S&P PRISM Indices

Methodology

October 2024
S&P Dow Jones Indices: Index Methodology
Table of Contents
Introduction 3
Index Objectives and Highlights 3
Index Family 3
Supporting Documents 3
S&P Prism Index 5
Index Construction 5
Approach 5
S&P Prism Factor Index 9
Index Construction 9
Approach 9
S&P Prism ETF Tracker Index 13
Index Construction 13
Approach 13
Index Maintenance 17
Rebalancing 17
Corporate Actions 17
Currency of Calculation and Additional Index Return Series 17
Base Date and History Availability 18
Index Governance 19
Index Committee 19
Index Policy 20
Holiday Schedule 20
Rebalancing 20
Unexpected Exchange Closures 20
Recalculation Policy 20
Contact Information 20
Index Dissemination 21
Tickers 21
Index Data 21
Web site 21
Appendix A 22
Methodology Changes 22

S&P Dow Jones Indices: S&P PRISM Indices Methodology 1

Appendix B 23
ESG Disclosures 23
Disclaimer 24
Performance Disclosure/Back-Tested Data 24
Intellectual Property Notices/Disclaimer 25
ESG Indices Disclaimer 27

S&P Dow Jones Indices: S&P PRISM Indices Methodology 2

Introduction
Index Objectives and Highlights

S&P PRISM Index. The index is a weighted return index constructed by applying the Risk Control index
framework to an inverse risk weighted basket of three component indices that account for technical and
fundamental indicators.

S&P PRISM Factor Index. The index is a weighted return index constructed by applying the Risk Control
index framework to an inverse risk weighted basket of three component indices and cash that account for
technical and fundamental indicators.

S&P PRISM ETF Tracker Index. The index is a weighted return index constructed by applying the Risk
Control index framework to an inverse risk weighted basket of three component ETFs and cash that
account for technical and fundamental indicators.

The three underlying component indices/ETFs that compose a respective PRISM index each represent a
different asset class, as defined below:

S&P PRISM Index Underlying Component Index Asset Class Represented

S&P 500 TR (SOFR Plus 3M Term Credit Spread) (USD) ER Equities
S&P GSCI Excess Return Index Commodities
S&P 10-Year U.S. Treasury Note Futures Excess Return Index Fixed Income

S&P PRISM Factor Index Underlying Component Index Asset Class Represented
S&P Quality, Value, Momentum Multi-Factor ER (3M T-Bill +.35%) Index Equities
S&P GSCI Excess Return Index Commodities
S&P 10-Year U.S. Treasury Note Futures Excess Return Index Fixed Income

S&P PRISM ETF Tracker Index Asset Class Represented

iShares Core S&P 500 ETF (IVV) Equities
iShares S&P GSCI Commodity-Indexed Trust (GSG) Commodities
iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) Fixed Income

Please refer to Index Construction for details on each index’s allocation to equities, commodities, and
fixed income.

Index Family

The S&P PRISM Indices family currently consists of:

• S&P PRISM Index
• S&P PRISM Factor Index
• S&P PRISM ETF Tracker Index

Supporting Documents

This methodology is meant to be read in conjunction with supporting documents providing greater detail
with respect to the policies, procedures and calculations described herein. References throughout the
methodology direct the reader to the relevant supporting document for further information on a specific

S&P Dow Jones Indices: S&P PRISM Indices Methodology 3

topic. The list of the main supplemental documents for this methodology, and the hyperlinks to those
documents, is as follows:

Supporting Document URL

S&P Dow Jones Indices’ Equity Indices Policies &
Equity Indices Policies & Practices
Practices Methodology
S&P Dow Jones Indices’ Commodities Indices
Commodities Indices Policies & Practices
Policies & Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Index Mathematics Methodology
Methodology

This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of
measuring the underlying interest of each index governed by this methodology document. Any changes to
or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones
Indices so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 4

S&P Prism Index
Index Construction

3. Volatility
Multi- 2. Rank Long Scalars based on
1. Trend Signal, Term Asset momentum,
Asset Volatilities Class Returns valuation, and
yield curve
Basket

S&P 6. 5.5% Risk 5. Reference 4. Inverse

Control Volatility
PRISM Methodology on
Index
Calculation on Weighted by
Reference Index Scaled
Index 2-Day Lag
volatilities

Approach

The index allocates among three component indices based on their respective realized volatilities and a
multiplier that is applied to its volatility. The resulting weighted return index forms the underlying non-risk
controlled index (the “reference index”).

The commodity and treasury futures component indices are calculated and published by S&P DJI on a
daily basis as excess return indices.

The third underlying sub-index, the S&P 500 TR (SOFR Plus 3M Term Credit Spread) (USD) ER, is
calculated as follows and is based on the S&P 500 TR Index using SOFR + 0.13088% for the interest
rate:

S&P 500 TR (SOFR Plus 3M Term Credit Spread) (USD) ER (SP500 ER3ML)

𝑆𝑃500 𝐸𝑅3𝑀𝐿𝑡 = 𝑆𝑃500 𝐸𝑅3𝑀𝐿𝑡−1 ∗ (1 + 𝑆𝑃500 3𝑀𝐿𝑡 𝐸𝑥𝑐𝑒𝑠𝑠 𝑅𝑒𝑡𝑢𝑟𝑛 )

