Index Definitions

Alpha
Alpha measures the excess return of an investment vehicle, such as a mutual fund, relative to the return of its benchmark, given its level of risk (as measured by beta). Alpha is based on historical performance and does not represent future results.

 

Atlanta Fed’s Wage Growth Tracker
The Atlanta Fed’s Wage Growth Tracker is a measure of the nominal wage growth of individuals. It is constructed using microdata from the Current Population Survey and is the median percent change in the hourly wage of individuals observed 12 months apart. The measure is based on methodology developed by colleagues at the San Francisco Fed.

 

Bloomberg Commodity Index
The Bloomberg Commodity Index is a broadly diversified index that tracks the commodities markets through commodity futures contracts. You cannot invest directly in an index.

 

Bloomberg Commodity Total Return Index
The Bloomberg Commodity Total Return Index is an index that tracks the performance of futures contracts on commodities and adds the returns from investing in U.S. Treasury Bills. You cannot invest directly in an index.

 

Bloomberg Emerging Markets Ex U.S. Aggregate Index
The Bloomberg Emerging Markets Hard Currency Aggregate Index is a flagship hard currency Emerging Markets debt benchmark that includes USD-denominated debt from sovereign, quasi-sovereign, and corporate EM issuers. You cannot invest directly in an index.

 

Bloomberg Emerging Markets Hard Currency (USD) Aggregate Index
The Bloomberg Emerging Markets Hard Currency (USD) Aggregate Index is a flagship hard currency Emerging Markets debt benchmark that inclu des USD-denominated debt from sovereign, quasi-sovereign, and corporate EM issuers. You cannot invest directly in an index.

 

Bloomberg Euro Aggregate Bond Index
The Bloomberg Euro Aggregate Bond Index includes fixed-rate, investment-grade Euro denominated bonds. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal sectors in the index are the Treasury, corporate, government-related and securitized. You cannot invest directly into an index.

 

Bloomberg Euro Corporate 1-5 Year Bond Index
The Bloomberg Euro Corporate 1-5 Year Bond Index tracks euro-denominated investment grade corporate bonds from industrial, utility, and financial issuers publicly issued in the Eurobond and eurozone domestic markets. Time to maturity: 1-5 years. You cannot invest directly in an index.

 

Bloomberg Euro Treasury Index
The Bloomberg Euro Treasury Index consists of fixed-rate, investment-grade public obligations of the sovereign countries participating in the European Monetary Union. This index currently contains euro-denominated issues from 18 countries. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Bond Index
The Bloomberg Global Aggregate Bond Index is a measure of global investment-grade debt performance. This multicurrency benchmark includes Treasury, government-related, corporate, and securitized fixed-rate bonds from both developed and emerging market issuers. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Corporate Financial Institutions Index
Financial institutions sector-focused sub-index of the Bloomberg Global Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Corporate Index
The Bloomberg Global Aggregate Corporate Index is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Corporate Industrial Index
Industrial sector-focused sub-index of the Bloomberg Global Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Corporate Utility Index
Utility sector-focused sub-index of the Bloomberg Global Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Credit Index
The Bloomberg Global Aggregate Credit Index contains publicly issued corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Government ex U.S. Sovereigns Index
The Bloomberg Global Aggregate Government ex U.S. Sovereigns Index is a measure of investment grade rated debt from 25 local currency markets excluding the U.S. This multi-currency benchmark includes government-related fixed-rate bonds from both developed and emerging markets issuers. Bonds classified as sovereign are only eligible. It is a market capitalization weighted index. You cannot invest directly in an index.

 

Bloomberg Global Aggregate Total Return Index (Unhedged USD)
The Bloomberg Global Aggregate Total Return Index (Unhedged USD) is a flagship measure of global investment grade debt from a multitude local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. You cannot invest directly in an index.

 

Bloomberg Global Corporate Paris-Aligned Index
The Bloomberg Global Corporate Paris-Aligned Index is designed to meet the minimum standards of the EU Paris Aligned Benchmark (PAB) label. The index sets an initial 50% decarbonization of absolute greenhouse gas emissions relative to the Bloomberg Global Aggregate Corporate Index, followed by an annual 7.5% decarbonization trajectory. This multi-currency benchmark includes investment grade, fixed-rate, corporate bonds. You cannot invest directly in an index.

 

Bloomberg Global High-Yield Index
The Bloomberg Global High Yield Index is a multi-currency flagship measure of the global high yield debt market. The index represents the union of the US High Yield, the Pan-European High Yield, and Emerging Markets (EM) Hard Currency High Yield Indices. The high yield and emerging markets sub-components are mutually exclusive. You cannot invest directly in an index.

 

Bloomberg Global Securitized Index
The Index tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by governments or government agencies; investment grade debt asset backed securities; and investment grade commercial mortgage backed securities. The index is constructed by grouping individual pools into aggregates or generics based on program, coupon, and vintage. You cannot invest directly in an index.

 

Bloomberg Global Treasury Index
The Bloomberg Global Treasury Index tracks fixed-rate, local currency government debt of investment grade countries, including both developed and emerging markets. The index represents the treasury sector of the Global Aggregate Index and contains issues from 37 countries denominated in 24 currencies. You cannot invest directly in an index.

 

Bloomberg Global US Treasury-Intermediate Index
Bloomberg Global US Treasury-Intermediate Index is an unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of greater than or equal to 1 year and less than 10 years, are rated investment grade, and have $250 million or more of outstanding face value. You cannot invest directly in an index.

 

Bloomberg GSAM Cross Asset Risk Premia Index
The Bloomberg GSAM Cross Asset Risk Premia Index provides equal-risk-weighted exposure to a portfolio composed of value, quality, momentum, and low risk factor indexes for U.S. cash equities (Bloomberg GSAM U.S. Equity Multi Factor Index) and carry, value, and trend factor indexes for commodities, bonds, equities, and currencies using futures and forwards (Bloomberg GSAM Macro Risk Premia Index).

 

Bloomberg High Yield Energy Index
The Bloomberg High Yield Energy Index is a subset of the Bloomberg U.S. High Yield Index. It consists of issuers that are identified as being in the energy sector. You cannot invest directly in an index.

 

Bloomberg High Yield ex Energy Index
The Bloomberg High Yield ex Energy Index is a subset of the Bloomberg U.S. High Yield Index. It consists of issuers that are identified as not being in the energy sector. You cannot invest directly in an index.

 

Bloomberg High Yield Municipal Bond Index
The Bloomberg High Yield Municipal Bond Index measures the non-investment-grade and nonrated U.S. dollar–denominated, fixed-rate, tax-exempt bond market within the 50 United States and four other qualifying regions (Washington, D.C.; Puerto Rico; Guam; and the Virgin Islands). The index allows state and local general obligation, revenue, insured, and prerefunded bonds; however, historically the index has been composed of mostly revenue bonds. You cannot invest directly in an index.

 

Bloomberg High Yield Municipal Bond Index excluding Puerto Rico
The Bloomberg High Yield Municipal Bond Index excluding Puerto Rico measures the non-investment-grade and nonrated U.S. dollar–denominated, fixed-rate, tax-exempt bond market within the 50 United States and other qualifying regions (Washington, D.C.; Guam; and the Virgin Islands but not Puerto Rico). You cannot invest directly in an index.

