Cboe S&P 500 Dispersion
Basket Index
Methodology

July 2024
S&P Dow Jones Indices: Index Methodology

Table of Contents
Introduction

3
Index Objective and Highlights

3

Data Source

3

Collaboration3

Supporting Documents

3

Eligibility Criteria

4

Index Universe

4

Eligibility Factors

4

Index Construction

5

Terms & Definitions

5

Constituent Selection

6

Constituent Weighting

7

Index Calculations

7

Index Maintenance

8

Rebalancing

8

Additions and Deletions

8

Corporate Actions

8

Currency of Calculation and Additional Index Return Series

8

Base Date and History Availability

9

Index Data

10
Calculation Return Types

Index GovernanceIndex Committee

Index Policy

10

11
11

12
Announcements

12Pro-forma Files

12

Holiday Schedule

12

Rebalancing

12

Unexpected Exchange Closures

12

Recalculation Policy

12Real-Time Calculation

12

Contact Information

13

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

1Index Dissemination

14

Tickers

14

Index Data

14

Web Site

14

Appendix A

15
Methodology Changes

Disclaimer

15

17
Performance Disclosure/Back-Tested Data

17Intellectual Property Notices/Disclaimer

18

ESG Indices Disclaimer

20

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

2Introduction
Index Objective and Highlights
The Cboe S&P 500 Dispersion Basket Index, also called the Dispersion Basket Index or DSPBX,
measures the performance of a subset of S&P 500 (the Underlying Index) constituents that have a wide
range of quoted call and put options with expiry dates between 10 and 120 calendar days. The index
provides a representative universe of large-cap U.S. equities conducive to the calculation of the 30-day
implied dispersion of the S&P 500.
For more information on the S&P 500, please refer to the S&P U.S. Indices Methodology, available atwww.spglobal.com/spdji/.
Data Source
Options Price Reporting Authority (OPRA) is the source for options data.
Collaboration
The Cboe S&P 500 Dispersion Basket Index is generated and published under agreements between
Cboe and S&P Dow Jones Indices. Eligible constituents are selected with the assistance of Cboe, basedon the rules defined in this documentation. S&P Dow Jones Indices (DJI) thanks Cboe for its contributions
to the development and the calculation of the index.
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detailwith respect to the policies, procedures and calculations described herein. References throughout themethodology direct the reader to the relevant supporting document for further information on a specifictopic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:
Supporting Document
S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology
S&P Dow Jones Indices’ Index Mathematics
Methodology
S&P Dow Jones Indices’ Float Adjustment
Methodology

URL
Equity Indices Policies & Practices
Index Mathematics Methodology
Float Adjustment 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 toor 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.
Cboe and VIX are registered trademarks of Cboe Exchange, Inc. and have been licensed for use by S&P
Dow Jones Indices.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

3Eligibility Criteria
Index Universe
At each rebalancing, the index universe is all constituents of the underlying index, adjusted for any
composition changes due to the current rebalancing.
Eligibility Factors
At each rebalancing, to be eligible for index inclusion an index universe constituent must satisfy thefollowing:•

Listed Options: have listed options.

•

Multiple Share Classes and Dual Listed Companies: All publicly listed multiple share classlines are eligible for index inclusion, subject to meeting the eligibility criteria. For more information
regarding the treatment of multiple share classes, please refer to Approach A within the Multiple
Share Classes section of the S&P Dow Jones Indices’ Equity Indices Policies & Practices
Methodology.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

4Index Construction
Terms & Definitions
Valid Option Quotes. A valid option quote is a two-sided quote in which the ask price is non-zero and isgreater than or equal to the bid price.
Daily Quote Measurement Point. Option quotes for the equity securities eligible for inclusion in theindex are measured on each trading day at or around 2:58pm Chicago time – i.e. approximately two
minutes prior to the equity market close at 3pm Chicago / 4pm New York.
Options, Classes, and Strips. Only standard monthly and weekly call and put options linked tomembers of the index universe that are listed on U.S. exchanges are eligible for consideration. For any
member of the index universe on any trading day, the “option class” associated to that constituent is theset of all options sharing that underlying. Within a specific option class, an “option strip” refers to all theoptions in that class sharing a particular expiry date.
Valid Option Strips. For any options strip associated with a particular stock and expiry date on aparticular trading day, that option strip is considered a “valid strip” if, at the daily quote measurement pointof trading on that day, there is at least one strike in the strip for which there is a valid option quote for boththe put and call.
Implied Forward. For each valid option strip, calculate an implied forward using put-call parity on the
strike where the absolute difference between the call and put mid-price is minimized. If there are multiple
strikes with the same difference between the call and put mid-price, select the lowest strike. The implied
forward for an option strip j is equal to:
𝐹𝑗 = 𝐾𝑗 + 𝑒 𝑟T ∗ (𝐶𝑗 − 𝑃𝑗 )where:
𝐹𝑗= The implied forward