𝑆𝑃500 𝑇𝑅 𝐼𝑛𝑑𝑒𝑥𝑡 𝑁𝑢𝑚𝐷𝑎𝑦𝑠𝑡

𝑆𝑃500 3𝑀𝐿𝑡 𝐸𝑥𝑐𝑒𝑠𝑠 𝑅𝑒𝑡𝑢𝑟𝑛 = ( ) − ((𝑆𝑂𝐹𝑅𝑡−1 + 0.13088%) ∗ )−1
𝑆𝑃500 𝑇𝑅 𝐼𝑛𝑑𝑒𝑥𝑡−1 360

NumDays = number of calendar days since previous business day

S&P Dow Jones Indices: S&P PRISM Indices Methodology 5

Step 1: Trend Signals and Volatilities

Before calculating the weights in the reference index, three trend signals are calculated. For each sub-
index, the following process is used to calculate a binary “position indicator” series of 1 or 0:

A. Calculate the 200 day simple moving average of the underlying sub-indices.
∑𝑡−199
𝑖=𝑡 𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑖
200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡 =
200

B. Calculate a trend signal based on the following rule:

1, 𝑖𝑓 𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡 > 200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡
𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Create two series, 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑡 and 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑡 , that count the instances of Up or Down signals.
The two series start at 0 on the 200th day, and then increment each day thereafter.
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 0
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 1
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 0
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

D. Finally, calculate the binary “position indicator” as follows:

1, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡 = {0, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 ≤ 4 𝐴𝑁𝐷 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡−1 , 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

E. For each sub-index, compute the 90 day annualized volatility of excess returns using a short term
and long term decay factor of 94% and 97%, respectively, to calculate the volatilities:
2
∑89
𝑖=0(𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑖 − 𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 )
𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑎𝑠𝑠𝑒𝑡,𝑡 = √ ∗ √252
89

where,
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡
𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖
∑89
𝑖=0 −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖−1
𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡
90

Step 2: Rank Long Sub-Index Returns

A. For each sub-index, compute the 200 day excess return:

𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡
200 𝐷𝑎𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−200

B. For each of the three sub-indices on an excess return basis, plus cash (which has a daily excess
return of 0), rank the 200 day excess returns on day t across the sub-indices, with 1 being the
highest return, and 4 being the lowest return.

C. Compute the trailing 5 day average rank for equities and fixed income.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 6

Step 3: Volatility Scalars

A. Calculate a yield curve multiplier that is based on a lagged 120 day 60 day average of the spread
between the 10-year U.S. Treasury rate and the 3-month U.S. Treasury rate as follows:
∑60
𝑖=1 10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡−119−𝑖 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡−119−𝑖
𝑌𝑖𝑒𝑙𝑑 𝐶𝑢𝑟𝑣𝑒 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟𝑡 = {1, 𝑖𝑓 60
>0
5, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

B. Calculate a bond trend indicator:

𝐵𝑜𝑛𝑑 𝑇𝑟𝑒𝑛𝑑 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛𝑡

= {10, 𝑖𝑓 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝐵𝑜𝑛𝑑,𝑡 = 0 𝐴𝑁𝐷 (10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡 ) < 0
1, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Calculate the earnings yield and reference 10-year yield as:

1
𝐸𝑌𝑡 = 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑌𝑖𝑒𝑙𝑑 =
1 𝑦𝑟 𝑓𝑜𝑟𝑤𝑎𝑟𝑑 𝑃𝐸𝑡,𝑠&𝑝500
10𝑌𝑡 = 10 − 𝑌𝑒𝑎𝑟 𝑌𝑖𝑒𝑙𝑑 𝑎𝑡 𝑡𝑖𝑚𝑒 𝑡

D. Calculate equity and bond volatility multipliers.

Yield Curve Average Equity Rank 10Y vs EY
Multiplier (3A) (2C) (3C) Position Indicator_t (1D) Equity Mult_t (Result)
Scenario 1 1 4 5
Scenario 2 1 <> 4 10Y > EY 5
Scenario 3 1 <> 4 10Y <= EY 1 1
Scenario 4 1 <> 4 10Y <= EY <> 1 5
Scenario 5 <> 1 Yield Curve Multipliert

Fixed Income Mult_t

Avg Fixed Income Rank (2C) 20 Day 10Y MA (1A) Bond Trend Position_t (3B) (Result)
Scenario 1 4 10
Scenario 2 <> 4 < 2% 10
Scenario 3 <> 4 >= 2% 1 1
Scenario 4 <> 4 >= 2% <> 1 10

Step 4: Inverse Volatility Weighting

A. Calculate the scaled volatilities for both equities and fixed income as:
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 ∗ 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒,𝑡 ∗ 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡

B. Determine the inverse weights with regard to the target volatility:

5.5%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 =
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡
5.5%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐹𝐼,𝑡 =
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡
5.5%
, 𝑖𝑓 𝑅𝑎𝑛𝑘𝐶𝑜𝑚𝑚,𝑡 = 1 𝐴𝑁𝐷 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝐶𝑜𝑚𝑚,𝑡 = 1
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐶𝑜𝑚𝑚,𝑡 = {𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐶𝑜𝑚𝑚,𝑡
0% , 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

S&P Dow Jones Indices: S&P PRISM Indices Methodology 7

 C. Calculate the final weights for each sub-index:
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 =
∑𝑎𝑠𝑠𝑒𝑡 𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡

Step 5: Reference Index Calculation

A. Calculate the index return:

𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = ∑ 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−2 ∗ 𝐸𝑥𝑐𝑒𝑠𝑠 𝐷𝑎𝑖𝑙𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡

0.75 ∗ 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑖𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡−2 + 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡−2 = 15

𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = {
𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

B. Final step is to calculate the reference index level:

𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡 = 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡−1 ∗ (1 + 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 )

