NASDAQ Hedged Index Methodology
July 2024

1|P a g eTABLE OF CONTENTSTABLE OF CONTENTS ........................................................................................................................................... 2
1.

Introduction ........................................................................................................................................................... 3
1.1 Background .......................................................................................................................................................... 3
1.2 The Indexes .......................................................................................................................................................... 3
1.3 Currency Data Definitions .................................................................................................................................. 3
1.3.1 Closing Spot Rates……………………………………………………………………………………………………...3
1.3.2 Closing Forward Rates……………………………………………………………………………………………………..4
1.3.3 Missing Spot or Forward Rates…………………………………………………………42.

Index Calculation ................................................................................................................................................... 4
2.1 Hedge Ratio………………………………………………………………………………………………………4
2.1 Hedge Impact……………………………………………………………………………………………………..4
2.2.1 Forward Interpolated Rate Calculation…………………………………………………5
2.3 Hedged Index Calculation................................................................................................................................... 53.

Disclaimer............................................................................................................................................................... 6

4.

Limitation of Liability ............................................................................................................................................ 6

5.

List of calculated Indexes..................................................................................................................................... 72|P a g e1.

Introduction

1.1 Background
This document specifies the methodology for the NASDAQ Hedged Indexes.

1.2 The Indexes
The NASDAQ Hedged Indexes (the “Hedged Indexes”) are designed to represent returns for global
investment strategies that involve hedging currency risk, but not the underlying constituent risk. The
currency hedged strategy indexes aims to eliminate the effect of currency fluctuations in the index. By
factoring the impact of selling foreign currency forwards at the one month forward rate, the Hedged
Indexes mitigate the currency exposures in the index compared to the ‘home’ currency. The amount offorward return per currency applied to the index level corresponds to the percentage weight of thesecurities traded in each currency in the underlying unhedged index as of the close of two trading days
before the first trading day of the new month but taking account any following month end changes
implemented as of close of the last btrading day of the month. The currency weights used to generate
the daily forward return are then kept constant over the full month.
By selling foreign exchange forward contracts, global investors are able to lock in current exchange
forward rates, and manage their currency risk. Profits (losses) from the forward contracts are offset bylosses (profits) in the value of the currency, thereby negating exposure to the currency.
The Hedged Indexes are calculated as daily return indexes and hedged on a monthly basis.
The Hedged Indexes can be constructed for any developed and emerging market index. However, forsome currencies, especially emerging market currencies, the hedged impact cannot be calculated due todata unavailability. In such cases, the affected currency weight is set to zero.
For specific information related to the underlying reference index, Nasdaq Indexes, please see the“Nasdaq Index Methodology.”

1.3 Currency Data Definitions
1.3.1 Closing Spot Rates
Nasdaq uses the WM Company, Closing Spot Rates at 16:00:00 UK time in the calculation of the closing
Index Values 1 . SIX Financial Information Intraday Spot Rates are applied to the real time Index
calculations during the trading day.

The WM/Reuters Spot Rates and Forward Rates provided by The World Markets Company plc (“WM”) in conjunction
with Reuters. WM shall not be liable for any errors in or delays in providing or making available the data contained
within this service or for any actions taken in reliance on the same, except to the extent that the same is directly causedby its or its employees’ negligence

13|P a g e

1.3.2 Closing Forward Rates
Nasdaq uses the WM Company, Closing Forward Rates at 16:00:00 UK time in the calculation of theclosing Index Values. WM 1-month Intraday Forward Rates are applied to the real time Index calculations
during the trading day.

1.3.3 Missing Spot or Forward Rates
In the case WM/Reuters does not provide a Spot or a Forward rate for specific markets on given days theprevious business day’s rates will be used.

2.

