Nasdaq 100 5% Target Volatility Index

Index Description

The Nasdaq-100 5% Target Volatility Index (the “Index”) is designed to deliver exposure to the NASDAQ-100 Total Return Index (XNDX) while targeting a constant five percent (5%) level of volatility. The Index uses the truVol® Risk Control Engine (RCE) to dynamically allocate between XNDX 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 XNDX 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 (Excess Return). Although the Index is designed to target a specific risk level, there are no guarantees the Index will achieve these results.