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Salt truVol™ US Large Cap Dynamic Hedge Index

Ticker:

SFTDH

calculated-by-sp

The Salt truVol™ US Large Cap Dynamic Hedge Index (the “Index”) is designed to track the return of a strategy that adjusts net exposure to a constant position in the S&P 500® (the “Underlying Index") by dynamically hedging using futures contracts in an attempt to capitalize on the inverse relationship between volatility and returns. When market volatility is high (low), the strategy will generally decrease (increase) net exposure to the Underlying Index.

The strategy uses truVol™, a proprietary model developed by Salt Financial to estimate future volatility to adjust the hedge daily. truVol™ is designed to be a more accurate and responsive forecast of volatility by using more recent, higher frequency returns.

    The custom indices published in the “Client Information” section are proprietary to the client. S&P Dow Jones Indices LLC (SPDJI) is not the “Benchmark Administrator” (as defined in the International Organization of Securities Commission Principles for Financial Benchmarks of July 2013 and ESMA/EBA Principles for Benchmark Setting Processes of June 6, 2013) for such indices and SPDJI does not assume any responsibilities of a Benchmark Administrator for such indices.

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