S-Network Sector Low Volatility Index (SLOWX) · The S-Network Sector Low Volatility Index Offers Diversification by Sector and Company, Avoiding Concentrated Risk. Consumer Staples

© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.

S-Network Sector

Low Volatility Index (SLOWX)

Q4 2018


Index Rationale

Well-Established Universe of Index Candidates

S&P 500 Serves as Universe for SLOWX

Comprises up to 50 Constituents

Stocks Must Meet All Screens Needed to Qualify for the Leading Large-Cap US Equity Benchmark Index

Diversified by Sector

Five Stocks with the Lowest Trailing Twelve-Month Daily Volatility in Each of Ten GICS Sectors

• Real Estate Sector Excluded

• REITs Excluded

• Diversification Ensured Across Sectors

Entirely Rules Based

Depends on a Clearly Defined Rules-Based Methodology

No Discretion is Exercised in Compiling the Index

Pre-Defined Screening Protocol Assures a Consistent, Transparent and Arms-Length Compilation Process

The S-Network Sector Low Volatility Index Provides Exposure to Stocks with Low Volatility,

Diversified by Sector.

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Index Performance and Constituents


Historical Performance

The S-Network Sector Low Volatility Index Offers Consistent Performance Over Time, Regularly

Outperforming Other Low Volatility Indexes.

4

Source: Bloomberg, as at 12/31/2018 *To ensure fair comparisons, all of the starting index values are normalized to 1,000 as of December 31, 1999.

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 Dec-17

S-Network Sector Low Volatility TR Index vs. Benchmarks (12/31/1999–12/31/2018)

SLOWXTR M00IMV$T SPXT


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

0.00% 5.00% 10.00% 15.00% 20.00% 25.00%

Retu

rn

Risk

SLOWX TR Index vs. S&P500 TR

Risk/Return Profile

The S-Network Sector Low Volatility Index Offers a Compelling Risk/Reward Ratio.

Source: S-Network, as at 12/31/2018

S&P500 TR

Less Risk More Return

More Risk Less Return

More Risk More Return

Less Risk Less Return

*From 12/31/1999

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SLOWX TR


Consumer

Discretionary

Index Constituents

The S-Network Sector Low Volatility Index Offers Diversification by Sector and Company,

Avoiding Concentrated Risk.

Consumer Staples Energy Financials

Utilities Industrials Information

Technology Materials


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Health Care

Communication

Services

At&T Inc

Omnicom Group

Twenty-First Century Fox Inc

B

Verizon Communications Inc

Walt Disney Co

Garmin Ltd

Genuine Parts Co

Mcdonald'S Corp

Tjx Cos Inc

Yum! Brands Inc

Archer-Daniels-Midland Co

Coca-Cola Co

Mondelez International Inc

Pepsico Inc

Procter & Gamble

Chevron Corp

Exxon Mobil Corp

Kinder Morgan Inc

Oneok Inc

The Williams Companies Inc

Aflac Inc

Aon Plc

Gallagher Arthur J. & Co

Marsh & Mclennan Companies

Us Bancorp

Danaher Corp

Johnson & Johnson

Medtronic Plc

Merck & Co Inc

Pfizer Inc

Honeywell Intl Inc

IHS Markit Ltd

Republic Services Inc

Verisk Analytics Inc

Waste Management Inc

Amphenol Corp A

Citrix Systems Inc

Fidelity National Information

Fiserv Inc

Paychex Inc

Air Products & Chemicals Inc

Ball Corp

Ecolab Inc

Intl Flavors & Fragrances

Sherwin-Williams Co

Cms Energy Corp

Duke Energy Corp

Exelon Corp

Nextera Energy Inc

Wec Energy Group Inc


Sector Distribution

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Source: Bloomberg, BlackRock, Invesco as of 12/31/2018

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

Utilities ConsumerStaples

Energy InformationTechnology

CommunicationServices

Industrials Health Care Financials ConsumerDiscretionary

Materials

S-Network Sector Low Volatility Index vs. Benchmarks

SLOWX S&P 500 MSCI USA Min


Number of Constituents 50

Total Market Capitalization 4.08 Trillion USD

Largest Market Capitalization 346.11 Billion USD

Smallest Market Capitalization 12.54 Billion USD

Average Market Capitalization 81.67 Billion USD

Median Market Capitalization 37.39 Billion USD

Index Market Capitalization

Solid Fundamentals and a Large Capitalization Bias Help Mitigate Risks in the

S-Network Sector Low Volatility Index.

