S&P 500/S&P SmallCap 600 130/30 0.30% Decrement Index

The S&P 500/S&P SmallCap 600 130/30 0.30% Decrement Index is designed to measure the performance of a hypothetical portfolio that takes a leveraged long position in the S&P 500 and a short position in the S&P SmallCap 600, less a fixed decrement rate of 0.30%, which is applied to the leveraged portion of the long component as well as the entire short component.

• Dow Jones U.S. Thematic Market Neutral Momentum Index
• Dow Jones U.S. Thematic Market Neutral Value Index
• Dow Jones U.S. Thematic Market Neutral Size Index
• Dow Jones U.S. Thematic Market Neutral Quality Index
• S&P SmallCap 600/S&P 500 130/30 Index