𝐾𝑗 = The strike price at which the absolute difference between the call and put option mid-price isminimized
𝐶𝑗= The call midprice at strike 𝐾𝑗

𝑃𝑗= The put midprice at strike 𝐾𝑗𝑟= The same interest rate used in the VIX calculation1

𝑇= The annualized time to expiry given by:𝑇=

𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝐶𝑢𝑟𝑟𝑒𝑛𝑡 𝐷𝑎𝑦 + 𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑆𝑒𝑡𝑡𝑙𝑒𝑚𝑒𝑛𝑡 𝐷𝑎𝑦 + 𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑂𝑡ℎ𝑒𝑟 𝐷𝑎𝑦𝑠
𝑀𝑖𝑛𝑢𝑡𝑒𝑠 𝑖𝑛 𝑎 𝑌𝑒𝑎𝑟ATM Options and OTM Options. For each valid option strip, identify the ATM (at-the-money) option andassociated strike 𝐾𝑧𝑒𝑟𝑜 by taking the strike at or directly below the implied forward.
Identify OTM (out-of-the-money) options for that strip by selecting all calls with strikes greater than 𝐾𝑧𝑒𝑟𝑜
and put strikes less than 𝐾𝑧𝑒𝑟𝑜 .
1

For more information on VIX calculations, please refer to the Cboe Volatility Index Mathematics Methodology, available here.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

5

Valid Options for the Filter Condition Rules. For each valid option strip on any given trading day, filter
the options in sequence by the following rules:•

Filter out any OTM call options with strikes higher than two consecutive OTM call options withzero bids, even if they have non-zero bids.

•

Filter out any OTM put options with strikes lower than two consecutive OTM put options with zerobids, even if they have non-zero bids.

•

Filter out any remaining options without valid quotes.

•

Filter out any remaining options with zero bids.

The remaining OTM call and put options are “valid options” for the purposes of calculating the Filter
Condition on that trading day.
Possible Near Term and Next Term Strips for the Filter Condition Rules. For each constituent on
any given trading day, possible “near term” and “next term” options strips are defined by the timing of the
expiration date.
•

Near Term: options strips with an expiration date between or equal to 10 to 30 calendar days•

Next Term: options strips with an expiration date between or equal to 31 to 120 calendar days

Lookback Period. At each quarterly rebalancing, the lookback period is from the monthly VIX futures
expiration date three months prior to the reference date to the day before the reference date. For
example, if the reference date was 11/16/2022, the look-back period was from 08/17/2022 to 11/15/2022.
Constituent Filter Condition Rules. For a given constituent in the index universe on a particular trading
day t, for each valid option strip on that constituent with expiration date e, define 𝑦𝑒,𝑡 as the minimum:𝐶𝑃
𝑦𝑒,𝑡 = min(𝑂𝑒,𝑡, 𝑂𝑒,𝑡)where:
𝐶𝑂𝑒,𝑡= the number of valid OTM call options on that trading day
𝑃𝑂𝑒,𝑡= the number of valid OTM put options on that trading day

A stock meets the filter condition N over the lookback period R if, at the daily quote measurement on
every trading day t during the lookback period, there are at least three expiration dates e, with at least
one possible near term strip and at least two possible next term strips, such that:
𝑦𝑒,𝑡 ≥ 𝑁
In this case, the stock meets the filter condition 𝐽R𝑁 over lookback period R.
Constituent Selection
At each rebalancing, the index selects constituents according to the following process:1. Sort each eligible stock into one of the following categories and apply the respective filter ruleover the quarterly lookback period R:
Category 1: Top 50 Stocks by Market Capitalization or Option Volume: Rank all eligible
stocks, in descending order, by the mean of FMC and the mean of option contract volume overthe entire lookback period. Select the top 50 stocks from each ranking that satisfy the filter
condition 𝐽R4 .
Category 2: Stocks Included in the Prior Eligible Basket: If there is a prior basket, select all
stocks from the prior basket not sorted into Category 1 that satisfy the filter condition 𝐽R6 .2
2

If no prior basket exists, Category 2 remains empty.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

6Category 3: Remaining Stocks: Select all stocks from the underlying index not already sorted
included in the other categories and which satisfy the filter condition 𝐽R10 .
2. Rank all stocks that satisfy Step 1 by the variable [Latest Stock Price] / [S&P 500 Index Weight],
both measured as of the rebalancing reference date.
3. Rounding to the nearest whole number N, exclude 10% of the stocks that satisfy Step 1,
comprising the highest ranked stocks from Step 2 but not stocks ranked in the top 50 by FMC. If
there are fewer than N such stocks, exclude the highest ranked stocks from Step 2 within the top
50 by FMC until N is reached.
4. Combine the selected stocks from each category to form the index.
Constituent Weighting
At each rebalancing, constituents are FMC weighted.
Index Calculations
The index calculates by means of the divisor methodology used in most S&P Dow Jones Indices equity
indices.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

