MSCI USA CYCLICALSECTORS - USA DEFENSIVE SECTORS
150/50 RETURN SPREAD INDEX (USD)The MSCI USA Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index aims to represent the performance of astrategy based on the return spread between a long position on constituents of the MSCI USA Cyclical Sectors Index , while
taking a short position on constituents of the MSCI USA Defensive Sectors Index. The weight of the MSCI USA Cyclical Sectors
Index is set to 150% and the weight of the MSCI USA Defensive Sectors Index is set to 50% on monthly basis.

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (USD)(SEP 2003 – DEC 2018)

ANNUAL PERFORMANCE (%)
Year400369.35326.29300274.55
200

MSCI USA CYCLICAL SECTORS – USA DEFENSIVESECTORS 150/50 RETURN SPREAD

MSCI USACYCLICAL SECTORSNOV 18

SEP 17

JUL 16MAY 15MAR 14

JAN 13

NOV 11

SEP 10

JUL 09MAY 08

JAN 06

NOV 04

SEP 030MAR 07100

MSCI USA
DEFENSIVE SECTORSMSCI USA Cyclical Sectors
USA Defensive Sectors
150/50 Return Spread

MSCI USA
DefensiveSectors

MSCI USACyclicalSectors

2018

-7.11

-5.33

-2.87

2017

34.92

27.27

12.28

2016

16.41

13.97

7.71

2015

3.95

2.63

-0.88

2014

13.44

13.57

12.99

2013

37.48

34.97

28.87

2012

24.30

20.14

10.72

2011

-10.00

-3.37

10.13

2010

20.17

17.92

12.02

2009

46.08

36.88

16.52

2008

-53.04-44.78-26.67

2007

-9.48

-0.85

17.68

2006

13.81

14.97

15.91

2005

-2.15

2.53

11.09

2004

8.52

10.01

11.88

INDEX PERFORMANCE- GROSS RETURNS (%) (DECEMBER 31, 2018)
ANNUALIZED TOTAL RETURN

Index

1 Month

3 Months

1 YearYear
to Date3 Years

5 Years

10 Years

Since
Sep 30, 2003

MSCI USA Cyclical Sectors - USA Defensive
Sectors 150/50 Return Spread-9.06-18.20

-7.11

-7.11

13.42

11.46

16.60

6.85

MSCI USA Cyclical Sectors-9.02-15.44

-5.33

-5.33

11.15

9.86

15.01

8.06

MSCI USA Defensive Sectors

-8.99

-9.92

-2.87

-2.87

5.51

5.64

10.43

8.95

INDEX RISK & RETURN CHARACTERISTICS - (%) (DECEMBER 31, 2018)
ANNUALIZED STANDARD DEVIATION (%)

3 Years

5 Years

10 Years

Since
Sep 30, 2003

MSCI USA Cyclical Sectors – USA Defensive
Sectors 150/50 Return Spread

15.35

14.78

19.89

20.32

MSCI USA Cyclical Sectors

12.48

12.30

16.40

16.43

MSCI USA Defensive Sectors

10.36

10.16

11.41

11.33

MSCI USA CYCLICAL SECTORS - USA DEFENSIVE SECTORS 150/50 RETURN SPREAD INDEX (USD) | MSCI.COM

INDEX METHODOLOGY
The MSCI Return Spread Index return is calculated daily by subtracting the daily index return of the Short Component
Index from the daily index return of the Long Component Index, as per the MSCI Short and Leveraged Daily Indexes
methodology. The Long Component Index weight is 150% and the Short Component Index weight is 50% for MSCI USA
Cyclical Sectors – USA Defensive Sectors 150/50 Return Spread Index. The component indexes within the MSCI ReturnSpread Indexes are periodically reset to the pre-defined weights. For the MSCI Return Spread Indexes which are reseton a monthly basis, the weights of either component indexes may drift based on daily performance differential ofrespective component indexes during the month. The MSCI Return Spread Indexes are computed using a variant of theMSCI Short and Leveraged Daily Indexes Methodology that does not apply stock borrowing costs or the overnightrisk-free rates. Additionally, an “Annual Decrement” of 0.30% is applied on the index levels for the MSCI USA CyclicalSectors – USA Defensive Sectors 150/50 Return Spread Index as per the MSCI Decrement Indexes methodology.

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