 

Bloomberg High Yield Municipal Puerto Rico Index
The Bloomberg High Yield Municipal Puerto Rico Index is a subset of the Bloomberg High Yield Municipal Index. It consists of issuers that are identified as being in Puerto Rico. You cannot invest directly in an index.

 

Bloomberg High Yield Municipal Tobacco Index
The Bloomberg High Yield Municipal Tobacco Index is a subset of the Bloomberg High Yield Municipal Index. It consists of issuers that are identified as being in the tobacco sector. You cannot invest directly in an index.

 

Bloomberg Municipal Bond Index
The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index.

 

Bloomberg Municipal High Yield Bond Index
The Bloomberg Municipal High Yield Bond Index is a flagship measure of the non-investment grade and nonrated USD-denominated tax exempt bond market. Included in the index are securities from all 50 US States and four other qualifying regions (Washington DC, Puerto Rico, Guam, and the Virgin Islands). The index includes state and local general obligation bonds and revenue bonds. All bonds in the Municipal High Yield Bond Index are tax exempt, and hence are not eligible for other indices that include taxable high yield bonds, such as the US High Yield Index and EM USD Aggregate Index. The Municipal High Yield Bond Index has history going back to October 1995. You cannot invest directly into an index.

 

Bloomberg MSCI Global Green Bond Index
The Bloomberg MSCI Global Green Bond Index aims to track fixed income securities in which the proceeds, or an equivalent amount, will be exclusively and formally applied to projects or activities that promote climate or other environmental sustainability purposes through their use of proceeds (green bonds). This multi-currency benchmark includes Treasury, corporate, government-related, and securitized bonds. You cannot invest directly in an index.

 

Bloomberg Pan-European High Yield Index
The Bloomberg Pan-European High Yield Index measures the market of non-investment grade, fixed-rate corporate bonds denominated in the following currencies: euro, pounds sterling, Danish krone, Norwegian krone, Swedish krona, and Swiss franc. Inclusion is based on the currency of issue, and not the domicile of the issuer. The index excludes emerging market debt. You cannot invest directly in an index.

 

Bloomberg Securitized MBS/ABS/CMBs Index
The Index tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC); investment grade debt asset backed securities; and investment grade commercial mortgage backed securities. The index is constructed by grouping individual pools into aggregates or generics based on program, coupon, and vintage. You cannot invest directly in an index.

 

Bloomberg Sterling Corporate Bond Index
The Bloomberg Sterling Corporate Bond Index contains fixed-rate, investment-grade Sterling-denominated bonds. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal asset class in the index is corporate securities. You cannot invest directly in an index.

 

Bloomberg Sterling Gilt Index
The Bloomberg Sterling Gilt Index is a flagship measure of Great British Pound-denominated (British pound sterling), fixed-rate, investment-grade public obligations of the U.K. You cannot invest directly in an index.

 

Bloomberg U.S. 1-3 Year Government/Credit Bond Index
The Bloomberg U.S. 1-3 Year Government/Credit Bond Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued. You cannot invest directly in an index.

 

Bloomberg U.S. 1-3 Year High Yield Bond Index
The Bloomberg U.S. 1-to-3 Year High Yield Bond Index is the 1–3 year component of the Bloomberg U.S. Corporate High Yield Bond Index. You cannot invest directly in an index.

 

Bloomberg U.S. Aggregate Bond Index
The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

 

Bloomberg U.S. Aggregate Corporate Financial Institutions Index
Financial institutions sector-focused sub-index of the Bloomberg U.S. Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg U.S. Aggregate Corporate Industrial Index
Industrial sector-focused sub-index of the Bloomberg U.S. Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg U.S. Aggregate Corporate Utility Index
Utility sector-focused sub-index of the Bloomberg U.S. Aggregate Corporate Index, which is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors. You cannot invest directly in an index.

 

Bloomberg U.S. Corporate Bond Index
The Bloomberg U.S. Corporate Bond Index is an unmanaged market-value-weighted index of investment-grade corporate fixed-rate debt issues with maturities of one year or more. You cannot invest directly in an index.

 

Bloomberg U.S. Corporate High Yield Index
The Bloomberg U.S. Corporate High Yield Index is an unmanaged, U.S. dollar– denominated, nonconvertible, non-investment-grade debt index. The index consists of domestic and corporate bonds rated Ba and below with a minimum outstanding amount of $150 million. You cannot invest directly in an index.

 

Bloomberg U.S. Corporate Index
The Bloomberg US Corporate Bond Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by US and non-US industrial, utility and financial issuers. You cannot invest directly in an index.

 

Bloomberg U.S. Credit Index
The Bloomberg U.S. Credit Index contains publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be registered with the SEC. Each qualified issuer’s exposure is then capped on a market-weighted basis at 3%, and the residual is allocated on a pro-rata basis to all remaining constituents. You cannot invest directly in an index.

 

Bloomberg U.S. High Yield 350M Cash Pay 0-5 Yr 2% Cap Index
The Index measures the USD denominated, high yield, fixed-rate corporate bond market where issues are at least $350 million. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. Issues are limited to 2% of the index. You cannot invest directly in an index.

 

Bloomberg U.S. High Yield Index
The Bloomberg U.S. High Yield Index covers the universe of fixed rate, non-investment grade debt. Eurobonds and debt issues from countries designated as emerging markets are excluded, but Canadian and global bonds of issuers in non-EMG countries are included. You cannot invest directly in an index.

 

Bloomberg U.S. Investment Grade Corporate Bond Index
The Bloomberg U.S. Corporate Bond Index is an unmanaged market-value-weighted index of investment-grade corporate fixed-rate debt issues with maturities of one year or more. You cannot invest directly in an index.

 

Bloomberg U.S. Mortgage Backed Securities (MBS) Index
The Bloomberg US Mortgage Backed Securities (MBS) Index tracks fixed-rate agency mortgage backed pass-through securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). You cannot invest directly in an index.

 

Bloomberg U.S. Securitized Index (MBS/ABS/CMB)
The Index tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC); investment grade debt asset backed securities; and investment grade commercial mortgage backed securities. The index is constructed by grouping individual pools into aggregates or generics based on program, coupon, and vintage. You cannot invest directly in an index.

 

Bloomberg U.S. Treasury Bond Index
The Bloomberg U.S. Treasury Bond Index is an unmanaged index of prices of U.S. Treasury bonds with maturities of 1 to 30 years. You cannot invest directly in an index.

 

Bloomberg U.S. Treasury Index
The Bloomberg US Treasury Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index. You cannot invest directly in an index.

 

Bloomberg U.S. Treasury Inflation-Protected Securities Index
The Bloomberg U.S. Treasury Inflation-Protected Securities Index is an index of inflation-indexed-linked U.S. Treasury securities. You cannot invest directly in an index.

