The Index is a rules-based index that follows a proprietary model developed by Ned Davis Research, Inc. in conjunction with Capital Management Group, Inc. (“CMG”). The model produces trade signals to dictate an equity allocation ranging from 100% fully invested (i.e., “long”) to 100% in cash (i.e., “flat”). When 100% fully invested, the Index will be comprised of the 500 companies included in the S&P 500 Index. When the Index is flat, or 100% cash, it will hold U.S. Treasury bills with at most 91 days to maturity. Other times the index is invested either 80% or 40% in the S&P 500 with the remaining allocation portion invested in cash.
The custom indices published in the “Client Information” section are proprietary to the client. S&P Dow Jones Indices LLC (SPDJI) is not the “Benchmark Administrator” (as defined in the International Organization of Securities Commission Principles for Financial Benchmarks of July 2013 and ESMA/EBA Principles for Benchmark Setting Processes of June 6, 2013) for such indices and SPDJI does not assume any responsibilities of a Benchmark Administrator for such indices.