Index Calculation

There are two components to a Hedged Index return:+

The performance of the unhedged underlying index in the portfolio home currency+

The Hedge Impact (aimed to represent the profit or loss on the forward contracts) in the portfolio
home currency

Home Currency: Home Currency=Index Currency (currency of the country of the investor)
Foreign Currency: Foreign currencies= all currencies in the underlying index that is a non-home currency
Example: NDXEUR is calculated in EUR by converting the component securities from USD into EUR using theEURUSD spot rate. NDXEURMH is the hedged version of NDXEUR.
Step 1: Determine Home and Foreign Currency. NDXEUR is calculated in EUR for EURO investor so homecurrency is EUR. Foreign currency are the currencies of the underlying components of NDXEUR which in thisexample is USD.
Step 2: Combine Home Currency and Foreign Currency to create the spot rate for Hedge Impact calculation
as the amount of foreign currency worth of one unit home currency: EURUSD
Step 3: Calculate weights for each foreign currency in the unhedged underlying index by aggregating theMarket Cap weight of each security quoted it that currency. In the example USD will have 100% weight .
Step 4: Calculate Hedge Impact based on EURUSD Spot and Forward Rates and foreign currency weights
Step 5: Calculate the Hedged Index value, NDXEURMH, by combining the unhedged underlying index ,NQDXEURO , return with the Hedge Impact

2.1 Hedge Ratio
The hedge ratio is the proportion of the portfolio’s currency exposure that is hedged. The standard
NASDAQ Hedged Indexes uses a hedge ratio of 1 (100%).

2.2 Hedge Impact Calculation
The Hedge Impact, HI, expressed in percent, is calculated as follows:

4|P a g e𝑛𝑛

𝐻𝐻𝐻𝐻𝑡𝑡 = 𝑀𝑀𝑀𝑀𝑀𝑀 ∗ � 𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊ℎ𝑡𝑡𝑖𝑖,𝑚𝑚−1 𝑥𝑥 𝐻𝐻𝐻𝐻 𝑥𝑥 (𝑖𝑖=1𝑆𝑆𝑆𝑆𝑖𝑖,𝑚𝑚−1 𝑆𝑆𝑆𝑆𝑖𝑖,𝑚𝑚−1−)
𝐹𝐹𝐹𝐹𝑖𝑖,𝑚𝑚
𝐹𝐹𝐹𝐹𝐹𝐹𝑖𝑖,𝑡𝑡

Where;
𝐻𝐻𝐻𝐻𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 (𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑜𝑜𝑜𝑜 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙) 𝑓𝑓𝑓𝑓𝑓𝑓 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐/𝑖𝑖𝑖𝑖𝑖𝑖 𝑖𝑖 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊ℎ𝑡𝑡𝑖𝑖,𝑚𝑚−1= 𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊ℎ𝑡𝑡 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑢𝑢𝑢𝑢ℎ𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 𝑜𝑜𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝

𝐻𝐻𝐻𝐻

𝑡𝑡𝑡𝑡 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑑𝑑𝑑𝑑𝑑𝑑 𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ2= 𝑇𝑇ℎ𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑓𝑓𝑓𝑓𝑓𝑓 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 (100% 𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁 𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖)

𝑆𝑆𝑆𝑆𝑖𝑖,𝑚𝑚−1= 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟 𝑎𝑎𝑎𝑎 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑓𝑓𝑓𝑓𝑓𝑓 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑡𝑡𝑡𝑡 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑑𝑑𝑑𝑑𝑑𝑑

𝐹𝐹𝐹𝐹𝑖𝑖,𝑚𝑚= 1 − 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟 𝑎𝑎𝑎𝑎 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑓𝑓𝑓𝑓𝑓𝑓 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑑𝑑𝑑𝑑𝑑𝑑𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ𝐹𝐹𝐹𝐹𝐹𝐹𝑖𝑖,𝑡𝑡
𝑀𝑀𝑀𝑀𝑀𝑀𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ1 − 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡(𝑠𝑠𝑠𝑠𝑠𝑠 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑖𝑖𝑖𝑖 2.1.2)= 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑙𝑙𝑙𝑙 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝑤𝑤ℎ𝑖𝑖𝑖𝑖ℎ 𝑖𝑖𝑖𝑖 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑎𝑎𝑎𝑎

𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼,𝑚𝑚−1
𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼,𝑚𝑚2.2.1 Forward Interpolated Rate Calculation
The 1-month Forward Interpolated Rate is calculated by using a linear interpolation between theSpot Rate and the Forward Rate
𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝑖𝑖,𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹,𝑡𝑡 = 𝑆𝑆𝑆𝑆𝑖𝑖,𝑡𝑡 + ��𝐹𝐹𝐹𝐹𝑖𝑖,𝑡𝑡 − 𝑆𝑆𝑆𝑆𝑖𝑖,𝑡𝑡 � 𝑥𝑥 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇ℎ�Where;
𝐹𝐹𝐹𝐹𝐹𝐹𝑖𝑖,𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜 the𝑆𝑆𝑆𝑆𝑖𝑖,𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡

