S&P SmallCap 600/S&P 500 150/50 0.40% Decrement Index

The S&P SmallCap 600/S&P 500 150/50 0.40% Decrement Index is designed to measure the performance of a hypothetical portfolio that takes a leveraged long position in the S&P SmallCap 600 and a short position in the S&P 500, less a fixed decrement rate of 0.40%, which is applied to the leveraged portion of the long component as well as the entire short component.

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