Market Capitalization Profile

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Statistical Profiles


SLOWX TR M00IMV$T S&P 500 TR SLOWX TR vs. S&P 500 TR M00IMV$T vs. S&P 500 TR

12/31/2000 16.76% 2.83% -9.10% 25.86% 11.94%

12/31/2001 6.33% -7.82% -11.89% 18.22% 4.06%

12/31/2002 -8.18% -15.31% -22.10% 13.92% 6.79%

12/31/2003 21.10% 19.98% 28.68% -7.59% -8.70%

12/31/2004 15.15% 14.51% 10.88% 4.27% 3.63%

12/31/2005 2.98% 6.62% 4.91% -1.93% 1.71%

12/31/2006 25.60% 14.96% 15.79% 9.80% -0.84%

12/31/2007 9.54% 4.31% 5.49% 4.05% -1.18%

12/31/2008 -23.91% -25.65% -37.00% 13.09% 11.34%

12/31/2009 13.29% 18.36% 26.46% -13.17% -8.11%

12/31/2010 17.37% 14.70% 15.06% 2.31% -0.36%

12/31/2011 13.54% 12.87% 2.11% 11.43% 10.75%

12/31/2012 12.87% 11.19% 16.00% -3.13% -4.82%

12/31/2013 30.49% 25.33% 32.39% -1.89% -7.06%

12/31/2014 15.90% 16.54% 13.69% 2.22% 2.85%

12/31/2015 -1.43% 5.64% 1.38% -2.81% 4.26%

12/31/2016 14.39% 10.67% 11.96% 2.43% -1.29%

12/31/2017 17.09% 19.18% 21.83% -4.74% -2.65%

12/31/2018 1.30% 1.55% -4.38% 5.68% 5.93%

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Statistical Profile I

Calendar Year Ending Price Appreciation

Source: S-Network, as of 12/31/2018


Statistical Profile II

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SLOWX TR

M00IMV$T

S&P 500 TR

Since Inception* 490.83% 269.11% 146.57%

10 Year 244.76% 252.07% 243.03%

5 Year 55.02% 64.89% 50.33%

3 Year 35.69% 33.93% 30.42%

1 Year 1.30% 1.55% -4.38%

Total Return Appreciation

SLOWX TR M00IMV$T

S&P 500 TR

Since Inception* 9.80% 7.12% 4.86%

10 Year 13.18% 13.41% 13.12%

5 Year 9.16% 10.52% 8.49%

3 Year 10.71% 10.23% 9.26%

1 Year 1.30% 1.55% -4.38%

Compound Annual Growth Rate

Source: Bloomberg, as of 12/31/2018 *From 12/31/1999


Statistical Profile III

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SLOWX TR M00IMV$T

S&P 500 TR

Since Inception* 11.04% 11.31% 14.54%

10 Year 10.24% 10.73% 13.60%

5 Year 9.33% 9.02% 10.94%

3 Year 8.96% 9.11% 10.95%

1 Year 12.45% 12.21% 15.33%

Annualized Standard Deviation

SLOWX TR M00IMV$T S&P 500 TR

Since Inception* 0.7560 0.5201 0.2868

10 Year 1.2287 1.1971 0.9499

5 Year 0.9171 1.0838 0.7402

3 Year 1.0621 0.9982 0.7660

1 Year 0.0026 0.0210 -0.3490

Sharpe Ratio



Statistical Profile IV

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SLOWX TR

M00IMV$T

Since Inception* 0.8238 0.9173

10 Year 0.8964 0.9053

5 Year 0.8831 0.8859

3 Year 0.8383 0.8644

1 Year 0.9112 0.9503

Correlation (vs S&P 500 TR)

Source: Bloomberg, as of 12/31/2018

SLOWX TR

M00IMV$T


10 Year 0.6744 0.7137

5 Year 0.7528 0.7299

3 Year 0.6859 0.7191

1 Year 0.7404 0.7568

Beta (vs S&P 500 TR)

*From 12/31/1999


Statistical Profile V

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S-Net Sector Low Volatility TR M00IMV$T