 

BofA Merrill Lynch Constrained Duration U.S. Mortgage Backed Securities Index
The BofA Merrill Lynch Constrained Duration U.S. Mortgage Backed Securities Index tracks the performance of U.S. dollar denominated 30-year, 20-year, and 15-year fixed rate residential mortgage pass-through securities publicly issued by U.S. agencies in the U.S. domestic market. You cannot invest directly in an index.

 

BofA Merrill Lynch Emerging Markets Sovereign Bond Index
The BofA Merrill Lynch Emerging Markets Sovereign Bond Index is a subset of The BofA Merrill Lynch World Sovereign Bond Index excluding all securities with a country of risk that is a member of the FX G10, all Western European countries, and territories of the U.S. and Western European countries. The FX G10 includes all Euro members, the U.S., Japan, the U.K., Canada, Australia, New Zealand, Switzerland, Norway, and Sweden. You cannot invest directly in an index.

 

BofA Merrill Lynch High Yield Master II Option-Adjusted Spreads
BofA Merrill Lynch Option-Adjusted Spreads (OAS) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization. The BofA Merrill Lynch High Yield Master II OAS uses an index of bonds that are below investment grade (those rated BB or below).

 

BofA Merrill Lynch U.S. Corporate 1-3 Year Index Value
The BofA Merrill Lynch U.S. Corporate 1-3 Year Index Value, a subset of the BofA Merrill Lynch U.S. Corporate Master Index, tracks the performance of U.S. dollar denominated investment grade rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a remaining term to maturity of less than 3 years. You cannot invest directly in an index.

BofA Merrill Lynch U.S. Corporate Index
The BofA Merrill Lynch U.S. Corporate Index tracks the performance of U.S. dollar denominated investment grade corporate debt publicly issued in the U.S. domestic market. You cannot invest directly in an index.

 

BofA Merrill Lynch U.S. Corporate Master Index
The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of U.S. dollar denominated investment-grade rated corporate debt publicly issued in the U.S. domestic market. To qualify for inclusion in the index, securities must have an investment grade rating (based on an average of Moody’s, S&P, and Fitch) and an investment grade rated country of risk (based on an average of Moody’s, S&P, and Fitch foreign currency long term sovereign debt ratings). Each security must have greater than 1 year of remaining maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million. You cannot invest directly in an index.

 

CBOE Skew Index
The CBOE Skew Index – referred to as “SKEW” – is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500® log returns at a 30-day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean.

 

Chicago Board Options Exchange (CBOE) S&P 500 Implied Correlation Indexes
The CBOE S&P 500 Implied Correlation Indexes are the first widely disseminated, market-based estimate of the average correlation of the stocks that comprise the S&P 500 Index (SPX). Using SPX options prices, together with the prices of options on the 50 largest stocks in the S&P 500 Index, the CBOE S&P 500 Implied Correlation Indexes offers insight into the relative cost of SPX options compared to the price of options on individual stocks that comprise the S&P 500. The CBOE S&P 500 Implied Correlation Indexes measure changes in the relative premium between index options and single-stock options. A single stock’s volatility level is driven by factors that are different from what drives the volatility of an Index (which is a basket of stocks). The implied volatility of a single-stock option simply reflects the market’s expectation of the future volatility of that stock’s price returns. Similarly, the implied volatility of an index option reflects the market’s expectation of the future volatility of that index’s price returns. However, index volatility is driven by a combination of two factors: the individual volatilities of index components and the correlation of index component price returns. You cannot invest directly in an index.

 

Chicago Board Options Exchange Volatility Index (VIX)
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from options on the S&P 500 Index and is supposed to reflect the market expectation of the index’s annualized 30-day volatility. The volatility measured by the VIX reflects both the possibility of upside movements as well as the possibility of downside movements.

 

Chicago Fed National Activity Index
The Chicago Fed National Activity Index (CFNAI) is a monthly index designed to gauge overall economic activity and related inflationary pressure. The CFNAI is a weighted average of 85 existing monthly indicators of national economic activity. It is constructed to have an average value of zero and a standard deviation of one. Since economic activity tends toward trend growth rate over time, a positive index reading corresponds to growth above trend and a negative index reading corresponds to growth below trend.

 

China Federation of Logistics and Purchasing (CFLP) Manufacturing Purchasing Managers Index (PMI)
The China Federation of Logistics and Purchasing (CFLP) Manufacturing Purchasing Managers Index (PMI) is the monthly survey of about 800 purchasing managers that is conducted jointly by CFLP and the National Bureau of Statistics (NBS). The questions focus on the health of the manufacturing sector. The numeric result is a diffusion index. A reading above 50 indicates that manufacturing is growing. A reading below 50 indicates contraction. You cannot invest directly in an index.

 

China Non-Manufacturing Purchasing Managers Index
The China Non-Manufacturing Purchasing Managers Index (PMI) provides an early indication each month of economic activities in China’s non-manufacturing sector. It is compiled by China Federation of Logistics & Purchasing and China Logistics Information Centre based on data collected by the National Bureau of Statistics. You cannot invest directly in an index.

 

Conference Board Consumer Confidence Index
The Conference Board Consumer Confidence Index is an economic indicator that measures consumer confidence, defined as the degree of optimism on the state of the U.S. economy that consumers express through savings and spending. You cannot invest directly in an index.

 

Conference Board Leading Economic Index® (LEI) for the U.S.
The Conference Board Leading Economic Index® (LEI) for the U.S. is constructed to summarize and reveal common turning points in the economy in a clearer and more convincing manner than any individual component. This index is built to anticipate (or “lead”) turning points in the business cycle by around 7 months. Its 10 components for the U.S. include: average weekly hours in manufacturing; average weekly initial claims for unemployment insurance; manufacturers’ new orders for consumer goods and materials; ISM® Index of New Orders; manufacturers’ new orders for nondefense capital goods excluding aircraft orders; building permits for new private housing units; S&P 500® Index of Stock Prices; Leading Credit Index™; interest rate spread (10-year Treasury bonds less federal funds rate); average consumer expectations for business conditions. You cannot invest directly in an index.

 

Consumer Price Index
The Consumer Price Index is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index.

 

Dow Jones Equal Weight U.S. Issued Corporate Bond Index
The Dow Jones Equal Weight U.S. Issued Corporate Bond Index is designed to track the total returns of 96 large and liquid investment-grade bonds issued by companies in the U.S. corporate bond market. You cannot invest directly in an index.

 

Dow Jones Industrial Average
The Dow Jones Industrial Average is a price-weighted index of 30 blue-chip industrial U.S. stocks. You cannot invest directly in an index.

 

Dow Jones U.S. Thematic Market Neutral Momentum Index
The index is designed to measure the performance of a long/short strategy utilizing long positions in high-momentum companies and short positions in low-momentum companies. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. The index is calculated using long and short indices as its basis. It is designed to be market- and sector-neutral. You cannot invest directly in an index.

 

Dow Jones U.S. Thematic Market Neutral Size Index
The index is designed to measure the performance of a long/short strategy utilizing long positions in small-cap companies and short positions in large-cap companies. Size is determined by float-adjusted market capitalization at each rebalance. The index is calculated using long and short indices as its basis. It is designed to be market- and sector-neutral. You cannot invest directly in an index.