𝐹𝐹𝐹𝐹𝑖𝑖,𝑡𝑡

𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑖𝑖,𝑡𝑡𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑖𝑖 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡= 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁 𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑓𝑓𝑓𝑓𝑓𝑓𝑓𝑓 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡 (𝑛𝑛𝑛𝑛𝑛𝑛 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑡𝑡) 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑑𝑑𝑑𝑑𝑑𝑑

𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ

𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇ℎ = 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛 𝑜𝑜𝑜𝑜 𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝑖𝑖𝑖𝑖 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ 𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏 𝑑𝑑𝑑𝑑𝑑𝑑 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ

2.3 Hedged Index Calculation

taking into account any changes in the composition of the index implemented as of the close of the last business day ofthe month25|P a g e

The Hedged Index, HIX, is the combination of the Unhedged Underlying Index return andthe Hedge Impact and is calculated as follows:
𝐻𝐻𝐻𝐻𝐻𝐻𝑡𝑡 = 𝐻𝐻𝐻𝐻𝐻𝐻𝑚𝑚 𝑥𝑥 (Where;

𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑡𝑡+ 𝐻𝐻𝐻𝐻𝑡𝑡 )𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑚𝑚

𝐻𝐻𝐻𝐻𝐻𝐻𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡

𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑡𝑡= 𝑇𝑇ℎ𝑒𝑒 𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈 𝑈𝑈𝑈𝑈ℎ𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑡𝑡

𝐻𝐻𝐻𝐻𝐻𝐻𝑚𝑚= 𝑇𝑇ℎ𝑒𝑒 𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻𝐻 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐 𝑑𝑑𝑑𝑑𝑑𝑑 𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎ

𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑚𝑚

3.

= 𝑇𝑇ℎ𝑒𝑒 𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈𝑈 𝑈𝑈𝑈𝑈ℎ𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼 𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣𝑣 𝑜𝑜𝑜𝑜 𝑡𝑡ℎ𝑒𝑒 𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐

𝑑𝑑𝑑𝑑𝑑𝑑 𝑖𝑖𝑖𝑖 𝑡𝑡ℎ𝑒𝑒 𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝 𝑚𝑚𝑚𝑚𝑚𝑚𝑚𝑚ℎDisclaimer

Nasdaq may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure
Index integrity including but not limited to quantitative inclusion criteria. Nasdaq may also, due to special
circumstances, if deemed essential, apply discretionary adjustments to ensure and maintain the high qualityof the index construction and calculation. Nasdaq and its affiliates do not guarantee the accuracy orcompleteness of any Index or of the data used to calculate the Index or determine the Index components, orthe uninterrupted or undelayed calculation or dissemination of any Index. Nasdaq and its affiliates do notguarantee that any Index accurately reflects past, present, or future market performance.

4. Limitation of LiabilityNasdaq and its affiliates assume no liability of any nature (including, but not limited to negligence) for
any loss, damages, costs, claims and expenses related to or arising out of the use of the Indexes or any
data included therein. Nasdaq and its affiliates hereby expressly disclaims all warranties, expressed orimplied, as to the availability, accuracy, uninterrupted calculation, completeness, merchantability orfitness for a particular purpose with respect to the Indexes or any data included therein. Neither Nasdaq,
its affiliates nor any third party makes any express or implied warranties or representations with respect
to the Indexes, the results to be obtained by their use or the value of the Indexes at any given time.
Without limiting any of the foregoing, in no event shall Nasdaq or any of its affiliates have any liability forany direct damages, lost profits or special, incidental, punitive, indirect or consequential damages, even
if notified of the possibility of such damages.

6|P a g eAppendix 1.

