Key Indices

The Index provides dynamic exposure to 12 Exchange Traded Funds (ETFs) across five sectors (Developed Equity, Emerging Markets, Alternative Investments, Bonds and Inflation) as well as cash. Based on the "modern portfolio theory" approach to investing, which suggests how an investor should allocate their capital for a given risk appetite, the index rebalances exposure to the ETFs on a monthly basis, looking to maximize returns while targeting a 5% volatility and tracking the returns of the portfolio above cash.

The JPMorgan Optimax Market-Neutral Index strategy applies an objective, rules-based methodology which rebalances monthly a synthetic long/short portfolio composed of 18 commodities, as represented by the sub-indices of the S&P GSCITM, with exposure across four sectors: energy, industrial metals, precious metals, and agriculture. The index is based on the "modern portfolio theory", as well as the "momentum theory", approach to commodity investing and takes long or short positions across the four sectors based on a combination of historical performance, correlation, volatility (targeted 5.00%) and expected future returns.

The J.P. Morgan Alternative Index Multi-Strategy 5 (USD)(the “Index” or “AI Multi-Strategy 5”) provides exposure to a portfolio of absolute return strategies and aims to generate consistent positive returns with low correlation to traditional asset classes. The underlying strategies are selected from three investment styles (Momentum, Carry and Satellite) and cover several asset classes. Index weights are rebalanced monthly to target a volatility of up to 5%. The Index is algorithmic, with daily levels published to Bloomberg. The Index is constructed as an excess return index.

The SG Wise is an equity market neutral index which replicates long and short stock positions using an objective rules based ranking system to determine the top 10% and bottom 10% stocks in the S&P 500 Index on a rolling month basis. Each month, a new long portfolio is determined and added to the previous eleven months’ long portfolios and the new short portfolio is added to each of the last six months’ portfolios so that each of the twelve months’ long portfolios represents 1/12th of the long side and each of the six months’ short portfolios represents 1/6th of the short side. The exposure within the index to the overall long - short position will be adjusted daily based on the percentage of exposure which would have resulted in a volatility of 8% per annum over the previous 20 days, subject to a minimum of 0% and a maximum exposure of 150%.

The Index is calculated on each business day (each, a "Calculation Date") and attempts to replicate bond performance through the use of certain LIBOR-based swap and deposit fixing rates. No bonds actually underlie the Index. The relevant "Coupon Rate" on the Hypothetical Bond is determined on the first Calculation Date of each month (each, a "Roll Date") as the mid-market swap fixing rate at which financial institutions could obtain 10 years of fixed semiannual payments in U.S. Dollars in exchange for floating rate payments at 3-Month USD LIBOR. Once a Coupon Rate has been established, the Index Sponsor calculates the Index level on each Calculation Date during the relevant month using two references: the Coupon Rate for the Hypothetical Bond and the Index level on the previous Roll Date. The Index methodology employs an algorithm, using as inputs certain LIBOR-based swap and deposit rates, to approximate the present value of the accrued coupon on the Hypothetical Bond and the change in the mark-to-market value of the Hypothetical Bond. The Index level is adjusted upward or downward on each Calculation Date to account for these changes. On the next Roll Date, a new Hypothetical Bond is priced,and the then-current Index level becomes the deemed notional exposure to the new Hypothetical Bond.The Index does not account for payments that would be made at maturity under a Hypothetical Bond. Please contact SG for the complete index methodology.

The index is designed to reflect the stock market performance of companies involved in providing solutions to the challenges of global climate change. The companies in the index stand to benefit substantially from a societal transition toward cleaner energy, pollution control and energy conservation.

The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. It has been a widely followed indicator of the stock market since October 1, 1928.

The MSCI EAFE Index is a capitalization weighted index that monitors the performance of stocks for Europe, Australiasia, and the Far East.

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225.

Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index was developed with a base level of 10 for the 1941- 43 base period.

London-Interbank Offered Rate - British Bankers Association Fixing for US Dollar. The fixing is conducted each day at 11am (London time). The rate is an average derived from the quotations provided by the banks determined by the British Bankers' Association. The top and bottom quartile is eliminated and an average of the remaining quotations calculated to arrive at fixing. The fixing is rounded up to 5 decimal places where the sixth digit is five or more. BBA USD Libor is calculated on an ACT/360 basis and for value two business days after the fixing. 3 month LIBOR refers to the applicable rate for a loan term of 3 months.