7Index MaintenanceRebalancing
The index rebalances quarterly, effective after the close of VIX expiration dates (generally, theWednesday 30 days prior to the third Friday of the subsequent calendar month) in March, June,
September, and December, with a reference date of the VIX expiration date in February, May, August,and November, respectively.
Additions and Deletions
Additions. Except for spin-offs, there are no intra-rebalancing additions.
Spin-offs. A spin-off company is added to the index at a zero price on the ex-date. Eligible spin-offs
remain in the index, while ineligible spin-offs are removed after at least one day of trading.
Deletions. Constituents removed from the underlying index are removed from the index simultaneously.
Corporate Actions
The equity option classes used to determine eligible constituents for DSPBX may be changed to reflect
corporate actions, including stock splits, special dividends, merger & acquisition, spin-offs, and delisting.
Adjusted options series are used to determine eligible constituents for DSPBX until unadjusted series withthe same expiration dates are available for trading.
Mergers & Acquisitions (M&A). An M&A target company is dropped from the index on the target
company’s expected delisting date.
For more information on Corporate Actions, please refer to the Market Capitalization Indices section of
S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
Currency of Calculation and Additional Index Return Series
The index calculates in U.S. dollars.
WMR foreign exchange rates are taken daily at 4:00 PM London Time and used in the calculation of theindices. These mid-market fixings are calculated by WMR based on LSEG data and appear on LSEG
pages.
In addition to the indices detailed in this methodology, additional return series versions of the indices may
be available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse,
leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI
Methodology & Regulatory Status Database.
For information on index calculation, 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, fairvalue, and risk control indices, please refer to the Parameters documents available atwww.spglobal.com/spdji.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

8Base Date and History Availability
The index history availability, base date, and base value are shown in the table below.

Index
Cboe S&P 500 Dispersion Basket Index

LaunchDate
07/28/2023

First Value
Date
06/18/2014

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

Base
Date
06/18/2014

Base
Value
1000

9

Index Data
Calculation Return Types
S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regularcash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices.
•

Price Return (PR) versions are calculated without adjustments for regular cash dividends.

•

Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-datewithout consideration for withholding taxes.

•

Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the
ex-date after the deduction of applicable withholding taxes.

In the event there are no regular cash dividends on the ex-date, the daily performance of all three indiceswill be identical.
For a complete list of indices available, please refer to the daily index levels file (“.SDL”).
For more information on the classification of regular versus special cash dividends as well as the tax rates
used in the calculation of net return, please refer to S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology.
For more information on the calculation of return types, please refer to S&P Dow Jones Indices’ Index
Mathematics Methodology.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

10Index GovernanceIndex Committee
An S&P Dow Jones Indices’ Index Committee maintains the index. All committee members are full-time
professional members of S&P Dow Jones Indices’ staff or full-time professional members of Cboe’s staff.
The Index Committee meets regularly. At each meeting, the Committee reviews pending corporate
actions that may affect index constituents, statistics comparing the composition of the indices to themarket, companies that are being considered as candidates for addition to the indices, and any significant
market events. In addition, the Index Committee may revise index policy covering rules for selecting
companies, treatment of dividends, share counts or other matters.
S&P Dow Jones Indices considers information about changes to its indices and related matters to bepotentially 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 themethodology if the need arises. In any scenario where the treatment differs from the general rules statedin 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: Cboe S&P 500 Dispersion Basket Index Methodology

11Index Policy
Announcements
All index constituents are evaluated daily for data needed to calculate index levels and returns. All eventsaffecting the daily index calculation are typically announced in advance via the Index Corporate Events
report (.SDE), delivered daily to all clients. Any unusual treatment of a corporate action or short notice ofan event may be communicated via email to clients.
For more information, please refer to the Announcements section of S&P Dow Jones Indices’ Equity
Indices Policies & Practices Methodology.
Pro-forma Files
In addition to the corporate events file (.SDE), S&P Dow Jones Indices provides constituent pro-forma
files each time the index rebalances. The pro-forma file is typically provided daily in advance of therebalancing date and contains all constituents and their corresponding weights and index shares effective
for the upcoming rebalancing. Since index shares are assigned based on prices prior to the rebalancing,
the actual weight of each stock at the rebalancing differs from these weights due to market movements.
Please visit www.spglobal.com/spdji for a complete schedule of rebalancing timelines and pro-forma
delivery times.
Holiday Schedule
The index calculates daily, throughout the calendar year, when the U.S. equity markets are open.
A complete holiday schedule for the year is available on S&P Dow Jones Indices’ Web site atwww.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.
Real-Time Calculation
Real-time, intra-day, index calculations are executed for some versions of the index, whenever theindex’s primary exchanges are open. Real-time indices are not restated.
For information on Calculations and Pricing Disruptions, Expert Judgment and Data Hierarchy, pleaserefer to S&P Dow Jones Indices’ Equity Indices Policies & Practices Methodology.
S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

