The Motif Capital National Defense 7 ER Index (the “Index”):
· Provides exposure to stocks of certain companies concentrated in the aerospace & defense, construction & engineering, construction machinery & heavy trucks, IT consulting & other services, electronic equipment & instruments and communications equipment sub-industries that may benefit from increased defense-related spending by the United States and foreign governments.
· Is calculated on an excess return basis by measuring the extent to which (a) the stocks and any money market position outperform (b) 3-month USD LIBOR plus 0.75% per annum (accruing daily)
o The money market position reflects the returns accruing on a hypothetical cash investment in a notional money market account denominated in U.S. dollars that accrues interest at the notional interest rate, which is equal to 3-month USD LIBOR.
· Applies a daily volatility control:
o Volatility cap: 7%. It is measured on a daily basis by calculating the realized volatility of the stocks for a 20 index business day look back period. The Index is rebalanced by ratably reallocating all or a portion of the exposure to the stocks in the Index to the money market position sufficient to reduce the realized volatility for such period to the volatility cap.
TOP CONSTITUENTS AS OF 28 FEBRUARY, 2017
|Company Name||Segment Name||Ticker|
|Money Market Position||Not Applicable|
|General Dynamics Corporation||Diversified||GD|
|Boeing Co||Aircrafts and Components||BA|
|Northrop Grumman Corporation||Diversified||NOC|
|Lockheed Martin Corporation||Diversified||LMT|
|United Technologies Corporation||Aircrafts and Components||UTX|
|L-3 Communications Holdings Inc||Communications||LLL|
|Huntington Ingalls Industries Inc||Ships and Submarines||HII|