Index definitions

Cash alternatives/Treasury bills:
Bloomberg Barclays U.S. Treasury Bills (13 Month) Index is representative of money markets.

IA SBBI U.S. 30-Day Treasury Bill Index is a custom index designed to measure the performance of U.S. Treasury bills maturing in 0 to 30 days.

Fixed income

Bloomberg Barclays Multiverse Index provides a broad-based measure of the global fixed-income bond market. The index represents the union of the Global Aggregate Index and the Global High-Yield Index and captures investment-grade and high-yield securities in all eligible currencies. Stand-alone Indexes such as the Euro Floating-Rate ABS Index and the Chinese Aggregate Index are excluded. The Multiverse Index family includes a wide range of standard and customized subIndexes by sector, quality, maturity, and country.

Short-term fixed income taxable:

Bloomberg Barclays U.S. Aggregate 13 Year Bond Index is unmanaged and is composed of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities with maturities of one to three years.

Intermediate-term fixed income taxable:

Bloomberg Barclays U.S. Aggregate 57 Year Bond Index is unmanaged and is composed of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities with maturities of five to seven years.

Long-term fixed income taxable:

Bloomberg Barclays U.S. Aggregate 10+ Year Bond Index is unmanaged and is composed of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities with maturities of 10 years or longer.

Investment-grade fixed income taxable:

Bloomberg Barclays U.S. Aggregate Bond Index is composed of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities.

U.S. municipal bond:

Bloomberg Barclays U.S. Municipal Index is considered representative of the broad market for investment-grade, tax-exempt bonds with a maturity of at least one year.

High-yield fixed income taxable:

Bloomberg Barclays U.S. Corporate High Yield Bond Index covers the U.S.-dollar-denominated, non-investment-grade, fixed-rate, taxable corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB= or below. Included issues must have at least one year until final maturity.

ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market.

Investment-grade corporate fixed income:

Bloomberg Barclays U.S. Corporate Bond Index measures the performance of the investment-grade corporate bond market.

The Moody’s Baa Corporate Bond Index measures the yield on corporate bonds that are rated Baa.

Bloomberg Barclays Corporate Bond BAA Index is a subset of the Bloomberg Barclays U.S. Corporates Index with an index rating of Baa1, Baa2, or Baa3.

High-yield municipal fixed income:

Bloomberg Barclays U.S. Municipal High Yield Index measures the non-investment-grade and nonrated U.S.-dollar-denominated, fixed-rate, tax-exempt bond market within the 50 United States and four other qualifying regions (Washington, D.C.; Puerto Rico; Guam; and the Virgin Islands). The index allows state and local general obligation, revenue, insured, and prerefunded bonds; however, historically, the index has been comprised of mostly revenue bonds. The U.S. Municipal High Yield Index is a stand-alone index with no crossover into other Bloomberg Barclays taxable Indexes, such as the U.S. High Yield Index.

Government bonds:

IA SBBI U.S. Long-Term Government Bond Index is a custom unmanaged index designed to measure the performance of long-term U.S. government bonds, which includes U.S. Treasury and U.S. government agency bonds with maturities of seven years or longer.

Bloomberg Barclays U.S. Government/Credit Index includes investment-grade, U.S.- dollar-denominated, fixed-rate, taxable corporate- and government-related bonds.

Bloomberg Barclays U.S. Treasury 10+ Year Bond Index includes public obligations of the U.S. Treasury with a remaining maturity of 10 years or more.

Bloomberg Barclays U.S. Intermediate Treasury Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with maturities greater than or equal to 1 year and less than 10 years.

Emerging market fixed income:

J.P. Morgan EMBI Global Index (USD) is a U.S.-dollar-denominated, investible, market-cap-weighted index representing a broad universe of emerging market sovereign and quasi-sovereign debt. While products in the asset class have become more diverse, focusing on both local currency and corporate issuance, there is currently no widely accepted aggregate index reflecting the broader opportunity set available, although the asset class is evolving. By using the same index provider as the one used in the developed market bonds asset class, there is consistent categorization of countries among developed international bonds (ex-U.S.) and emerging market bonds.

