers investors access to the large-cap segment of the developed equity universe, excluding companies assigned to the US. The Russell Developed ex-US Large Cap index is constructed to provide a comprehensive and unbiased barometer for this market segment and is completely reconstituted annually to accurately reflect the changes in the market over time.
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Russell Emerging Markets Large Cap

The Russell Emerging Markets Large Cap index offers investors access to the large-cap segment of the emerging equity universe. The Russell Emerging Markets Large Cap index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to accurately reflect the changes in the market over time.
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Russell Global Large Cap

The Russell Global Large Cap index offers investors access to the large-cap segment of the entire global equity universe. The Russell Global Large Cap index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to accurately reflect the changes in the market over time.
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S&P 500 Low Volatility Index

The S&P 500® Low Volatility Index measures performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low volatility or low variance strategies for the U.S. stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weights.
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S&P 500 Materials Sector Index

The S&P 500® Materials comprises those companies included in the S&P 500 that are classified as members of the GICS® materials sector.
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S&P 500®

The S&P 500® has been widely regarded as the best single gauge of the large cap U.S. equities market since the index was first published in 1957. The index has over US$ 5.58 trillion benchmarked, with index assets comprising approximately US$ 1.31 trillion of this total. The index includes 500 leading companies in leading industries of the U.S. economy, capturing 75% coverage of U.S. equities. S&P 500® is a registered trademark of the McGraw-Hill Companies Inc.
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S&P Canada Property Index

S&P Canada Property Index is a subset of the S&P Global Property Index. The S&P Global Property Index contains more than 530 property companies trading in 36 countries and is market-capitalization weighted, as are many of its sub-indices. All of the constituents are drawn from the S&P Global BMI.
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S&P GSCI®

The S&P GSCI® provides investors with a reliable and publicly available benchmark for investment performance in the commodity markets. The S&P GSCI is widely recognized as the leading measure of general commodity price movements and inflation in the world economy. The S&P GSCI is proprietary data of Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. All rights reserved.
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S&P/ASX 200

The S&P/ASX 200 is recognized as the institutional investable benchmark in Australia. The index covers approximately 80% of Australian equity market capitalization. Index constituents are drawn from eligible companies listed on the Australian Securities Exchange. The S&P/ASX 200 is a highly liquid and investible index, designed to address investment managers' needs to benchmark against a portfolio characterized by sufficient size and liquidity. The S&P/ASX 200 Property Trust (AUD) is a sector sub-index of the S&P/ASX 200 Index, this index provides investors with exposure to Australian Real Estate Investment Trusts.

S&P/ASX 300

The S&P/ASX 300 provides investors with broader exposure to the Australian equity market. The index is liquid, float-adjusted and includes up to 300 of Australia’s largest securities by float-adjusted market capitalization. The S&P/ASX 300 index includes the large cap, mid cap and small cap components of the S&P/ASX index family. The index covers approximately 81% of Australian equity market capitalization.  This index is designed to address investment managers’ needs to benchmark against a broad opportunity-set characterized by sufficient size and liquidity.

S&P/TSX 60

The S&P/TSX 60 addresses the needs of investment managers who require a portfolio index of the large-cap market segment of the Canadian equity market. The index is also structured to reflect the sector weights of the S&P/TSX Composite. The Toronto Stock Exchange (TSX) serves as the distributor of both real-time and historical data for this index.
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SPDR S&P 500 ETF

The SPDR® S&P 500® ETF Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index.
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Trade-Weighted US Dollar Nominal Index: Advanced Foreign Economies

Trade-Weighted US Dollar Nominal Index: Advanced Foreign Economies is based on nominal exchange rates and is a weighted average of the foreign exchange value of the U.S. dollar against a subset of currencies from the broad index whose currencies commonly circulate outside of the country of issue. This subset includes the Euro Area, Canada, Japan, the United Kingdom, Switzerland, Australia, and Sweden.

Citations:
Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Advanced Foreign Economies, Goods and Services [DTWEXAFEGS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DTWEXAFEGS, May 28, 2020.

Wilshire Real Estate Securities Index

The Wilshire Real Estate Securities Index is a broad measure of the performance of publicly traded U.S. real estate securities, such as Real Estate Investment Trusts (REITs) and Real Estate Operating Companies (REOCs). The index is capitalization-weighted. The beginning date, January 1, 1978, was selected because it coincides with the Russell/NCREIF Property Index start date. The Index is rebalanced monthly, and returns are calculated on a buy and hold basis.

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Barclay CTA Indices

The Barclay CTA Indices are recalculated and updated real-time as soon as the monthly returns for the underlying funds are recorded, and are reported net of all fees. The number of funds that are currently included in the calculations for the most recent month can be found at www.barclayhedge.com. Copyright © Barclay Hedge, Ltd. All rights reserved.

Bloomberg

Bloomberg is a trademark and service mark of Bloomberg Finance L.P., a Delaware limited partnership, or its subsidiaries. All rights reserved.

BofA Merrill Lynch

Merrill Lynch indices are the property of Merrill Lynch, Pierce Fenner & Smith Incorporated. All rights reserved.

BofAML

BofAML® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates ("BofAML"), and may not be used without BofAML's prior written approval

CBOE Volatility Index® (VIX®)

The CBOE Volatility Index is a registered trademark of CBOE.

Citi

Citi, Citi and Arc Design, Citibank and Citigroup are trademarks and service marks of Citigroup and are used and registered throughout the world. © 2016 Citigroup Index LLC. All rights reserved.

Deutsche Bank AG

Copyright © Deutsche Bank AG. For additional information, please see https://gm.db.com/about/disclaimer.html.

FTSE

“FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies.

HFRI

The HFRI Monthly Indices ("HFRI") are a series of benchmarks designed to reflect hedge fund industry performance by constructing equally weighted composites of constituent funds, as reported by the hedge fund managers listed within HFR Database and are reported net of all fees. © 2018 Hedge Fund Research, Inc. - All rights reserved. HFR®, HFRI®, HFRX®, HFRU®, HFRQ®, HFRL™, WWW.HEDGEFUNDRESEARCH.COM®, HEDGE FUND RESEARCH™, HFR IndexScope™, and HFR Risk Parity Indices™ are the trademarks of Hedge Fund Research, Inc.

Ibbotson US 30 Day Treasury Bill Index

The Ibbotson name and logo are either trademarks or service marks of Ibbotson Associates, Inc.

MSCI

All MSCI data is provided ‘as is’. The products described herein are not sponsored or endorsed and have not been reviewed or passed on by MSCI. Neither MSCI, its affiliates, nor any MSCI data provider (“MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained through the use thereof) and the MSCI Parties expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular propose with respect to such data.  Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability of any direct, indirect, special, punitive, consequential, or any other damages in connection with the MSCI data or the products described herein. Copying or redistributing the MSCI data is strictly prohibited.

Russell Index

“Russell®” is a trademark of the London Stock Exchange Group companies.

S&P

The S&P Indices are proprietary data of Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. All rights reserved.

SPDR

Standard & Poor's®, S&P® and SPDR® are registered trademarks of Standard & Poor's Financial Services LLC (S&P).