 

Dow Jones U.S. Thematic Market Neutral Value Index
The index is designed to measure the performance of a long/short strategy utilizing long positions in value companies and short positions in growth companies. Value is calculated using a ranking process based on book value to price ratio, projected earnings per share to price ratio, and trailing 12-month operating cash flow to price ratio. The index is calculated using long and short indices as its basis. It is designed to be market- and sector-neutral. You cannot invest directly in an index.

 

Dow Jones U.S. Thematic Market Neutral Quality Index
The Dow Jones U.S. Thematic Market Neutral Quality Index is designed to measure the performance of a long/short strategy utilizing a long position in high quality companies and a short position in low quality companies. Quality is calculated using a ranking process based on the trailing 12-month return on equity and debt-to-equity ratio. The index is calculated using long and short indices as its basis. It is designed to be market- and sector-neutral. You cannot invest directly in an index.

 

FactSet U.S. Market Index
The FactSet U.S. Market Index is a capitalization-weighted index of all U.S. equities traded on organized exchanges.

 

Flexible Price Consumer Price Index
The Flexible Price Consumer Price Index (CPI) is calculated from a subset of goods and services included in the CPI that change price relatively frequently. Because flexible prices are quick to change, it assumes that when these prices are set, they incorporate less of an expectation about future inflation. Evidence suggests that this flexible price measure is more responsive to changes in the current economic environment or the level of economic slack. You cannot invest directly in an index.

 

FTSE Global All Cap Index
The FTSE Global All Cap Index is a market-capitalization weighted index representing the performance of large, mid and small cap companies in Developed and Emerging markets. The index is part of the FTSE Global Equity Index Series (GEIS), and covers over 7,400 securities in 47 different countries, capturing 98% of the world’s investable market capitalization. You cannot invest directly in an index.

 

FTSE Gold Mines Index
The FTSE Gold Mines Index is designed to reflect the performance of the world-wide market in the shares of companies whose principal activity is the mining of gold. Eligibility is based on the quantity of gold production. You cannot invest directly in an index.

 

FTSE NAREIT All Equity REITs Index
The FTSE NAREIT All Equity REITs Index is a free-float adjusted, market capitalization-weighted index of U.S. equity REITs. Constituents of the Index include all tax-qualified REITs with more than 50 percent of total assets in qualifying real estate assets other than mortgages secured by real property. You cannot invest directly in an index.

 

FTSE NAREIT U.S. Real Estate Index Series
The FTSE NAREIT U.S. Real Estate Index Series is a comprehensive family of REIT-focused indexes that span the commercial real estate industry (includes apartments and regional malls), providing market participants with a range of tools to benchmark and analyze exposure to real estate across the U.S. economy at both a broad industry-wide level and on a sector-by-sector basis. The indices are designed in part to serve as a performance benchmark. You cannot invest directly in an index.

 

Global Financial Data’s 10-year Treasury Total Return Index
This index measures the 10-year Treasury note’s total rate of return, including changes in the prices of 10-year Treasuries, as well as interest income. You cannot invest directly in an index.

 

Global Financial Data (GFD) World x/USA Index
The Global Financial Data World (GFD) x/USA Index reflects the non-U.S. developing markets and emerging markets components from GFD’s Equity Database, which contains more than 2,000 current and 2,000 historical data series on more than 100 countries. You cannot invest directly in an index.

 

Global Financial Data USA 5-year Government Note Total Return Index
The Global Financial Data USA 5-year Government Note Total Return Index is an index constructed such that every month it is assumed accrued interest and principal is reinvested at an interest rate equal to the yield on the 5 year Treasury note published by the Federal Reserve. You cannot invest directly in an index.

 

Global Financial Data USA 10-year Government Note Total Return Index
The Global Financial Data USA 10-year Government Note Total Return Index is an index constructed such that every month it is assumed accrued interest and principal is reinvested at an interest rate equal to the yield on the 10-year Treasury note published by the Federal Reserve. You cannot invest directly in an index.

 

Global Financial Data USA Total Return T-Bill Index
The Global Financial Data USA Total Return T-Bill Index is an index constructed such that every month it is assumed accrued interest and principal is reinvested at an interest rate equal to the yield on the 90 day Treasury bill published by the Federal Reserve. You cannot invest directly in an index.

 

HFRX Equity Hedge Index
The HFRX Equity Hedge Index measures the performance of the hedge fund market. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations, and valuation ranges of typical portfolios.

 

HFRI (Hedge Fund Research, Inc.) Fund Weighted Composite Index
A global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net-of-all-fees performance in U.S. Dollars and have a minimum of $50 Million under management or a 12-month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

 

Ibbotson Associates SBBI U.S. Small Stock Index
The Ibbotson U.S. Small Stock Index is a capitalization-weighted index which measures the performance of U.S. equities in the first and second deciles of market capitalization (smallest 20% by market capitalization). You cannot invest directly in an index.

 

iBoxx US Dollar Investment Grade Corporate Bond Index: The Index measures the USD denominated, investment grade, corporate bond market. The index includes bonds with minimum 3 years to maturity, minimum amount outstanding of USD 750 mil. Bond type includes fixed-coupon, step-up, bonds with sinking funds, medium term notes, callable and putable bonds. You cannot invest directly in an index.

 

ICE BofA Green Bond Index (GREN Index)
The ICE BofA Green Bond Index (GREN Index) tracks the performance of securities issued for qualified “green” purposes. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote climate change mitigation or adaptation or other environmental sustainability purposes as outlined by the ICMA Green Bond Principles. General debt obligations of corporations that are involved in green industries are not included. The index includes debt of sovereign, quasi-government, and corporate issuers but excludes securitized and collateralized securities. Qualifying securities must have an investment-grade rating (based on an average of Moody’s, S&P, and Fitch), at least 18 months to final maturity at the time of issuance, at least 1 month remaining term to final maturity as of the rebalancing date, and a fixed coupon schedule. Qualifying securities may be denominated in specified developed market and emerging market currencies. Securities denominated in a qualifying emerging market currency must settle on Euroclear. You cannot invest directly in an index. Copyright 2021. ICE Data Indices, LLC. All rights reserved.

 

ICE BofA Mature U.S. Pension Plan AAA-A Corporate Curve Discounted Index
The ICE BofA Mature U.S. Pension Plan AAA-A Corporate Curve Discounted Index is part of a series of indexes that track the percentage change in the net present value of assumed pension liability streams for representative “Young,” “Mature,” “Average,” and “Retired” U.S. pension plans based on sample projected pension plan cash flows produced by Mercer Human Resource Consulting, Inc. You cannot invest directly in an index.

 

ICE BofA U.S. Corporate & Government Index
The ICE BofA U.S. Corporate & Government Index tracks the performance of U.S. dollar-denominated investment-grade debt publicly issued in the U.S. domestic market, including U.S. Treasury, U.S. agency, foreign government, supranational, and corporate securities. Index constituents are market capitalization-weighted. You cannot invest directly in an index.