J.P. Morgan Emerging Markets Global Index (local currency) is a comprehensive global local emerging market index and consists of regularly traded, liquid fixed-rate, domestic currency government bonds.

Developed market fixed income:

J.P. Morgan GBI Global ex-U.S. Index (Unhedged) in USD is an unmanaged index market representative of the total return performance in U.S. dollars on an unhedged basis of major non-U.S. bond markets.

J.P. Morgan Non-U.S. Global Government Bond Index (Hedged) is an unmanaged market index representative of the total return performance, on a hedged basis, of major non-U.S. bond markets. It is calculated in U.S. dollars.

Equities

Global equities:

MSCI All Country World Index (ACWI) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of 23 developed and 23 emerging markets.

MSCI All Country World Small Cap Index is a free-float-adjusted market-capitalization-weighted index that is designed to measure small cap performance of 23 developed and 23 emerging markets.

U.S. equities:

MSCI U.S. Equity Indexes are a domestic-only series—independent from MSCI’s Global Equity Index family—which reflect the investment opportunities in the U.S. equity markets by market-capitalization size, by value and growth investment styles, and by sectors and industries.

Small-cap equities:

Small Company Stocks: IA SBBI U.S. Small Stock Index is a custom index designed to measure the performance of small-capitalization U.S. stocks.

Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.

Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 2000® Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Mid-cap equities:

Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represents approximately 25% of the total market capitalization of the Russell 1000® Index.

Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.

Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.

Large-cap equities:

S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value.

Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.

Russell 1000® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry.

Developed market equities:

MSCI World ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of 22 developed markets excluding the United States.

MSCI EAFE Index is a free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed markets, excluding the U.S. and Canada.

The MSCI EAFE Growth Index is a free-float weighted index. The index represents the securities classified as growth securities by MSCI that are members of the MSCI EAFE Index.

The MSCI EAFE Value Index is a free-float weighted index. The index represents the securities classified as value securities by MSCI that are members of the MSCI EAFE Index.

MSCI Canada Index is a free-float‐adjusted market-capitalization-weighted index that is designed to measure the equity market performance of Canada.

MSCI Japan Index is designed to measure the performance of the large and mid cap segments of the Japanese market. With 323 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Japan.

MSCI Asia Pacific Index captures large and mid cap representation across 5 Developed Markets countries and 9 Emerging Markets. countries in the Asia Pacific region. With 1,335 constituents, the index covers approximately 85% of the free float-adjusted market. capitalization in each country.

MSCI Australia Index is designed to measure the performance of the large and mid cap segments of the Australia market. With 68 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Australia.

Nikkei 225 Index is the leading and most-respected index of Japanese stocks. It is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange. The Nikkei is equivalent to the Dow Jones Industrial Average Index in the U.S.

Hong Kong Hang Seng Index is a market-capitalization-weighted index of 40 of the largest companies that trade on the Hong Kong Exchange. The Hang Seng Index is maintained by a subsidiary of Hang Seng Bank and has been published since 1969. The index aims to capture the leadership of the Hong Kong exchange and covers approximately 65% of its total market capitalization. The Hang Seng members are also classified into one of four subIndexes based on the main lines of business, including commerce and industry, finance, utilities, and properties.

EURO STOXX 50 Index is Europe’s leading blue-chip index for the eurozone and provides a blue-chip representation of supersector leaders in the eurozone. The index covers 50 stocks from 12 eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, and Spain.

Emerging market equities:

MSCI Emerging Markets (EM) Index is a free-float-adjusted market-capitalization-weighted index designed to measure equity market performance of emerging markets.

MSCI EM ex Asia Index captures large and mid cap representation across 17 Emerging Markets countries. With 267 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country excluding Asia.

