S&P PRISM Index

Multi-Asset Diversification Driven

by a Multi-Faceted Framework
The S&P PRISM Index is designed to measure a combination of multiple asset classes while
dynamically adjusting asset class weights daily to reduce overall volatility.

What is PRISM?
The S&P PRISM Index is constructed as an index of indices; it measures the performance of an inverse-risk-weighted
basket of three component indices representing fixed income, equities and commodities, after accounting for technical
and fundamental indicators. Equity valuation and bond recession indicators supplement momentum signals and
volatility for potentially higher risk-adjusted returns.

Key Benefits

– Provides diversification across asset classes without having to time the market
– Exhibits stable, low volatility; maintains a 5.5% volatility target
– Has historically demonstrated higher risk-adjusted returns compared to its individual underlying indices

Performance
Return Profile
7% 6.60

6%
5.23
4.92 4.84
5%
Annualized Return (%)

4% 3.63 3.64

2.89 3.04
3%
2.39

2%

0.86
1%

0%
1-Year 3-Year 5-Year 10-Year Since Sep 1990

S&P PRISM Index ER S&P Daily Risk Control 5% USD Excess Return Index

Source: S&P Dow Jones Indices LLC. Data as of May 31, 2024. The S&P PRISM Index was launched Feb. 12, 2018. All data prior to such date is back-tested
hypothetical data. Past performance is no guarantee of future results. Chart is provided for illustrative purposes and reflects hypothetical historical
performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with
back-tested performance.
An Index of Indices
The S&P PRISM Index is designed to evaluate, select and strategically weight three benchmark indices daily to
provide smooth appreciation.

Equity Fixed Income Commodities

The S&P 500, widely regarded The S&P 10-Year U.S. Treasury Note The S&P GSCI measures the
as the best single gauge of large- Futures Index holds the nearest performance of the commodities
cap U.S. equities, includes 500 maturity 10-Year U.S. Treasury Note market and is designed to be
leading companies and covers futures contract. investable by including the most
approximately 80% of available liquid commodity futures, while
market capitalization. also providing diversification
through low correlations to other
asset classes.

Asset Weighting Strategy

1. Calculate three momentum 2. Calculate valuation indicators 3. Calculate recession indicators

signals based on trend and to incorporate into to incorporate into
relative strength of the three volatility scaling volatility scaling
asset classes in the index

4. Scale volatilities based on 5. Calculate the reference index 6. Add a risk control overlay
momentum, valuation and on a two-day lag with a 5.5% target to create
recession indicator the S&P PRISM Index
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Performance Disclosure/Back-tested Data

The S&P PRISM Index was launched February 12, 2018. All information presented prior to an index’s Launch Date is hypothetical (back-tested), not actual
performance, and is based on the index methodology in effect on the index 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 universe of securities to simulate the target market the index is designed to measure or strategy the index is designed to capture. For example,
market capitalization and liquidity thresholds may be reduced. In 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. Complete index
methodology details are available at www.spglobal.com/spdji. 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 survivor/look ahead bias. Actual returns may differ significantly from, and be lower
than, back-tested returns. Past performance is not an indication or guarantee of future results.
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. Back-tested performance is for use with institutions only; not for use
with retail investors.
S&P Dow Jones Indices defines various dates to assist our clients in 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 Dow Jones Indices 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.
Typically, when S&P DJI creates back-tested index data, S&P DJI uses actual historical constituent-level data (e.g., historical price, market capitalization,
and corporate action data) in its calculations. As ESG investing is still in early stages of development, certain datapoints used to calculate S&P DJI’s ESG
indices may not be available for the entire desired period of back-tested history. The same data availability issue could be true for other indices as well. In
cases when actual data is not available for all relevant historical periods, S&P DJI may employ a process of using “Backward Data Assumption” (or pulling
back) of ESG data for the calculation of back-tested historical performance. “Backward Data Assumption” is a process that applies the earliest actual live
data point available for an index constituent company to all prior historical instances in the index performance. For example, Backward Data Assumption
inherently 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 involved in a specific business activity were involved historically too. The Backward
Data Assumption 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 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 Dow Jones Indices maintains the index and
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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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