 

ICE BofAML U.S. Corporate 1-3 Year Index
The ICE BofAML U.S. Corporate 1-3 Year Index tracks the performance of U.S. dollar-denominated investment-grade rated corporate debt publically issued in the U.S. domestic market with a remaining term to maturity of less than 3 years. You cannot invest directly in an index. Copyright 2020. ICE Data Indices, LLC. All rights reserved.

 

ICE BofAML U.S. High Yield Constrained Index
The ICE BofAML U.S. High Yield Constrained Index is a market-value-weighted index of all domestic and Yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB-/Baa3 but are not in default. The ICE BofAML U.S. High Yield Constrained Index limits any individual issuer to a maximum of 2% benchmark exposure. You cannot invest directly in an index.

 

ICE BofAML U.S. High Yield Index
The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index.

 

ifo Business Climate Index
The ifo Business Climate Index is a highly regarded early indicator of economic developments in Germany published on a monthly basis. You cannot invest directly in an index.

 

Information Handling Services (IHS) Markit Flash Purchasing Managers’ Index^TM (PMI^TM)
The Information Handling Services (IHS) Markit Flash Purchasing Managers’ Index^TM (PMI^TM) provides early estimates of final PMI monthly numbers. Flash PMI data are published approximately one week before final PMI data each month and are typically based on 85%–90% of total PMI survey responses received each month. You cannot invest directly in an index.

 

Information Handling Services (IHS) Markit Flash U.S. Composite Purchasing Managers’ Index (PMI) Output Index
The Manufacturing PMI is a composite index based on a weighted combination of the following five survey variables (weights shown in brackets): new orders (0.3), output (0.25), employment (0.2), suppliers’ delivery times (0.15), and stocks of materials purchased (0.1). The delivery times index is inverted. The Manufacturing Output Index is based on the survey question, “Is the level of production/output at your company higher, the same, or lower than one month ago?” You cannot invest directly in an index.

 

Institute for Supply Management (ISM) Manufacturing Index
The Institute for Supply Management (ISM) Manufacturing Index is an economic index based on surveys of purchasing managers at more than 300 manufacturing firms. You cannot invest directly in an index.

 

Institute for Supply Management® (ISM®) Services Purchasing Managers’ Index (PMI®), referred to as the Services PMI®
The Services PMI® is a composite index based on the diffusion indexes for four of the indicators with equal weights: Business Activity (seasonally adjusted), New Orders (seasonally adjusted), Employment (seasonally adjusted), and Supplier Deliveries. Diffusion indexes have the properties of leading indicators and are convenient summary measures showing the prevailing direction of change and the scope of change. An index reading above 50% indicates that the services economy is generally expanding; below 50% indicates that it is generally declining. Supplier Deliveries is an exception. A Supplier Deliveries Index above 50% indicates slower deliveries and below 50% indicates faster deliveries.

A Services PMI® above 48.5%, over time, indicates that the overall economy, or gross domestic product, is generally expanding; below 48.5%, it is generally declining. The distance from 50% or 48.5% is indicative of the strength of the expansion or decline. You cannot invest directly in an index.

 

J.P. Morgan EMBI Global Diversified Total Return Index
The J.P. Morgan EMBI Global Diversified Total Return Index tracks total returns for traded external debt instruments in the emerging markets, and is an expanded version of the EMBI+. As with the EMBI+, the EMBI Global includes US dollar-denominated Brady bonds, loans, and Eurobonds with an outstanding face value of at least $500 million. However, this index limits the weights of countries with larger debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding. You cannot invest directly in an index.

 

Moody’s BAA Corporate Bond Yield
The Index is an average of the yields on U.S. corporate bonds with a minimum maturity of 20 years and a rating of Baa by Moody’s. You cannot invest directly in an index.

 

MSCI ACWI Low Carbon Target Index
The MSCI ACWI Low Carbon Target Index is based on the MSCI ACWI Index, its parent index, and includes large and mid-cap stocks across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries*. The Index is a benchmark for investors who wish to manage potential risks associated with the transition to a low carbon economy. The index aims for a tracking error target of 0.3% (30 basis points) while minimizing the carbon exposure. By overweighting companies with low carbon emissions (relative to sales) and those with low potential carbon emissions (per dollar of market capitalization), the index reflects a lower carbon exposure than that of the broad market. It uses MSCI ESG CarbonMetrics data from MSCI ESG Research Inc.

*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. EM countries include: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates

 

MSCI AC World Investable Market Index
The MSCI AC World Investable Market Index (IMI) captures large, mid and small cap representation across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries. With 8,638 constituents, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set. You cannot invest directly in an index.

 

MSCI AC World Investable Market Index (MSCI ACWI IMI)
The Morgan Stanley Capital International (MSCI) All Country World Investable Market Index (ACWI IMI) covers more than 9,000 securities across large, mid and small-cap size segments and across style and sector segments in 46 developed and emerging markets. The developed markets country indexes included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The emerging markets country indexes included are Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. You cannot invest directly in an index.

 

MSCI All Country Asia Pacific Index
The MSCI All Country Asia Pacific Index is a free float–adjusted market capitalization–weighted index of the stock markets of Australia, China, Hong Kong, India, Indonesia, Japan, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. You cannot invest directly in an index.

 

MSCI All Country World Index
The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) 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 markets country indexes. The developed markets country indexes included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The emerging markets country indexes included are Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. You cannot invest directly in an index.

 

MSCI All Country World Index (ACWI) Large Cap Index
The MSCI ACWI Large Cap Index captures large cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. With 1,175 constituents, the index covers about 70% of the free float-adjusted market capitalization in each country.

 

MSCI All Country World Index (ACWI) Mid Cap Index
The MSCI ACWI Mid Cap Index captures mid cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. With 1,302 constituents, the index covers approximately 15% of the free float-adjusted market capitalization in each country.

 

MSCI All Country World Index (ACWI) Small Cap Index
The MSCI ACWI Small Cap Index captures small cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. With 6,067 constituents, the index covers about 14% of the free float-adjusted market capitalization in each country.

 

MSCI Brazil Index
The Morgan Stanley Capital International (MSCI) Brazil Index is designed to measure the performance of the large- and mid-cap segments of the Brazilian market. With 58 constituents, the index covers about 85% of the Brazilian equity universe. You cannot invest directly in an index.

 

MSCI Chile Index
The Morgan Stanley Capital International (MSCI) Chile Index is designed to measure the performance of the large- and mid-cap segments of the Chilean market. With 19 constituents, the index covers approximately 85% of the Chile equity universe. You cannot invest directly in an index.

 

MSCI China Index
The Morgan Stanley Capital International (MSCI) China Index is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance in China. You cannot invest directly in an index. You cannot invest directly in an index.

 

MSCI China A Index
The MSCI China A Index captures large and mid cap representation across China securities listed on the Shanghai and Shenzhen exchanges. You cannot invest directly in an index.

 

MSCI Colombia Index
The Morgan Stanley Capital International (MSCI) Colombia Index is designed to measure the performance of the large- and mid-cap segments of the Colombian market. With 9 constituents, the index covers approximately 85% of the Colombian equity universe. You cannot invest directly in an index.

 

MSCI Czech Republic Index
The Morgan Stanley Capital International (MSCI) Czech Republic Index is designed to measure the performance of the large- and mid-cap segments of the Czech Republic market. With 4 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Czech Republic. You cannot invest directly in an index.