12

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

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

13

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 andelectronic 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 the S&P DJI Methodology & Regulatory
Status Database for a complete list of indices covered by this document.
Index
Cboe S&P 500 Dispersion Basket Index (USD)

Return TypePrice Return
Total Return
Net Total Return

BBG
DSPBX
SPDSPBUT
SPDSPBUNRIC.DSPBX.SPDSPBUT.SPDSPBUN

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

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

14Appendix A
Methodology Changes
Methodology changes since July 7, 2023, are as follows:
ChangeConstituent Selection

Effective Date
(After Close)
06/19/2024

Methodology

1.

Previous

UpdatedSort each eligible stock
into one of the following
categories and apply therespective filter rule overthe quarterly lookback
period R:

1. Sort each eligible stock into
one of the following
categories and apply therespective filter rule overthe quarterly lookback
period R:

Category 1: Top 50
Stocks by Market
Capitalization or Option
Volume: Rank all eligible
stocks, in descendingorder, by the mean of FMC
and the mean of option
contract volume over theentire lookback period.
Select the top 50 stocks
from each ranking thatsatisfy the filter condition
𝐽R4 .
Category 2: Stocks
Included in the Prior
Eligible Basket: If there isa prior basket, select all
stocks from the priorbasket not sorted into
Category 1 that satisfy thefilter condition 𝐽R6 .3
Category 3: Remaining
Stocks: Select all stocks
from the underlying index
not already sorted includedin the other categories andwhich satisfy the filter
condition 𝐽R10 .

Category 1: Top 50
Stocks by Market
Capitalization or Option
Volume: Rank all eligible
stocks, in descending order,
by the mean of FMC andthe mean of option contract
volume over the entire
lookback period. Select the
top 50 stocks from eachranking that satisfy the filter
condition 𝐽R4 .
Category 2: Stocks
Included in the Prior
Eligible Basket: If there isa prior basket, select all
stocks from the prior basket
not sorted into Category 1that satisfy the filter
3
condition 𝐽R6 .
Category 3: Remaining
Stocks: Select all stocks
from the underlying index
not already included in theother categories and which
satisfy the filter condition
𝐽R10 .
2. Rank all stocks that satisfy
Step 1 by the variable[Latest Stock Price] / [S&P
500 Index Weight], bothmeasured as of therebalancing reference date.
3. Rounding to the nearest
whole number N, exclude
10% of the stocks thatsatisfy Step 1, comprising
the highest ranked stocks

3

If no prior basket exists, Category 2 remains empty.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

15

Change

Effective Date
(After Close)

Methodology
Previous

Updatedfrom Step 2 but not stocks
ranked in the top 50 by
FMC. If there are fewer thanN such stocks, exclude thehighest ranked stocks from
Step 2 within the top 50 by
FMC until N is reached.
Combine the selected stocks
from each category and form
the index.

S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

16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 theindex is set to a fixed value for calculation purposes. The Launch Date designates the date when thevalues of an index are first considered live: index values provided for any date or time period prior to theindex’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 adate 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 inwhich it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as allindex 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, whencreating back-tested history for periods of market anomalies or other periods that do not reflect thegeneral current market environment, index methodology rules may be relaxed to capture a large enoughuniverse 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 themethodology was not considered; the back-test history is based on the index constituents that meet thecustody 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 reflectsurvivor/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.
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 certain 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 historicalperiods, 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 processthat applies the earliest actual live data point available for an index constituent company to all priorhistorical 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 “productinvolvement”) 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
S&P Dow Jones Indices: Cboe S&P 500 Dispersion Basket Index Methodology

17will explicitly state so. The methodology will include an Appendix with a table setting forth the specificdata 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 thesecurities underlying the Index or investment funds that are intended to track the performance of theIndex. 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 feeof 1.5% was imposed at the end of the period on the investment plus accrued interest (or US $1,650), thenet 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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governance’, ‘no adverse environmental, social and/or other impacts’, or other equivalently labelledobjectives. 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 labelledobjectives may change over time, especially as further regulatory or industry rules and guidance areissued and the ESG sustainable finance framework becomes more sophisticated.
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