MSCI EM Latin America Index captures large and mid cap representation across 6 Emerging Markets countries in Latin America. With 108 constituents, the index covers approximately 85% of the free float-adjusted market capitalization. in each country.

MSCI EM Europe Index captures large and mid cap representation across 6 Emerging Markets countries in Europe. With 72 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI EM Asia Index captures large and mid cap representation across 9 Emerging Markets countries in Asia. With 912 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI South Africa Index is designed to measure the performance of the large and mid cap segments of the South African market. With 46 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in South Africa.

Volatility indexes:

VNKY Index: The Nikkei Stock Average Volatility Index is calculated by using prices of Nikkei 225 futures and Nikkei 225 options on the Osaka Securities Exchange. The real-time (every 15 seconds) calculation started from January 30, 2012. Final confirmation value (KAKUHOU) is 15:20 JPT.

VSTOXX Index is based on a new methodology jointly developed by Deutsche Borse and Goldman Sachs to measure volatility in the eurozone. VSTOXX is based on the EURO STOXX 50 Index options traded on Eurex. It measures implied volatility on options with a rolling 30-day expiry.

HSI Volatility Index aims to measure the 30-calendar-day expected volatility of the Hang Seng Index implicit in the prices of near-term and next-term Hang Seng Index Options, which are now trading on the Hong Kong Exchanges and Clearing Limited’s derivatives market.

VIX: The Chicago Board Options Exchange Volatility Index reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range of strikes. First- and second-month expirations are used until eight days from expiration, then the second and third are used.

Currencies

U.S. Dollar Index (USDX/DXY) measures the value of the U.S. dollar relative to majority of its most significant trading partners. This index is similar to other trade-weighted Indexes, which also use the exchange rates from the same major currencies.

J.P. Morgan Emerging Market Currency Index tracks the performance of emerging market currencies relative to the U.S. dollar.

Commodities

Bloomberg Commodity Index is calculated on an excess return basis and reflects commodity futures price movements. The index rebalances annually, weighted two-thirds by trading volume and one-third by world production, and weight-caps are applied at the commodity, sector, and group level for diversification.

Energy sector: Bloomberg Energy Subindex is a commodity group subindex of the Bloomberg Commodity Index. It is composed of futures contracts on crude oil, heating oil, unleaded gasoline, and natural gas. It reflects the return of underlying commodity futures price movements only and is quoted in USD.

Note: MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other Indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

Agriculture sector: Bloomberg Agriculture Subindex is a commodity group subindex of the Bloomberg Commodity Index. It is composed of futures contracts on coffee, corn, cotton, soybeans, soybean oil, soybean meal, sugar, and wheat. It reflects the return of underlying commodity futures price movements only and is quoted in USD.

Precious metals sector: Bloomberg Precious Metals Subindex is a commodity group subindex of the Bloomberg Commodity Index. It is composed of futures contracts on gold and silver. It reflects the return of underlying commodity futures price movements only and is quoted in USD.

Base metals sector: Bloomberg Industrial Metals Subindex is composed of futures contracts on aluminum, copper, nickel, and zinc. It reflects the return of underlying commodity futures price movements only and is quoted in USD.

The Reuters Continuous Commodity Index is an equal-weighted geometric average of commodity price levels relative to the base-year average price.

REITs

Global REITs/public real estate: FTSE EPRA/NAREIT Developed Index is designed to track the performance of listed real estate companies and REITs in developed countries worldwide.

Domestic REITs: FTSE NAREIT All Equity REITs Index is designed to track the performance of REITs representing equity interests in (as opposed to mortgages on) properties. It represents all tax-qualified REITs with more than 50% of total assets in qualifying real estate assets, other than mortgages secured by real property that also meet minimum size and liquidity criteria.