 

MSCI EAFE Index
The MSCI EAFE Index is an equity index which captures large and mid cap representation across 21 Developed Markets countries around the world, excluding the US and Canada. With 918 constituents, the index covers approximately 85% of the free float adjusted market capitalization in each country.

 

MSCI Egypt Index
The Morgan Stanley Capital International (MSCI) Egypt Index is designed to measure the performance of the large- and mid-cap segments of the Egyptian market. With 3 constituents, the index covers approximately 85% of the Eqypt equity universe. You cannot invest directly in an index.

 

MSCI Emerging Markets Growth Index
The MSCI Emerging Markets Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 27 Emerging Markets (EM) countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward earnings per share (EPS) growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. You cannot invest directly in an index.

 

MSCI Emerging Markets High Dividend Yield Index
The Morgan Stanley Capital International (MSCI) Emerging Markets High Dividend Yield Index is based on the MSCI Emerging Markets Index, its parent index. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. You cannot invest directly in an index.

 

MSCI Emerging Markets Index (Net)
The Morgan Stanley Capital International (MSCI) Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index.

 

MSCI Emerging Markets Investable Market Index
The MSCI Emerging Markets Investable Market Index (IMI) captures large, mid and small cap representation across 24 Emerging Markets (EM) countries. With 2,669 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country. You cannot invest directly in an index.

 

MSCI Emerging Markets Latin America Index
The Morgan Stanley Capital International (MSCI) Emerging Markets (EM) Latin America Index captures large and mid cap representation across 6 Emerging Markets (EM) countries in Latin America. With 112 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. You cannot invest directly in an index.

 

MSCI Emerging Markets Quality Tilt Index
The Morgan Stanley Capital International (MSCI) Emerging Markets Quality Tilt Index is based on MSCI Emerging Markets, its parent index, and aims to reflect the performance of a Quality strategy with high investment capacity. The MSCI Quality Tilt Indexes are created by including all the constituents in the Parent Index and tilting the market capitalization weights of securities, based on Quality Score. You cannot invest directly in an index.

 

MSCI Emerging Markets Value Index
The MSCI Emerging Markets Value Index captures large and mid cap securities exhibiting overall value style characteristics across 27 Emerging Markets (EM) countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. You cannot invest directly in an index.

 

MSCI Europe Index
The Morgan Stanley Capital International (MSCI) Europe Index is designed to represent the performance of large- and mid-cap equities across 15 developed markets. As of June 2017 it had more than 400 constituents and covered approximately 85% of the free float-adjusted market capitalization across the European developed market equity universe. The index is built using MSCI’s Global Investable Market Index (GIMI) methodology, which is designed to take into account variations reflecting conditions across regions, market-cap segments, sectors and styles. You cannot invest directly in an index.

 

MSCI Greece Index
The Morgan Stanley Capital International (MSCI) Greece Index is designed to measure the performance of the large- and mid-cap segments of the Greek market. With 9 constituents, the index covers approximately 85% of the Greece equity universe. You cannot invest directly in an index.

 

MSCI Hungary Index
The Morgan Stanley Capital International (MSCI) Hungary Index is designed to measure the performance of the large- and mid-cap segments of the Hungarian market. With 3 constituents, the index covers approximately 85% of the Hungarian equity universe. You cannot invest directly in an index.

 

MSCI India Index
The Morgan Stanley Capital International (MSCI) India Index is designed to measure the performance of the large- and mid-cap segments of the Indian market. With 76 constituents, the index covers approximately 85% of the Indian equity universe. You cannot invest directly in an index.

 

MSCI Indonesia Index
The Morgan Stanley Capital International (MSCI) Indonesia Index is designed to measure the performance of the large- and mid-cap segments of the Indonesian market. With 31 constituents, the index covers about 85% of the Indonesian equity universe. You cannot invest directly in an index.

 

MSCI Japan Index
The MSCI Japan Index is a free float–adjusted market capitalization–weighted index of Japanese equities listed in Japan. You cannot invest directly in an index.

 

MSCI Korea Index
The Morgan Stanley Capital International (MSCI) Korea Index is designed to measure the performance of the large- and mid-cap segments of the South Korean market. With 107 constituents, the index covers about 85% of the Korean equity universe. You cannot invest directly in an index.

 

MSCI Malaysia Index
The Morgan Stanley Capital International (MSCI) Malaysia Index is designed to measure the performance of the large- and mid-cap segments of the Malaysian market. With 43 constituents, the index covers about 85% of the Malaysian equity universe. You cannot invest directly in an index.

 

MSCI Mexico Index
The Morgan Stanley Capital International (MSCI) Mexico Index is designed to measure the performance of the large- and mid-cap segments of the Mexican market. With 27 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Mexico. You cannot invest directly in an index.

 

MSCI Peru Index
The Morgan Stanley Capital International (MSCI) Peru Index is designed to measure the performance of the large- and mid-cap segments of the Peruvian market. With 3 constituents, the index covers approximately 85% of the Peruvian equity universe. You cannot invest directly in an index.

 

MSCI Philippines Index
The Morgan Stanley Capital International (MSCI) Philippines Index is designed to measure the performance of the large- and mid-cap segments of the Philippines market. With 23 constituents, the index covers about 85% of the Philippines equity universe. You cannot invest directly in an index.

 

MSCI Poland Index
The Morgan Stanley Capital International (MSCI) Poland Index is designed to measure the performance of the large- and mid-cap segments of the Polish market. With 22 constituents, the index covers approximately 85% of the Polish equity universe. You cannot invest directly in an index.

 

MSCI Qatar Index
The Morgan Stanley Capital International (MSCI) Qatar Index is designed to measure the performance of the large- and mid-cap segments of the Qatari market. With 12 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Qatar. You cannot invest directly in an index.

 

MSCI REITs Index

The MSCI US REIT Index is a free float-adjusted market capitalization weighted index that is comprised of equity Real Estate Investment Trusts (REITs). REITs are companies that in most cases own and operate income producing real estate assets. You cannot invest directly in an index.

 

MSCI Russia Index
The Morgan Stanley Capital International (MSCI) Russia Index is designed to measure the performance of the large- and mid- cap segments of the Russian market. With 21 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Russia. You cannot invest directly in an index.

 

MSCI South Africa Index
The Morgan Stanley Capital International (MSCI) South Africa Index is designed to measure the performance of the large- and mid-cap segments of the South African market. With 54 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in South Africa. You cannot invest directly in an index.

 

MSCI Taiwan Index
The Morgan Stanley Capital International (MSCI) Taiwan Index is designed to measure the performance of the large- and mid-cap segments of the Taiwan market. With 88 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Taiwan. You cannot invest directly in an index.

 

MSCI Thailand Index
The Morgan Stanley Capital International (MSCI) Thailand Index is designed to measure the performance of the large- and mid-cap segments of the Thailand market. With 36 constituents, the index covers about 85% of the Thailand equity universe. You cannot invest directly in an index.

