National Defense 7 ER Index

The Motif Capital National Defense 7 ER Index (the “Index”):

  • Provides exposure to stocks of certain companies concentrated in the aerospace and defense, construction and engineering, construction machinery and heavy trucks, IT consulting and other services, electronic equipment and 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)
    • 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:
    • 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 June 29th, 2018

Company NameSegmentsTicker
Money Market PositionNot Applicable
Boeing CoAircrafts & ComponentsBA
Raytheon Diversified ContractorsRTN
Northrop Grumman CorpDiversified ContractorsNOC
Lockheed Martin CorpDiversified ContractorsLMT
General DynamicsDiversified ContractorsGD
United Technologies CorpAircrafts & ComponentsUTX
Harris CorpCommunicationsHRS
L3 Technologies IncCommunicationsLLL
Huntington Ingalls IndustriesShips and SubmarinesHII

An investment in the companies identified by the National Defense theme or in financial products linked to such theme should only be made after a review of such companies or products, including a review of the risks associated with such companies or products.

Index Return

National Defense 7 ER Index

Base Date: June 1, 2016, return data prior to June 1, 2016 for the Index is based on hypothetical performance data derived using the Index rules as of June 1, 2016, but applied retroactively using historical stock and money market position levels. You should not take the hypothetical return data of the Index as an indication of the future performance of the Index. Past performance is no guarantee of future results and may be lower or higher than current performance. Investing in financial products involves risks to be considered prior to making any investment decision. An investment in a financial product linked to the Index should only be made after a review of companies included in the Index and such financial product linked to the Index, including a review of the risks associated with such companies or product. Past performance is no guarantee of future results.

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