Step 6: Final Index Level

In order to calculate the final index levels, a risk control methodology is applied. Please refer to the Risk
Control Indices section of the Index Mathematics Methodology, where the underlying index is the
reference index calculated above and:
5.5%
𝐾𝑟𝑏 = 𝑀𝑖𝑛(100%, )
𝑅𝑒𝑎𝑙𝑖𝑧𝑒𝑑 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡−2

S&P Dow Jones Indices: S&P PRISM Indices Methodology 8

S&P Prism Factor Index
Index Construction

3. Volatility
2. Rank Long Scalars based on
Multi-Asset 1. Trend Signal, Term Asset momentum,
Basket Volatilities Class Returns valuation, and
yield curve

6. 5% Risk
Control 4. Inverse
S&P PRISM Methodology on 5. Reference
Volatility
Factor Reference Index Index
Calculation on Weighted by
(with at >15%
Index threshold to 2-Day Lag Scaled
volatilities
rebalance)

Approach

The index allocates among three sub-indices based on their respective realized volatilities and a multiplier
that is applied to its volatility. The resulting index of indices forms the underlying non-risk controlled index
(the “reference index”).

The underlying Commodity and Treasury futures sub-indices are calculated and published by S&P DJI on
a daily basis as excess return indices.

The third underlying sub-index, the S&P 500 QVM ER (3M T-Bill +.35%) Index, is calculated as follows
and is based on the S&P 500 Quality, Value, Momentum Multi-Factor TR Index using the 3-month T-Bill
for the interest rate and a 0.35% spread:

S&P 500 Quality, Value, Momentum Multi-Factor ER (3M T-Bill + .35%) Index (SPQVMTBER)

𝑆𝑃𝑄𝑉𝑀𝐸𝑅𝑡 = 𝑆𝑃𝑄𝑉𝑀𝐸𝑅𝑡−1 ∗ (1 + 𝑆𝑃𝑄𝑉𝑀𝐸𝑅𝑡 𝐸𝑥𝑐𝑒𝑠𝑠 𝑅𝑒𝑡𝑢𝑟𝑛 )

𝑆𝑃𝑄𝑉𝑀𝐸𝑅𝑡 𝐸𝑥𝑐𝑒𝑠𝑠 𝑅𝑒𝑡𝑢𝑟𝑛

𝑁𝑢𝑚𝐷𝑎𝑦𝑠𝑡
( )
𝑆𝑃500 𝑄𝑉𝑀 𝑇𝑅 𝐼𝑛𝑑𝑒𝑥𝑡 91 91
=( ) − ((1/ (1 − ∗ 𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡𝑅𝑎𝑡𝑒𝑡−1 )) − 1)
𝑆𝑃500 𝑄𝑉𝑀 𝑇𝑅 𝐼𝑛𝑑𝑒𝑥𝑡−1 360
𝑁𝑢𝑚𝐷𝑎𝑦𝑠𝑡
− (𝑠𝑝𝑟𝑒𝑎𝑑𝑡−1 ∗ ) −1
360

S&P Dow Jones Indices: S&P PRISM Indices Methodology 9

Step 1: Trend Signals and Volatilities

Before calculating the weights in the reference index, three trend signals are calculated. For each sub-
index, the following process is used to calculate a binary “position indicator” series of 1 or 0:

A. Calculate the 200 day simple moving average of the underlying sub-indices:
∑𝑡−199
𝑖=𝑡 𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑖
200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡 =
200

B. Calculate a trend signal based on the following rule:

1, 𝑖𝑓 𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡 > 200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡
𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Create two series, 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑡 and 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑡 , that serve as counting indices. These indices will
start at 0 on the 200th day, and then increment each day thereafter.
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 0
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 1
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 0
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

D. Finally, calculate the binary “position indicator” as follows:

1, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡 = {0, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 ≤ 4 𝐴𝑁𝐷 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡−1 , 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

E. For each sub-index, compute the 90 day annualized volatility of excess returns:

89 2
∑ (𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑖 − 𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 )
𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑎𝑠𝑠𝑒𝑡,𝑡 = √ 𝑖=0 ∗ √252
89

where,
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡
𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖
∑89
𝑖=0 −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖−1
𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡
90

Step 2: Rank Long Sub-Index Returns

A. For each sub-index, compute the 200 day excess return:

𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡
200 𝐷𝑎𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = −1
𝐼𝑛𝑑𝑒𝑥𝑎𝑠𝑠𝑒𝑡,𝑡−200

B. For each of the three sub-indices on an excess return basis, plus cash (which has a daily excess
return of 0), rank the 200 day excess returns on day t across the sub-indices, with 1 being the
highest return, and 4 being the lowest return.

C. Compute the trailing five day average rank for equities and fixed income:

S&P Dow Jones Indices: S&P PRISM Indices Methodology 10

Step 3: Volatility Scalars

A. Calculate a yield curve multiplier that is based on a lagged 120 day 60 day average of the spread
between the 10-year U.S. Treasury rate and the 3-month U.S. Treasury rate as follows:
∑60
𝑖=1 10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡−119−𝑖 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡−119−𝑖
𝑌𝑖𝑒𝑙𝑑 𝐶𝑢𝑟𝑣𝑒 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟𝑡 = {1, 𝑖𝑓 60
>0
5, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

B. Calculate a bond trend indicator:

𝐵𝑜𝑛𝑑 𝑇𝑟𝑒𝑛𝑑 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛𝑡

= {10, 𝑖𝑓 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝐵𝑜𝑛𝑑,𝑡 = 0 𝐴𝑁𝐷 (10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡 ) < 0
1, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Calculate the earnings yield and reference 10-year yield as:

1
𝐸𝑌𝑡 = 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑌𝑖𝑒𝑙𝑑 =
1 𝑦𝑟 𝑓𝑜𝑟𝑤𝑎𝑟𝑑 𝑃𝐸𝑡,𝑠&𝑝500
10𝑌𝑡 = 10 − 𝑌𝑒𝑎𝑟 𝑌𝑖𝑒𝑙𝑑 𝑎𝑡 𝑡𝑖𝑚𝑒 𝑡

D. Calculate asset class volatility initial multipliers (Initial Mult).

Yield Curve Average Equity Rank 10Y vs EY
Multiplier (3A) (2C) (3C) Position Indicator_t (1D) Initial Equity Mult_t (Result)
Scenario 1 1 4 5
Scenario 2 1 <> 4 10Y > EY 5
Scenario 3 1 <> 4 10Y <= EY 1 1
Scenario 4 1 <> 4 10Y <= EY <> 1 5
Scenario 5 <> 1 Yield Curve Multipliert

Initial Fixed Income

Avg Fixed Income Rank (2C) 200 Day 10Y MA (1A) Bond Trend Position_t (3B) Mult_t (Result)
Scenario 1 4 10
Scenario 2 <> 4 < 2% 10
Scenario 3 <> 4 >= 2% 1 1
Scenario 4 <> 4 >= 2% <> 1 10

Commodity Rank (2B) Position Indicator_t (1D) Initial Commodity Mult_t (Result)
Scenario 1 1 1 1
Scenario 2 <> 1 0
Scenario 3 <>1 0

E. Apply smoothing constant for final volatility multipliers.

In order to reduce turnover, a smoothing constant, sc, of 0.95 is applied to all three asset classes’
resulting multipliers. The final volatility multipliers for each asset class, i, are calculated as per
below:
𝑀𝑢𝑙𝑡(𝑖) = (𝑠𝑐 ∗ 𝑀𝑢𝑙𝑡𝑡−1 ) + (1 − 𝑠𝑐)(𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝑀𝑢𝑙𝑡𝑡 )

Step 4: Inverse Volatility Weighting

A. Calculate the scaled volatilities for both equities and fixed income as:
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 ∗ 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒,𝑡 ∗ 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡

S&P Dow Jones Indices: S&P PRISM Indices Methodology 11

 B. Determine the inverse weights with regard to the target volatility:
5%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 =
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡
5%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐹𝐼,𝑡 =
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡
5%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐶𝑜𝑚𝑚(𝑡) = *CommodityMult(t)
𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦(𝐶𝑜𝑚𝑚(𝑡))

C. Calculate the final weights for each sub-index:

𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 =
∑𝑎𝑠𝑠𝑒𝑡 𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡

Step 5: Reference Index Calculation

A. Calculate the initial weighted average return:

𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = ∑ 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−2 ∗ 𝐸𝑥𝑐𝑒𝑠𝑠 𝐷𝑎𝑖𝑙𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡

B. Circuit Breaker: A circuit breaker mechanism is in place when 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡−2 + 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡−2 =
15. In this scenario, the Reference Index Return is scaled by 75% so that 25% weight is placed
into interest-free cash, 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝐶𝑅 𝐶𝑎𝑠ℎ,𝑡−2 ,as illustrated in step 5C.

C. Reference Index Return

. 75 ∗ 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑖𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡−2 + 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡−2 = 15
𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = {
𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

D. Final step is to calculate the reference index level:

𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡 = 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡−1 ∗ (1 + 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 )

Step 6: Risk Controlled Index Level

In order to calculate the final index levels, a risk control methodology is applied.

A. Please refer to the Risk Control Indices section of the Index Mathematics Methodology where the
underlying index is the reference index calculated above with initial index exposure, K, calculated
as below:
5%
𝐾𝑟𝑏 = 𝑀𝑖𝑛(100%, )
𝑅𝑒𝑎𝑙𝑖𝑧𝑒𝑑 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡−2

B. To reduce turnover across asset classes, the final scaled risk control asset class exposures
including any circuit breaker cash, 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡 𝑅𝐶𝑎𝑠𝑠𝑒𝑡,𝑡 , from Steps 5A and 5B,
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 are subject to a minimum aggregate threshold change of 15% on an absolute
basis:
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡 𝑅𝐶𝑎𝑠𝑠𝑒𝑡,𝑡−2
𝑛

𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑛,𝑡−2 , 𝑖𝑓 (∑ 𝑎𝑏𝑠𝑜𝑙𝑢𝑡𝑒(𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑛,𝑡−2 − 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡 𝑅𝐶𝑛,𝑡−3 )) ≥ 15%

={
𝑖=1
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡 𝑅𝐶𝑛,𝑡−3 , 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

S&P Dow Jones Indices: S&P PRISM Indices Methodology 12

S&P Prism ETF Tracker Index
Index Construction

3. Volatility
2. Rank Long Scalars based on
Multi-Asset 1. Trend Signal, Term Asset momentum,
Basket Volatilities Class Returns valuation, and
yield curve

6. 15% Risk
Control 4. Inverse
S&P PRISM 5. Reference
Volatility
Methodology on Index
ETF Tracker Reference Index Calculation on Weighted by
Index (with weekly 2-Day Lag Scaled
rebalance) volatilities

Approach

The index allocates among three ETFs based on respective realized volatility and a multiplier applied to
that volatility. The resulting index of ETFs forms the underlying non-risk-controlled index (the “reference
index”).