Two -Year Constant Maturity Swap rate. A constant maturity swap is a floating-for-floating interest rate swap, exchanging a LIBOR rate for a particular swap rate.

Ten -Year Constant Maturity Swap rate. A constant maturity swap is a floating-for-floating interest rate swap, exchanging a LIBOR rate for a particular swap rate.

The Australian dollar is the official currency of the Commonwealth of Australia. The conventional market quotation is the number of US dollars per Australian dollar. It is an independent, free-floating currency.

The Brazilian real is the official currency of the Federative Republic of Brazil. The conventional market quotation is the number of reals per US dollar. It is an independent free-floating currency.

The Chinese renminbi (yuan) is the official currency of The People's Republic of China. The conventional market quotation is the number of yuan per US dollar. The value of the yuan is pegged to a basket of currencies.

The price of 1 Euro in Brazilian Real. The euro is the official currency of the European Economic & Monetary Union. The Brazilian real is the official currency of the Federative Republic of Brazil.

The price of 1 Euro in Norwegian krone. The euro is the official currency of the European Economic & Monetary Union. The Norwegian krone is the official currency of the Kingdom of Norway.

The Indian rupee is the official currency of India. The conventional market quotation is the number of rupee per US dollar. It is managed floating rate with no preannounced path for exchange rate.

The Norwegian krone is the official currency of the Kingdom of Norway. The conventional market quotation is the number of kroner per US dollar. It is a managed, floating currency.

The Turkish lira is the official currency of the Republic of Turkey. The conventional market quotation is the number of liras per US dollar. On January 1, 2005 TRY replaced TRL as the currency for Turkey. TRY 1 = TRL 1MM.

Consumer Price Index is one of the most widely recognized price measures for tracking the price of a market basket of goods and services purchased by individuals. The weights of the components are based on consumer spending patterns. For example, an item that makes up 20% of the average household budget would have the same weight in the CPI. The food and beverage components has a relative importance of about 16% in the CPI, so a 1% rise in food prices would contribute 0.16 points to the change in the overall CPI. The CPI covers both goods and services. Here it differs from the Producer Price Index which covers just goods. The other difference between the two indexes is that the CPI covers cost facing consumers, while PPI covers purchases and/or wholesalers. The Non Seasonally Adjusted Consumer Price Index for All Urban Consumers, or CPI-U, examines the changes in the price of a basket of goods and services purchased by urban consumers and is the most frequently used statistic for identifying inflation or deflation.

The Gold Spot price is quoted as US Dollars per Troy Ounce.

Crude oil is the world's most actively traded commodity, and the NYMEX Division light, sweet crude oil futures contract is the world's most liquid forum for crude oil trading, as well as the world's largest-volume futures contract trading on a physical commodity. Because of its excellent liquidity and price transparency, the contract is used as a principal international pricing benchmark. The contract trades in units of 1,000 barrels, and the delivery point is Cushing, Oklahoma, which is also accessible to the international spot markets via pipelines. The contract provides for delivery of several grades of domestic and internationally traded foreign crudes, and serves the diverse needs of the physical market. Light, sweet crudes are preferred by refiners because of their low sulfur content and relatively high yields of high-value products such as gasoline, diesel fuel, heating oil, and jet fuel.

Natural gas accounts for almost a quarter of United States energy consumption, and the NYMEX Division natural gas futures contract is widely used as a national benchmark price. The futures contract trades in units of 10,000 million British thermal units (mmBtu). The price is based on delivery at the Henry Hub in Louisiana, the nexus of 16 intra- and interstate natural gas pipeline systems that draw supplies from the region's prolific gas deposits.

The Silver Spot price is quoted as US Dollars per Troy Ounce.

The Sugar No. 11 contract is the world benchmark contract for raw sugar trading. The contract prices the physical delivery of raw cane sugar, free-on-board the receiver's vessel to a port within the country of origin of the sugar. The contract calls for delivery of cane sugar, stowed in bulk, from any of 28 foreign countries of origin as well as the United States. Grade: Raw centrifugal cane sugar based on 96 degrees average polarization.