Nasdaq Generations 5 Index

Index Description

The Nasdaq Generations 5 Index (the “Index”) is designed to deliver exposure to the Nasdaq-100 Total Return Index (ticker: XNDX), the Nasdaq Next Generation 100 Total Return Index (ticker: NGXT), and 10- year (10Y) and 2-year (2Y) US Treasury futures while targeting a constant 5% level of volatility. The Index uses the truVol® Risk Control Engine (RCE) to dynamically allocate between XNDX, NGXT, 10Y, 2Y and non-remunerating cash in aiming to achieve the volatility target. Developed by Salt Financial, the RCE is designed to offer higher levels of responsiveness and accuracy in targeting volatility for risk-controlled indices. The mechanism generally allocates more to the equity components (i.e., XNDX and NGXT) when volatility falls and more to cash when it rises. The Index is rebalanced daily and calculated in excess of a daily accrual of the Federal Funds Effective Rate to reflect the return of the components net of any hypothetical costs to fund an investment in them (Excess Return). Although the Index is designed to target a specific risk level, there are no guarantees the Index will achieve these results.