Step 1: Trend Signals and Volatilities

Before calculating the weights in the reference index, three trend signals are calculated. Using the
corporate action adjusted prices of each ETF, the following process calculates a binary “position
indicator” series of 1 or 0:

A. Calculate the 200 day simple moving average of the underlying ETF.
∑𝑡−199
𝑖=𝑡 𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑖
200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡 =
200

B. Calculate a trend signal based on the following rule:

1, 𝑖𝑓 𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑡 > 200𝐷𝑀𝐴𝑎𝑠𝑠𝑒𝑡,𝑡
𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Create two series, 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑡 and 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑡 , that serve as counting indices. The counting
indices start at 0 on the 200th day, then increment each day thereafter.
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,200 = 0

S&P Dow Jones Indices: S&P PRISM Indices Methodology 13

 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 1
𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−1 + 1, 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝑆𝑖𝑔𝑛𝑎𝑙𝑎𝑠𝑠𝑒𝑡,𝑡 = 0
𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

D. Finally, calculate the binary “position indicator” as follows:

1, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡 = {0, 𝑖𝑓 𝑈𝑝𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 ≤ 4 𝐴𝑁𝐷 𝐷𝑜𝑤𝑛𝐶𝑜𝑢𝑛𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 > 4
𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝑎𝑠𝑠𝑒𝑡,𝑡−1 , 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

E. For each ETF, compute the 90 day annualized volatility of returns:

2
∑89
𝑖=0(𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑖 − 𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 )
𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑎𝑠𝑠𝑒𝑡,𝑡 = √ ∗ √252
89

where,
𝐸𝑇𝐹 𝑎𝑠𝑠𝑒𝑡,𝑡
𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = −1
𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑡−1
𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖
∑89
𝑖=0 −1
𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑡−𝑖−1
𝐴𝑣𝑔𝐷𝑎𝑖𝑙𝑦𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡
90

Step 2: Rank Long ETF Returns

A. For each ETF, compute the 200 day return:

𝐸𝑇𝐹𝑎𝑠𝑠𝑒𝑡,𝑡
200 𝐷𝑎𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡 = 𝐸𝑇𝐹 −1
𝑎𝑠𝑠𝑒𝑡,𝑡−200

B. For each of the three ETFs plus cash (cash accrues interest at the 3M T-bill rate), rank the 200
day returns on day t across the sub-indices, with one being the highest return and four the lowest.

C. Compute the trailing five day average rank for equities and fixed income.

Step 3: Volatility Scalars

A. Calculate a yield curve multiplier based on a lagged 120 day 60 day average of the spread
between the 10-year U.S. Treasury rate and the 3-month U.S. Treasury rate as follows:
∑60
𝑖=1 10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡−119−𝑖 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡−119−𝑖
𝑌𝑖𝑒𝑙𝑑 𝐶𝑢𝑟𝑣𝑒 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟𝑡 = {1, 𝑖𝑓 60
>0
5, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

B. Calculate a bond trend indicator:

𝐵𝑜𝑛𝑑 𝑇𝑟𝑒𝑛𝑑 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛𝑡
1, 𝑖𝑓 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝐵𝑜𝑛𝑑,𝑡 = 1
= {10, 𝑖𝑓 𝑃𝑜𝑠𝑖𝑡𝑖𝑜𝑛 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟𝐵𝑜𝑛𝑑,𝑡 = 0 𝐴𝑁𝐷 (10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡 − 3 𝑀𝑜𝑛𝑡ℎ 𝑇𝑏𝑖𝑙𝑙 𝑅𝑎𝑡𝑒𝑡 ) < 0
1, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

C. Calculate the earnings yield and reference 10-year yield as:

1
𝐸𝑌𝑡 = 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑌𝑖𝑒𝑙𝑑 =
1 𝑦𝑟 𝑓𝑜𝑟𝑤𝑎𝑟𝑑 𝑃𝐸𝑡,𝑠&𝑝500

S&P Dow Jones Indices: S&P PRISM Indices Methodology 14

 10𝑌𝑡 = 10 − 𝑌𝑒𝑎𝑟 𝑌𝑖𝑒𝑙𝑑 𝑎𝑡 𝑡𝑖𝑚𝑒 𝑡

D. Calculate a corporate bond valuation indicator:

𝑆𝑖𝑔𝑛𝑎𝑙1 = 10 𝑖𝑓 (10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡 − 𝐶𝑜𝑟𝑝𝑜𝑟𝑎𝑡𝑒 𝑅𝑎𝑡𝑒𝑡 ) < 1.5%, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒 0
𝑆𝑖𝑔𝑛𝑎𝑙2 = 10 𝑖𝑓(10 𝑌𝑒𝑎𝑟 𝑅𝑎𝑡𝑒𝑡 ) < 2%, 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒 0
𝐶𝑜𝑟𝑝𝑜𝑟𝑎𝑡𝑒 𝐵𝑜𝑛𝑑 𝑉𝑎𝑙𝑢𝑎𝑡𝑖𝑜𝑛𝑡 = 𝑚𝑎𝑥𝑖𝑚𝑢𝑚(1, 𝑠𝑢𝑚(𝑆𝑖𝑔𝑛𝑎𝑙1 + 𝑆𝑖𝑔𝑛𝑎𝑙2))

E. Calculate asset class volatility initial multipliers (Initial Mult).

Yield Curve Average Equity 10Y vs EY Position Indicator_t
Multiplier (3A) Rank (2C) (3C) (1D) Initial Equity Mult_t (Result)
Scenario 1 1 4 5
Scenario 2 1 <> 4 10Y > EY 5
Scenario 3 1 <> 4 10Y <= EY 1 1
Scenario 4 1 <> 4 10Y <= EY <> 1 5
Scenario 5 <> 1 Yield Curve Multipliert