International REITs: FTSE EPRA/NAREIT Global Ex-U.S. Index is part of a range of Indexes designed to help U.S. investors benchmark their international investments. The index comprises large-, mid-, and small-cap stocks globally excluding the U.S. The index is derived from the FTSE Global Equity Index Series, which covers 98% of the world’s investible market capitalization.

Hedge funds

HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net-of-all-fees performance in U.S. Dollars and have a minimum of $50M under management or a 12-month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

HFRI Macro Index consists of investment managers that trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed-income, hard currency, and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top-down and bottom-up theses, quantitative and fundamental approaches, and long- and short-term holding periods. Although some strategies employ RV techniques, macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments rather than realization of a valuation discrepancy between securities. In a similar way, while both macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact that movements in underlying macroeconomic variables may have on security prices, as opposed to equity hedge, in which the fundamental characteristics on the company are the most significant are integral to the investment thesis.

HFRI Event Driven Index maintains positions in companies currently or prospectively involved in corporate transactions of a wide variety, including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance, and other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated and frequently involve additional derivative securities. Event driven exposure includes a combination of sensitivities to equity markets; credit markets; and idiosyncratic, company-specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure.

HFRI Relative Value Index maintains positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative, or other security types.

HFRI Equity Hedge (Total) Index consists of investment managers that maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations, and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50% (and may in some cases be substantially entirely invested) in equities, both long and short.

HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.

Wilshire Liquid Alternative Equity Hedge Index measures the performance of the equity hedge strategy component of the Wilshire Liquid Alternative Index. Equity hedge investment strategies predominantly invest in long and short equities.

Wilshire Liquid Alternative Relative Value Index measures the performance of the relative value strategy component of the Wilshire Liquid Alternative Index. Relative value strategies are focused on the valuation discrepancy in the relationships between markets or securities.

Wilshire Liquid Alternative Global Macro Index measures the performance of the global macro strategy component of the Wilshire Liquid Alternative Index. Global macro strategies predominantly invest in situations driven by the macro-economic environment across the capital structure as well as currencies and commodities.

Wilshire Liquid Alternative Event Driven Index measures the performance of the event driven strategy component of the Wilshire Liquid Alternative Index. Event driven strategies predominantly invest in companies involved in corporate transactions such as mergers, restructuring, distressed, buy backs, or other capital structure changes.

Private capital

Private equity:

Private equity: Cambridge Associates LLC U.S. Private Equity Index® – The Cambridge Associates LLC U.S. Private Equity Index® uses a horizon calculation based on data compiled from more than 1,400 institutional-quality buyout, growth equity, private equity energy, and subordinated capital funds formed between 1986 and 2017. The funds included in the index report their performance voluntarily and therefore the index may reflect a bias towards funds with records of success. Funds report unaudited quarterly data to Cambridge and Associates when calculating the index. The index is not transparent and cannot be independently verified because Cambridge Associates does not identify the funds included in the index. Because Cambridge Associates recalculates the index each time a new fund is added, the historical performance of the index is not fixed, can’t be replicated and will differ over time from the day presented. The returns shown are net of fees, expenses and carried interest. Index returns do not represent fund performance.

Private debt:

Private credit: ILPA (Institutional Limited Partners Association) Private Markets Benchmark – Private Credit Fund Index is a horizon calculation based on data compiled from 269 private credit funds (credit opportunities and subordinated capital funds), including fully liquidated partnerships, formed between 1986 and 2017. The pooled horizon return is net of fees, expenses, and carried interest. The funds in the index are exclusively those that ILPA members have invested in; the goal of the ILPA private markets benchmark effort is to create a private markets benchmark that represents the investible universe and fund performance for global, institutional investors. The benchmark is issued on a quarterly basis, approximately 140 calendar days after quarter end. All data included in the ILPA Benchmark is derived from the quarterly and annual audited financial statements that general partners produce for their limited partners. Performance statistics include rates of return (net IRR & public market equivalents) and investment multiples (DPI, RVPI and TVPI). These statistics are expressed in terms of time period (since-inception, year-to-date, etc.), quartile ranking, vintage year, geography and strategy. As the benchmark same size expands, the number of statistics, composites and types of analysis is expected to increase. Index returns do not represent fund performance.

