The S&P Latin America 40 Dynamic Rebalancing Risk Control Index is designed to respond to the volatility of the S&P Latin America 40 Index. The S&P Latin America 40 Index is an index of 40 stocks drawn from four major Latin American markets: Brazil, Chile, Mexico and Peru. The constituents are leading, large, liquid, blue chip companies from the Latin American markets, capturing 70% of the total market capitalization of each of their respective Latin American markets. The Index is composed of equity securities of the S&P Latin America 40
Index (the “Stock Component”) and fixed income securities, including U.S. Treasury Bills (the “Cash Component”). The Index responds to volatility by establishing a specific volatility target that adjusts the Index’s components among an allocation to the Stock Component and the Cash Component based upon realized exponentially-weighted historical volatility of the S&P Latin America 40 Index. The exponentially-weighted historical volatility calculation weights the more recent historical periods more heavily than older periods. As
these volatility targets are met, the Index may be rebalanced as frequently as daily.