List of calculated Indexes

TickerIndex NameCurrency

NDXEURMH

NASDAQ -100 Hedged EUR IndexEUR

XNDXEURMH

NASDAQ -100 Hedged EUR TR IndexEUR

NDXCHFMH

NASDAQ -100 Hedged CHF Index

CHF

XNDXCHFMH

NASDAQ -100 Hedged CHF TR Index

CHF

NDXGBPMH

NASDAQ -100 Hedged GBP Index

GBP

XNDXGBPMH

NASDAQ -100 Hedged GBP TR Index

GBP

DATLOCCADMH

NASDAQ International Dividend Achievers Local CADCADDATLOCCADTRMHDATLOCCADNTRM
HNASDAQ International Dividend Achievers Local CAD TRCAD

NASDAQ International Dividend Achievers Local CAD NTRCADDAACADMHNASDAQ US Broad Dividend Achievers Currency Hedged CADCADDAACADTRMH

NASDAQ US Broad Dividend Achievers Currency Hedged CAD TRCADDAACADNTRMH

NASDAQ US Broad Dividend Achievers Currency Hedged CAD NTRCADCOMPCADMH

NASDAQ Composite Monthly Currency Hedged CAD

CAD

XCMPCADMH

NASDAQ Composite Monthly Currency Hedged CAD TRCADXCMPCADNNRMH
NDXAUDMH

NASDAQ Composite Monthly Currency Hedged CAD NTRCADXNDXAUDMH

NASDAQ -100 Currency Hedged AUD Index

AUD

NASDAQ -100 Currency Hedged AUD TR Index

AUD

NASDAQ -100 Currency Hedged AUD NTR Index

AUD

NASDAQ Future Global Sustainability Leaders Currency Hedged AUD

AUD

NASDAQ Future Global Sustainability Leaders Currency Hedged AUD TR
NASDAQ Future Global Sustainability Leaders Currency Hedged AUD
NTR

AUD

NASDAQ -100 Currency Hedged JPY Index

JPY

NASDAQ -100 Currency Hedged JPY TR Index

JPY

NASDAQ -100 Currency Hedged JPY NTR Index

JPY

Nasdaq Next Generation 100 Currency Hedged CAD Index

CAD

Nasdaq Next Generation 100 Currency Hedged CAD TR Index

CAD

Nasdaq Next Generation 100 Currency Hedged CAD NTR Index

CAD

NASDAQ -100 Equal Weighted Currency Hedged CAD Index

CAD

NASDAQ -100 Equal Weighted Currency Hedged CAD TR Index

CAD

NASDAQ -100 Equal Weighted Currency Hedged CAD NTR Index

CAD

NASDAQ -100 Equal Weighted Currency Hedged AUD Index

AUD

NASDAQ -100 Equal Weighted Currency Hedged AUD TR Index

AUD

NASDAQ -100 Equal Weighted Currency Hedged AUD NTR Index

AUD

NASDAQ -100 Equal Weighted Currency Hedged EUR Index

EUR

NASDAQ -100 Equal Weighted Currency Hedged EUR TR Index

EUR

NASDAQ -100 Equal Weighted Currency Hedged EUR NTR Index

EUR

NASDAQ -100 Equal Weighted Currency Hedged GBP Index

GBP

NASDAQ -100 Equal Weighted Currency Hedged GBP TR Index

GBPNASDAQ -100 Equal Weighted Currency Hedged GBP NTR Index

GBP

NASDAQ -100 Equal Weighted Currency Hedged JPY Index

JPY

NASDAQ -100 Equal Weighted Currency Hedged JPY TR IndexJPY

XNDXNNRAUDMHNQFGSLAUDMHNQFGSLTAUDMHNQFGSLNAUDMH
NDXJPYMHXNDXJPYMH
XNDXNNRJPYMHNGXCADMHNGXTCADMHNGXNCADMHNDXECADMH
NETRCADMH
NETRNNRCADMH
NDXEAUDMH
NETRAUDMHNETRNNRAUDMHNDXEEURMH
NETREURMH
NETRNNREURMH
NDXEGBPMH
NETRGBPMH
NETRNNRGBPMH
NDXEJPYMH
NETRJPYMH

7|P a g e

AUD

NETRNNRJPYMH
NDXEHKDMH
NETRHKDMH
NETRNNRHKDMHNDXECHFMH
NETRCHFMH
NETRNNRCHFMH
NDXG01MH
NDXG11MHNDXG21MHNDXG02MH
NDXG12MHNDXG22MHNDXG03MH
NDXG13MH
NDXG23MHNDXG04MH
NDXG14MH
NDXG24MH
NDXG05MH
NDXG15MH
NDXG25MHNDXG06MH
NDXG16MH
NDXG26MHNDXG07MH
NDXG17MH
NDXG27MHNGXG01MHNGXG11MHNGXG21MHNGXG02MH
NGXG12MHNGXG22MHNGXG03MH
NGXG13MHNGXG23MHNGXG04MH
NGXG14MH
NGXG24MH
NGXG05MH
NGXG15MH