 

MSCI Turkey Index
The Morgan Stanley Capital International (MSCI) Turkey Index is designed to measure the performance of the large- and mid-cap segments of the Turkish market. With 24 constituents, the index covers about 85% of the equity universe in Turkey. You cannot invest directly in an index.

 

MSCI U.S. Real Estate Index
The MSCI USA IMI Real Estate Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Real Estate sector according to the Global Industry Classification Standard (GICS®).

 

MSCI United Arab Emirates Index
The Morgan Stanley Capital International (MSCI) United Arab Emirates (UAE) Index is designed to measure the performance of the large- and mid-cap segments of the UAE market. With 10 constituents, the index covers approximately 85% of the UAE equity universe. You cannot invest directly in an index.

 

MSCI United Kingdom Index
The Morgan Stanley Capital International (MSCI) United Kingdom Index is a free-float-adjusted market-capitalization-weighted index that is designed to measure the performance of the large- and mid-cap segments of the U.K. market. With 111 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the U.K. You cannot invest directly in an index.

 

MSCI USA Investable Market Index
The MSCI USA Investable Market Index (IMI) is designed to measure the performance of the large, mid and small cap segments of the US market. With 2,422 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in the US. You cannot invest directly in an index.

 

MSCI USA Minimum Volatility (USD) Index
The MSCI USA Minimum Volatility (USD) Index aims to reflect the performance characteristics of a minimum variance strategy applied to the large and mid cap USA equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD 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 USA Index. The MSCI Minimum Volatility Indexes are designed to provide the lowest return variance for a given covariance matrix of stock returns. Each MSCI Minimum Volatility Index is calculated using Barra Optimizer to optimize a given MSCI parent index for the lowest absolute volatility with a certain set of constraints. These constraints help maintain index replicability and investability and include index turnover limits, for example, along with minimum and maximum constituent, sector and/or country weights relative to the parent index. Each Minimum Volatility Index is rebalanced (or is re-optimized) semi-annually in May and November. Indexes may also be optimized for various currencies.

 

MSCI World Banks Index
The MSCI World Banks Index is composed of large and mid cap stocks across 23 Developed Markets countries*. All securities in the index are classified in the Banks industry group (within the Financials sector) according to the Global Industry Classification Standard (GICS®). You cannot invest directly in an index.

 

MSCI World Consumer Staples Index
The MSCI World Consumer Staples Index is designed to capture the large and mid cap segments across 23 Developed Markets (DM) around the world. All securities in the index are classified in the Consumer Staples sector as per the Global Industry Classification Standard (GICS®). You cannot invest directly in an index.

 

MSCI World ex USA Index
The MSCI World ex USA Index captures large- and mid-cap representation across 22 of 23 developed markets countries—excluding the United States. With 1,022 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. You cannot invest directly in an index.

 

MSCI World ex USA Investable Market Index
The MSCI World ex USA Investable Market Index (IMI) captures large, mid and small cap representation across 22 of 23 Developed Markets (DM) countries–excluding the United States. With 3,547 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country. You cannot invest directly in an index.

 

MSCI World High Dividend Yield Index
The MSCI World High Dividend Yield Index includes large- and mid-cap developed market stocks with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. You cannot invest directly in an index.

 

MSCI World Index (Net)
The Morgan Stanley Capital International (MSCI) World Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets. The MSCI World Index (Net) consists of the following 23 developed markets country indexes: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. You cannot invest directly in an index.

 

NASDAQ
The first electronic stock market listing over 5000 companies. The Nasdaq stock market comprises two separate markets, namely the Nasdaq National Market, which trades large, active securities and the Nasdaq Smallcap Market that trades emerging growth companies. You cannot invest directly in an index.

 

Nasdaq 100 Index
The Nasdaq 100 Index includes 100 of the largest domestic and international nonfinancial companies listed on the Nasdaq stock market based on market capitalization. You cannot invest directly in an index.

 

National Association of Home Builders (NAHB)/Wells Fargo Housing Market Index (HMI)
The National Association of Home Builders (NAHB)/Wells Fargo Housing Market Index (HMI) is based on a monthly survey of NAHB members designed to take the pulse of the single-family housing market. The survey asks respondents to rate market conditions for the sale of new homes at the present time and in the next six months as well as the traffic of prospective buyers of new homes. You cannot invest directly in an index.

 

National Federation of Independent Business (NFIB) Small Business Optimism Index
The National Federation of Independent Business (NFIB) Small Business Optimism Index, compiled from a survey conducted monthly, is a composite of 10 seasonally adjusted components. It provides an indication of the health of small businesses in the U.S. You cannot invest directly in an index.

 

Personal Consumption Expenditures (PCE) Index
The Personal Consumption Expenditures (PCE) Index is the primary measure of consumer spending on goods and services in the U.S. economy. It accounts for about two-thirds of domestic final spending and is part of the personal income report issued by the Bureau of Economic Analysis of the Department of Commerce.

 

Personal Consumption Expenditures (PCE) Price Index
The Personal Consumption Expenditures (PCE) Price Index reflects changes in the prices of goods and services purchased by consumers in the U.S. It is part of the Personal Income and Outlays Report issued by the Bureau of Economic Analysis of the U.S. Department of Commerce. You cannot invest directly in an index.

 

Purchasing Managers’ Index
The Purchasing Managers’ Index is an economic indicator that gauges sentiment in manufacturing, based on monthly surveys of purchasing managers. You cannot invest directly in an index.

 

Russell 1000® Index
The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.

 

Russell 1000® Growth Index
The Russell 1000® Growth Index measures the performance of those Russell 1000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

 

Russell 1000® Value Index
The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

 

Russell 2000® Index
The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.

 

Russell 2000® Growth Index
The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

 

Russell 2000® Value Index
The Russell 2000® Value Index measures the performance of those Russell 2000 companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

 

Russell 2500^TM Index
The Russell 2500^TM Index measures the performance of the 2,500 smallest companies in the Russell 3000® Index, which represents approximately 16% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.

 

Russell 3000® Index
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. You cannot invest directly in an index.

 

Russell 3000® Growth Index
The Russell 3000® Growth Index measures the performance of those Russell 3000® Index companies with higher price/book ratios and higher forecasted growth values. You cannot invest directly in an index.

 

Russell 3000® Value Index
The Russell 3000® Value Index measures the performance of those Russell 3000® Index companies with lower price/book ratios and lower forecasted growth values. You cannot invest directly in an index.

 

Russell Midcap® Index
The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represent approximately 25% of the total market capitalization of the Russell 1000 Index. You cannot invest directly in an index.

 

Russell Midcap® Growth Index
The Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price/book ratios and higher forecasted growth values. The stocks are also members of the Russell 1000® Growth Index. You cannot invest directly in an index.

 

Russell Midcap® Value Index
The Russell Midcap®Value Index measures the performance of those Russell Midcap companies with lower price/book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000® Value Index. You cannot invest directly in an index.

 

Russell Top 200 Index
The Russell Top 200 Index is a market capitalization-weighted index that measures the performance of the largest cap segment of the U.S. equity universe. The Russell Top 200 Index is a subset of the Russell 3000 Index, and includes about 200 of the largest securities based on their market cap and current index membership.