Avg Fixed Income Rank Bond Trend Corporate Bond Valuation Initial Fixed Income
(2C) Indicator (3B) Indicator (3G) Mult_t (Result)
Scenario 1 4 10
Scenario 2 <> 4 1 1 1
Scenario 3 <> 4 1 10 10
Scenario 4 <> 4 1 20 20
Scenario 5 <> 4 <>1 10

Commodity Rank (2B) Position Indicator_t (1D) Initial Commodity Mult_t (Result)
Scenario 1 1 1 1
Scenario 2 <> 1 0
Scenario 3 <>1 0

𝑁𝑜𝑡𝑒: 𝑓𝑜𝑟 𝑐𝑜𝑚𝑚𝑜𝑑𝑖𝑡𝑖𝑒𝑠, 𝐼𝑛𝑖𝑡𝑖𝑎𝑙𝑀𝑢𝑙𝑡(𝑡) = 1 𝑖𝑓 𝑇𝑟𝑒𝑛𝑑 𝐼𝑛𝑑𝑖𝑐𝑎𝑡𝑜𝑟 == 1 𝑎𝑛𝑑 𝑅𝑎𝑛𝑘 == 1

F. 0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒 Apply smoothing constant for final volatility multipliers.
In order to reduce turnover, a smoothing constant, sc, of 0.95 is applied to all three asset classes’
resulting multipliers. The final volatility multipliers for each asset class, i, are calculated as per
below:
𝑀𝑢𝑙𝑡(𝑖) = (𝑠𝑐 ⋅ 𝑀𝑢𝑙𝑡(𝑡 − 1)) + (1 − 𝑠𝑐) ⋅ 𝐼𝑛𝑖𝑡𝑖𝑎𝑙𝑀𝑢𝑙𝑡(𝑡)

Step 4: Inverse Volatility Weighting

A. Calculate the scaled volatilities for both equities and fixed income as:
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 ∗ 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡 = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒,𝑡 ∗ 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡

B. Determine the inverse weights with regard to the target volatility:

15%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐸𝑞𝑢𝑖𝑡𝑦,𝑡 =
𝐸𝑞𝑢𝑖𝑡𝑦 𝑉𝑜𝑙𝑡
15%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐹𝐼,𝑡 =
𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑉𝑜𝑙𝑡
15%
𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝐶𝑜𝑚𝑚(𝑡) = 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦(𝐶𝑜𝑚𝑚(𝑡))
*CommodityMult(t)

C. Calculate the final weights for each ETF:

S&P Dow Jones Indices: S&P PRISM Indices Methodology 15

 𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡
𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡 =
∑𝑎𝑠𝑠𝑒𝑡 𝐼𝑛𝑣𝑒𝑟𝑠𝑒𝑎𝑠𝑠𝑒𝑡,𝑡

Step 5: Reference Index Calculation

A. Calculate the initial weighted average return:

𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 = ∑ 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝑎𝑠𝑠𝑒𝑡,𝑡−2 ∗ 𝐸𝑥𝑐𝑒𝑠𝑠 𝐷𝑎𝑖𝑙𝑦 𝑅𝑒𝑡𝑢𝑟𝑛𝑎𝑠𝑠𝑒𝑡,𝑡

B. Circuit Breaker: A circuit breaker mechanism is in place when 𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡−2 >
1 𝑎𝑛𝑑 𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡−2 > 1. In this scenario, the reference index return is scaled by 75% so
that 25% weight is placed into cash, 𝐹𝑖𝑛𝑎𝑙 𝑊𝑒𝑖𝑔ℎ𝑡𝐶𝑅 𝐶𝑎𝑠ℎ,𝑡−2 , as illustrated in step 5C.

C. Reference Index Return

𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡
. 75 ∗ 𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑖𝑓 𝐸𝑞𝑢𝑖𝑡𝑦 𝑀𝑢𝑙𝑡𝑡−2 > 1𝑎𝑛𝑑 𝐹𝑖𝑥𝑒𝑑 𝐼𝑛𝑐𝑜𝑚𝑒 𝑀𝑢𝑙𝑡𝑡−2 > 1
={
𝑊𝑒𝑖𝑔ℎ𝑡𝑒𝑑 𝐴𝑣𝑔 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 , 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

D. Final step is to calculate the reference index level.

𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡 = 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝐿𝑒𝑣𝑒𝑙𝑡−1 ∗ (1 + 𝑅𝑒𝑓 𝐼𝑛𝑑𝑒𝑥 𝑅𝑒𝑡𝑢𝑟𝑛𝑡 )

Step 6: Risk Controlled Index Level

To calculate the final index level apply a daily risk control methodology rebalancing on Wednesdays.

Please refer to the Risk Control Indices section of the Index Mathematics Methodology where the
underlying index is the reference index calculated above with initial index exposure, K, calculated as
below:
15%
𝐾𝑟𝑏 = 𝑀𝑖𝑛(100%, )
𝑅𝑒𝑎𝑙𝑖𝑧𝑒𝑑 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡−2

where:
rb = rebalancing date

S&P Dow Jones Indices: S&P PRISM Indices Methodology 16

Index Maintenance
Rebalancing

S&P PRISM and S&P PRISM Factor Indices. The indices rebalance on U.S. business days after the
market close. If a component of an index is not published on the rebalancing date, the prior value of that
component is used. As part of the rebalancing process, the weights of the various asset class
components are determined based on the sub-indices weights in the benchmarks as described in Index
Construction.

S&P PRISM ETF Tracker Index. The index rebalances prior to the market open on every Wednesday. If
that day is a holiday the index rebalances prior to the open of the next business day.