8|P a g e

NASDAQ -100 Equal Weighted Currency Hedged JPY NTR Index

JPY

NASDAQ -100 Equal Weighted Currency Hedged HKD Index

HKD

NASDAQ -100 Equal Weighted Currency Hedged HKD TR Index

HKD

NASDAQ -100 Equal Weighted Currency Hedged HKD NTR Index

HKD

NASDAQ -100 Equal Weighted Currency Hedged CHF Index

CHF

NASDAQ -100 Equal Weighted Currency Hedged CHF TR Index

CHF

NASDAQ -100 Equal Weighted Currency Hedged CHF NTR IndexCHF

Nasdaq-100 ESG Currency Hedged AUD Index

AUDAUD

Nasdaq-100 ESG Total Return Currency Hedged AUD Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged AUD Index
Nasdaq-100 ESG Currency Hedged CAD Index
Nasdaq-100 ESG Total Return Currency Hedged CAD Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged CAD Index
Nasdaq-100 ESG Currency Hedged CHF Index
Nasdaq-100 ESG Total Return Currency Hedged CHF Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged CHF Index
Nasdaq-100 ESG Currency Hedged EUR Index
Nasdaq-100 ESG Total Return Currency Hedged EUR Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged EUR Index
Nasdaq-100 ESG Currency Hedged GBP Index
Nasdaq-100 ESG Total Return Currency Hedged GBP Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged GBP Index
Nasdaq-100 ESG Currency Hedged HKD Index
Nasdaq-100 ESG Total Return Currency Hedged HKD Index
Nasdaq-100 ESG Notional Net Total Return Currency Hedged HKD Index
Nasdaq-100 ESG Currency Hedged JPY Index
Nasdaq-100 ESG Total Return Currency Hedged JPY Index

AUD
CADCAD
CAD
CHF
CHF
CHF
EUR
EUR
EUR
GBP
GBP
GBP
HKD
HKD
HKD
JPY
JPY

Nasdaq-100 ESG Notional Net Total Return Currency Hedged JPY Index

JPY

Nasdaq Next Generation 100 ESG Currency Hedged AUD Index

AUD
AUD

Nasdaq Next Generation 100 ESG Total Return Currency Hedged AUD Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
AUD Index

AUD

Nasdaq Next Generation 100 ESG Currency Hedged CAD Index

CAD

Nasdaq Next Generation 100 ESG Total Return Currency Hedged CAD Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
CAD Index

CADCADNasdaq Next Generation 100 ESG Currency Hedged CHF Index

CHFNasdaq Next Generation 100 ESG Total Return Currency Hedged CHF Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
CHF Index

CHFCHF

Nasdaq Next Generation 100 ESG Currency Hedged EUR Index

EURNasdaq Next Generation 100 ESG Total Return Currency Hedged EUR Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency HedgedEUR Index

EURNasdaq Next Generation 100 ESG Currency Hedged GBP Index
Nasdaq Next Generation 100 ESG Total Return Currency Hedged GBP Index

EURGBPGBPNGXG25MHNGXG06MH
NGXG16MH
NGXG26MHNGXG07MH
NGXG17MHNGXG27MH
NQFGSLNZDMHNQFGSLTNZDMHNQFGSLNNZDMH

9|P a g e

Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
GBP Index

GBP

Nasdaq Next Generation 100 ESG Currency Hedged HKD Index

HKD

Nasdaq Next Generation 100 ESG Total Return Currency Hedged HKD Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
HKD Index

HKDHKD

Nasdaq Next Generation 100 ESG Currency Hedged JPY Index

JPYNasdaq Next Generation 100 ESG Total Return Currency Hedged JPY Index
Nasdaq Next Generation 100 ESG Notional Net Total Return Currency Hedged
JPY Index

JPY

Nasdaq Future Global Sustainability Leaders Currency Hedged NZD
Nasdaq Future Global Sustainability Leaders Currency Hedged NZD TR
Nasdaq Future Global Sustainability Leaders Currency Hedged NZD NTR

JPY

NZD
NZD
NZD