10 Year 0.8035 0.8195

5 Year 0.7799 0.7848

3 Year 0.7027 0.7472

1 Year 0.8303 0.9031

R-Squared (vs S&P 500 TR)



Index Construction


Index Construction - Methodology

All Constituents of SLOWX Must Be Constituents of the S&P 500

Selection Criteria for the S&P 500 Include Requirements for Sector Inclusion,

Primary Exchange Listing, Minimum Market Capitalization, Minimum Average

Daily Trading Volume, and Other Factors

Individual Securities Included in SLOWX Selected Based on the Five Stocks in

Each of the Nine Eligible GICS Sectors with the Lowest Volatility as of Last

Trading Day of November

The S-Network Sector Low Volatility Index Uses A Stable and Transparent

Construction Methodology.

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Index Construction – Weighting and Deletions

Share Weights Based on Prices as of Close of Trading on Second Friday of

Rebalancing Month

Index Is Reconstituted Quarterly on the Third Friday of the Last Month of Each

Calendar Quarter

Index is Rebalanced Quarterly Back to Equal Weights

Stocks That Are Deleted From S&P 500 Are Deleted from SLOWX Effective Upon

Deletion from the S&P 500

A Detailed Methodology and Rules Is Available at www.sectorlowvolindex.com

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Index Details & Data Distribution

Index Values Distributed in Real Time (15 second snapshots) in USD and EUR

Total Return Index Calculated Daily in USD and EUR

Index Values Distributed via NYSE Global Index Feed

Comprehensive Historic Data (including simulated back-tests from 12/31/1999)

Daily Prices for Price-Only + TR Indexes in USD + EURO

Quarterly Portfolio Snapshots (Historic Constituents and Weights)

Extensive Analytic support

Quarterly Reports (“Index Insights”)

Industry Overviews

Extensive Statistical Data

Comprehensive website

Broad data distribution via third party vendors

S&P/Bloomberg/Yahoo, etc.

S-Network contribution page on Bloomberg: SNET

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Company History

Standard & Poor’s Custom Index Group

S&P Indices recognizes that no single index meets the needs of all investors. A custom index calculated by S&P Indices enables our clients either to refine existing S&P indices to reflect tailored measurements of market performance, or to create a unique index as the basis for a new derivative investment product. Drawing on this expertise and a global database of over 17,000 individual stocks, the S&P Custom Index Group provides an independent, flexible and accurate service enabling clients to purposefully design a Custom Index to meet their specific requirements.

S-Network Global Indexes

S-Network Global Indexes, Inc. is a publisher and developer of proprietary and custom indexes. Founded in 1997, S-Network publishes over 200 indexes, which serve as the underlying portfolios for financial products with over USD 7 billion in assets under management. S-Network indexes, which are supported by a state-of-the-art technology platform, are known for their transparency and efficiency. S-Network is a leader in socially responsible investment, publishing best-practice benchmark indexes in collaboration with Thomson Reuters. S-Network published the first global alternative energy and water indexes, which today serve as the recognized benchmarks for those sectors worldwide. In addition to publishing socially responsible indexes, S-Network produces proprietary environmental, social and governance ratings on nearly 5,000 public companies worldwide. S-Network publishes a comprehensive suite of benchmark indexes covering US, European, Pacific Basin and emerging markets companies and mirroring the performance characteristics of the most popular indexes. The benchmark series offers detailed historical data, including daily constituent level data, from December 31, 1999 to the present. S-Network benchmarks serve as starting universes for smart beta indexes, as institutional-quality performance benchmarks, and as bases for Separately Managed Accounts. S-Network is a prominent provider of smart beta indexes that incorporate both standard market statistics, as well as unique and highly specialized proprietary data sets derived from non-traditional sources. Smart beta indexes developed by S-Network embrace powerful single-factor models as well as complex multi-factor models that incorporate over 200 discrete factors. All indexes developed by S-Network address and resolve issues such as liquidity, investability and index turnover characteristics. For more information please visit http://www.snetglobalindexes.com.

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http://www.snetglobalindexes.com/

Documents

S-Network Sector Low Volatility Index (SLOWX) · The S-Network Sector Low Volatility Index Offers Diversification by Sector and Company, Avoiding Concentrated Risk. Consumer Staples