Corporate Actions

For information on corporate actions, please refer to the Non-Market Capitalization Indices section of S&P
Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P PRISM ETF Tracker Index. In addition to the standard Non-Market Capitalization Indices corporate
action treatments, the index includes the following treatments for ETF actions.

Corporate Action Index Adjustment

ETF Share Split Index shares are multiplied by, and price is divided by, the split factor.
The prices of the ETF making the dividend is reduced by the per share
Dividends
dividend amount after market close on the day before the dividend ex-date.
The delisted ETF is removed from the index and replaced with a suitable
Delistings
substitute.

Currency of Calculation and Additional Index Return Series

In addition to the indices detailed in this methodology, additional return series versions of the indices may
be available, including, but not limited to the following versions: currency, currency hedged, decrement,
fair value, inverse, leveraged, and risk control. For a list of available indices, please refer to S&P DJI
Methodology & Regulatory Status Database.

For information on the calculation of different types of indices, please refer to S&P Dow Jones Indices’
Index Mathematics Methodology.

For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair
value, and risk control indices, please refer to the Parameters documents available at
www.spglobal.com/spdji/en.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 17

Base Date and History Availability

Index history availability, base dates, and base values are shown in the table below.

Launch First Value Base

Index Date Date Base Date Value1
S&P PRISM Index 02/12/2018 08/16/1990 08/16/1990 999.24
S&P PRISM Factor Index 10/31/2019 03/05/1996 03/05/1996 999.96
S&P PRISM ETF Tracker Index 10/20/2022 08/21/2008 08/21/2008 1000

1
The S&P PRISM and PRISM Factor indices were rebased effective after the close on April 12, 2021. Prior to this, the base value
for each index was 1,000.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 18

Index Governance
Index Committee

An S&P Dow Jones Index Committee maintains the indices. The Committee meets regularly. At each
meeting, the Committee reviews matters that may affect index constituents, statistics comparing the
composition of the index to the market, and any significant market events. In addition, the Index
Committee may revise index policy covering rules for selecting constituents, treatment of dividends, share
counts or other matters.

S&P Dow Jones Indices considers information about changes to its indices and related matters to be
potentially market moving and material. Therefore, all Index Committee discussions are confidential.

S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying the
methodology if the need arises. In any scenario where the treatment differs from the general rules stated
in this document or supplemental documents, clients will receive sufficient notice, whenever possible.

In addition to the daily governance of indices and maintenance of index methodologies, at least once
within any 12-month period, the Index Committee reviews the methodology to ensure the indices continue
to achieve the stated objectives, and that the data and methodology remain effective. In certain instances,
S&P Dow Jones Indices may publish a consultation inviting comments from external parties.

For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Equity Indices Policies & Practices Methodology S&P Dow Jones Indices’ Commodities
Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 19

Index Policy
Holiday Schedule

The indices calculate on all U.S. equity market business days.

A complete holiday schedule for the year is available at www.spglobal.com/spdji.

Rebalancing

The index committee may change the date of a given rebalancing for reasons including market holidays
occurring on or around the scheduled rebalancing date. Any such change will be announced with proper
advance notice where possible.

Unexpected Exchange Closures

For information on Unexpected Exchange Closures, please refer to S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.

Recalculation Policy

For information on the recalculation policy, please refer to S&P Dow Jones Indices’ Equity Indices
Policies & Practices Methodology.

For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, please
refer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.

Contact Information

For questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 20

Index Dissemination
Index levels are available through S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji, major
quote vendors (see codes below), numerous investment-oriented Web sites, and various print and
electronic media.

Tickers

The table below lists headline indices covered by this document. All versions of the below indices that
may exist are also covered by this document. Please refer to S&P DJI Methodology & Regulatory Status
Database for a complete list of indices covered by this document.

Index Return Type BBG RIC

S&P PRISM Index (USD) Excess Return SPPRISME .SPPRISME
Total Return SPFPRSM --
S&P PRISM Factor Index (USD)
Excess Return SPFPRSME --
S&P PRISM ETF Tracker Index (USD) Total Return SPPRETFT --

Index Data

Daily constituent and index level data are available via subscription.

For product information, please contact S&P Dow Jones Indices, www.spglobal.com/spdji/en/contact-us.

Web site

For further information, please refer to S&P Dow Jones Indices’ Web site at www.spglobal.com/spdji.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 21

Appendix A
Methodology Changes

Methodology changes since February 12, 2018, are as follows:

Effective Date Methodology

Change (After Close) Previous Updated
Interest Rate: 12/17/2021 Three-month USD LIBOR interest rate. SOFR + 0.13088% interest rate.
S&P 500 TR
(SOFR Plus 3M
Term Credit
Spread) (USD)
ER

S&P Dow Jones Indices: S&P PRISM Indices Methodology 22

Appendix B
ESG Disclosures

EXPLANATION OF HOW ENVIRONMENTAL, SOCIAL & GOVERNANCE (ESG) FACTORS ARE

REFLECTED IN THE KEY ELEMENTS OF THE BENCHMARK METHODOLOGY 2
1. Name of the benchmark administrator. S&P Dow Jones Indices LLC.
Underlying asset class of the ESG
2. N/A
benchmark.3
Name of the S&P Dow Jones Indices S&P DJI Multi-Asset Indices Benchmark
3.
benchmark or family of benchmarks. Statement
Do any of the indices maintained by this
4. methodology take into account ESG No
factors?
Appendix latest update: January 2021
Appendix first publication: January 2021