 

Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index
The Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index is a seven-day high-grade market index composed of tax-exempt variable-rate demand obligations with certain characteristics. The index is calculated and published by Bloomberg. The index is overseen by SIFMA’s Municipal Swap Index Committee. You cannot invest directly in an index.

 

St. Louis Fed Financial Stress Index
The St. Louis Fed Financial Stress Index measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.

 

Standard & Poor’s 500 Index (S&P 500 Index)

The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

 

S&P 500 Communication Services Index
The S&P 500® Communication Services comprises those companies included in the S&P 500 that are classified as members of the GICS® communication services sector.

 

S&P 500 Consumer Discretionary Index
The S&P 500® Consumer Discretionary Index comprises those companies included in the S&P 500 that are classified as members of the GICS® consumer discretionary sector.

 

S&P 500 Consumer Staples Index
The S&P 500® Consumer Staples Index comprises those companies included in the S&P 500 that are classified as members of the GICS® consumer staples sector.

 

S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index
The S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index seeks to measure the value of residential real estate in 20 major U.S. metropolitan areas: Atlanta, Boston, Charlotte, Chicago, Cleveland, Dallas, Denver, Detroit, Las Vegas, Los Angeles, Miami, Minneapolis, New York, Phoenix, Portland, San Diego, San Francisco, Seattle, Tampa, and Washington, D.C. You cannot invest directly in an index.

 

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

 

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

 

S&P GSCI Commodity Index
The S&P GSCI Commodity Index is a composite index of commodities that tracks the performance of the global commodities market. It is composed of 24 exchange-traded futures contracts that cover physical commodities across five sectors. You cannot invest directly in an index.

 

S&P 500 Health Care Index
The S&P 500® Heath Care Index comprises those companies included in the S&P 500 that are classified as members of the GICS® financials sector.

 

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

 

S&P 500 Information Technology Index
The S&P 500 Information Technology Index comprises those companies included in the S&P 500 that are classified as members of the GICS® information technology sector. You cannot invest directly in an index.

 

S&P 500 Low Volatility Index (S&P 500 Low Volatility Index)
The S&P 500 Low Volatility Index consists of 100 stocks chosen from the S&P 500 Index that have the lowest trailing 252-day return volatility. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

 

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

 

S&P 500 Pure Value Index
The S&P 500® Pure Value index is a style-concentrated index designed to track the performance of stocks that exhibit the strongest value characteristics by using a style-attractiveness-weighting scheme. You cannot invest directly in an index.

 

S&P 500 Pure Growth Index
The S&P 500® Pure Growth index is a style-concentrated index designed to track the performance of stocks that exhibit the strongest growth characteristics by using a style-attractiveness-weighting scheme. You cannot invest directly in an index.

 

S&P 500 Real Estate Index
The S&P 500® Real Estate Index comprises those companies included in the S&P 500 that are classified as members of the GICS® real estate sector.

 

S&P 500 Telecommunication Services Index
The S&P 500 Telecommunication Services Index comprises those companies included in the S&P 500 that are classified as members of the GICS® telecommunication services sector.You cannot invest directly in an index.

 

S&P 500 Total Return Index
This index measures the S&P 500 Index’s total rate of return, including changes in the prices of S&P 500 Index-listed stocks, as well as their dividends, capital gains, and distributions. You cannot invest directly in an index.

 

S&P 500 Utilities Index
The S&P 500 Utilities Index is a market-value-weighted index that measures the performance of all stocks within the utilities sector of the S&P 500 Index. You cannot invest directly in an index.

 

S&P1500 Growth Index
The S&P 1500 Growth Index measures the performance of growth stocks from the S&P 1500 using three factors: sales growth, the ratio of earnings change to price, and momentum. You cannot invest directly in an index.

 

S&P/LSTA Leverage Loan 100 Index:
The S&P/LSTA U.S. Leveraged Loan 100 (the index) is a market value-weighted index designed to measure the performance of the U.S. leveraged loan market. The index consists of 100 loan facilities drawn from a larger benchmark – the S&P/LSTA (Loan Syndications and Trading Association) Leveraged Loan Index (LLI).

 

S&P MLP Index:
The S&P MLP Index provides investors with exposure to the leading partnerships that trade on the NYSE and NASDAQ. The index includes both master limited partnerships (MLPs) and publicly traded limited liability companies (LLCs), which have a similar legal structure to MLPs and share the same tax benefits. You cannot invest directly in an index.

 

S&P MidCap 400 Index
The S&P MidCap 400 Index measures the performance of the mid-size company segment of the U.S. market; this index is used by more than 95% of U.S. managers and pension plan sponsors. More than $25 billion is indexed to the S&P MidCap 400 Index. You cannot invest directly in an index.

 

S&P SmallCap 600 Index
The S&P SmallCap 600 Index measures the performance of the small-cap segment of the U.S. equity market. It is a market-value weighted index. You cannot invest directly in an index.

 

S&P U.S. Preferred Stock Index: The S&P U.S. Preferred Stock Index is designed to serve the investment community’s need for an investable benchmark representing the U.S. preferred stock market. Preferred stocks are a class of capital stock that pays dividends at a specified rate and has a preference over common stock in the payment of dividends and the liquidation of assets. You cannot invest directly in an index.

 

S&P U.S. Treasury Bond Current 10-Year Index
The S&P U.S. Treasury Bond Current 10-Year Index is a one-security index comprising the most recently issued 10-year U.S. Treasury note or bond. You cannot invest directly in an index.

 

Sticky-Price Consumer Price Index
Published by 11 a.m. (ET) on the day of the Consumer Price Index (CPI) release, the Sticky-Price CPI sorts the components of the consumer price index (CPI) into either flexible or sticky (slow to change) categories based on the frequency of their price adjustment. You cannot invest directly in an index.

 

Trade-Weighted U.S. Dollar Index
The Trade-weighted U.S. dollar index is a weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies that circulate widely outside the country of issue. You cannot invest directly in an index.

 

University of Michigan’s Index of Consumer Sentiment
The University of Michigan’s Index of Consumer Sentiment is an economic indicator that measures U.S. consumer confidence levels. It is based on a monthly survey conducted by the University of Michigan. You cannot invest directly in an index.

 

Wilshire U.S. Real Estate Investment Trust (REIT) Index
The Wilshire US Real Estate Investment Trust Index (Wilshire U.S. REIT) measures U.S. publicly-traded real estate investment trusts and is a subset of the Wilshire U.S. Real Estate Securities Index (Wilshire U.S. RESI). Designed to offer a market-based index that is more reflective of real estate held by pension funds, these indexes are unencumbered by the limitations of other appraisal-based indexes. They can serve as proxies for direct real estate investing by excluding securities whose value is not always tied to the value of the underlying real estate. Exclusions include: mortgage REITs, net-lease REITs, real estate finance companies, mortgage brokers and bankers, commercial and residential real estate brokers, home builders, large landowners and sub-dividers of unimproved land, hybrid REITs, and timber REITs. The rationale for the exclusions listed is that factors other than real estate supply and demand, such as interest rates, influence the market value of these companies. You cannot invest directly in an index.

 

Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.