2
The information contained in this Appendix is intended to meet the requirements of the European Union Commission Delegated
Regulation (EU) 2020/1817 supplementing Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards
the minimum content of the explanation of how environmental, social and governance factors are reflected in the benchmark
methodology and the retained EU law in the UK [The Benchmarks (amendment and Transitional Provision) (EU Exit) Regulations
2019].
3
The ‘underlying assets’ are defined in European Union Commission Delegated Regulation (EU) 2020/1816 supplementing
Regulation (EU) 2016/1011 of the European Parliament and of the Council as regards the explanation in the benchmark statement
of how environmental, social and governance factors are reflected in each benchmark provided and published.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 23

Disclaimer
Performance Disclosure/Back-Tested Data

Where applicable, S&P Dow Jones Indices and its index-related affiliates (“S&P DJI”) defines various
dates to assist our clients by providing transparency. The First Value Date is the first day for which there
is a calculated value (either live or back-tested) for a given index. The Base Date is the date at which the
index is set to a fixed value for calculation purposes. The Launch Date designates the date when the
values of an index are first considered live: index values provided for any date or time period prior to the
index’s Launch Date are considered back-tested. S&P DJI defines the Launch Date as the date by which
the values of an index are known to have been released to the public, for example via the company’s
public website or its data feed to external parties. For Dow Jones-branded indices introduced prior to May
31, 2013, the Launch Date (which prior to May 31, 2013, was termed “Date of introduction”) is set at a
date upon which no further changes were permitted to be made to the index methodology, but that may
have been prior to the Index’s public release date.

Please refer to the methodology for the Index for more details about the index, including the manner in
which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all
index calculations.

Information presented prior to an index’s launch date is hypothetical back-tested performance, not actual
performance, and is based on the index methodology in effect on the launch date. However, when
creating back-tested history for periods of market anomalies or other periods that do not reflect the
general current market environment, index methodology rules may be relaxed to capture a large enough
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addition, forks have not been factored into the back-test data with respect to the S&P Cryptocurrency
Indices. For the S&P Cryptocurrency Top 5 & 10 Equal Weight Indices, the custody element of the
methodology was not considered; the back-test history is based on the index constituents that meet the
custody element as of the Launch Date. Also, the treatment of corporate actions in back-tested
performance may differ from treatment for live indices due to limitations in replicating index management
decisions. Back-tested performance reflects application of an index methodology and selection of index
constituents with the benefit of hindsight and knowledge of factors that may have positively affected its
performance, cannot account for all financial risk that may affect results and may be considered to reflect
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Typically, when S&P DJI creates back-tested index data, S&P DJI uses actual historical constituent-level
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investing is still in early stages of development, certain datapoints used to calculate certain ESG indices
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assumes that companies currently not involved in a specific business activity (also known as “product
involvement”) were never involved historically and similarly also assumes that companies currently
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allows the hypothetical back-test to be extended over more historical years than would be feasible using
only actual data. For more information on “Backward Data Assumption” please refer to the FAQ. The
methodology and factsheets of any index that employs backward assumption in the back-tested history

S&P Dow Jones Indices: S&P PRISM Indices Methodology 24

will explicitly state so. The methodology will include an Appendix with a table setting forth the specific
data points and relevant time period for which backward projected data was used. Index returns shown
do not represent the results of actual trading of investable assets/securities. S&P DJI maintains the index
and calculates the index levels and performance shown or discussed but does not manage any assets.

Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the
securities underlying the Index or investment funds that are intended to track the performance of the
Index. The imposition of these fees and charges would cause actual and back-tested performance of the
securities/fund to be lower than the Index performance shown. As a simple example, if an index returned
10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based fee
of 1.5% was imposed at the end of the period on the investment plus accrued interest (or US $1,650), the
net return would be 8.35% (or US $8,350) for the year. Over a three-year period, an annual 1.5% fee
taken at year end with an assumed 10% return per year would result in a cumulative gross return of
33.10%, a total fee of US $5,375, and a cumulative net return of 27.2% (or US $27,200).

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“AS IS” “WHERE IS” BASIS. S&P DOW JONES INDICES PARTIES DISCLAIMS ANY AND ALL

S&P Dow Jones Indices: S&P PRISM Indices Methodology 25

EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
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or representations with respect to such standard or classification (or the results to be obtained by the use

S&P Dow Jones Indices: S&P PRISM Indices Methodology 26

thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
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indicators (such as, inequality and investment in human capital); governance indictors (such as sound
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S&P DJI ESG indices use ESG metrics and scores in the selection and/or weighting of index constituents.
ESG scores or ratings seek to measure or evaluate a company’s, or an asset’s, performance with respect
to environmental, social and corporate governance issues.

The ESG scores, ratings, and other data used in S&P DJI ESG indices is supplied directly or indirectly by
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ESG scores, ratings, and other data may be reported (meaning that the data is provided as disclosed by
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Where an index uses ESG scores, ratings or other data supplied directly or indirectly by third parties, S&P
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classify the same investment, product and/or strategy differently regarding ‘ESG’, ‘sustainable’, ‘good
governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelled

S&P Dow Jones Indices: S&P PRISM Indices Methodology 27

objectives. Furthermore, the legal and/or market position on what constitutes an ‘ESG’, ‘sustainable’,
‘good governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelled
objectives may change over time, especially as further regulatory or industry rules and guidance are
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Prospective users of an S&P DJI ESG Index are encouraged to read the relevant index methodology and
related disclosures carefully to determine whether the index is suitable for their potential use case or
investment objective.

S&P Dow Jones Indices: S&P PRISM Indices Methodology 28