Private real assets:

Private real estate: NCREIF Property Index is a quarterly time series composite total rate of return measure of investment performance of a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only.

Farmland: NCREIF Farmland Index is a quarterly time series composite return measure of investment performance of a large pool of individual farmland properties acquired in the private market for investment purposes only.

Timberland: NCREIF Timberland Index is a quarterly time series composite return measure of investment performance of a large pool of individual timber properties acquired in the private market for investment purposes only.

MLPs

Alerian MLP Index is the leading gauge of energy infrastructure Master Limited Partnerships (MLPs). The capped, float-adjusted, capitalization-weighted index, whose constituents earn the majority of their cash flow from midstream activities involving energy commodities, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX).

Economic Indexes

Institute for Supply Management (ISM) Manufacturing Index® is a composite index based on the diffusion Indexes of five of the Indexes with equal weights: new orders (seasonally adjusted), production (seasonally adjusted), employment (seasonally adjusted), supplier deliveries (seasonally adjusted), and inventories. An index value over 50 indicate expansion; below 50 indicates contraction. The values for the index can be between 0 and 100.

Institute for Supply Management (ISM) Non-Manufacturing Index is based on surveys of more than 400 non-manufacturing firms by the Institute for Supply Management. The ISM Non-Manufacturing Index tracks economic data.

Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. It is calculated by taking price changes for each item in the predetermined basket of goods and averaging them.

Producer Price Index (PPI) program measures the average change over time in the selling prices received by domestic producers for their output.

IA SBBI U.S. Inflation Index is a custom unmanaged index designed to track the U.S. inflation rate.

NFIB Small Business Optimism Index is the small business optimism index compiled from a survey that is conducted each month by the National Federation of Independent Business (NFIB) of its members. The index is a composite of 10 seasonally adjusted components based on questions on the following: plans to increase employment, plans to make capital outlays, plans to increase inventories, expect economy to improve, expect real sales higher, current inventory, current job openings, expected credit conditions, now a good time to expand, and earnings trend.

Consumer Confidence Index (CCI) is designed to measure consumer confidence, which is defined as the degree of optimism on the state of the economy that consumers are expressing through their activities of savings and spending. Global consumer confidence is not measured.

Housing Marketing Index (HMI): The National Association of Home Builders (NAHB) Housing Market Index (HMI) is a weighted, seasonally adjusted statistic derived from ratings for present single-family sales, single-family sales in the next six months, and buyers traffic. A rating of 50 indicates that positive responses received from builders is about the same as the number of negative responses; ratings higher than 50 indicate more positive responses.

U.S. Dollar Index (USDX/DXY) measures the value of the U.S. dollar relative to majority of its most significant trading partners. This index is similar to other trade-weighted Indexes, which also use the exchange rates from the same major currencies.

West Texas Intermediate (WTI) is a light, sweet (that is, low sulfur) crude oil and is the main type of U.S. crude oil traded in U.S. futures markets.

The IFO Germany Manufacturing Export Expectations is a composite index based on a survey of manufacturers, builders, wholesalers and retailers. The index is compiled by the Ifo Institute for Economic Research.

The National Financial Conditions Index (NFCI) is constructed to have an average value of zero and a standard deviation of one over a sample period extending back to 1973. Positive values of the NFCI indicate financial conditions that are tighter than on average, while negative values indicate financial conditions that are looser than on average.

Energy

S&P Supercomposite Energy Index measures those companies included in the S&P Composite 1500 that are classified as members of the GICS® Energy sector.

S&P Global Clean Energy Index measures the performance of global companies that represent the listed clean energy universe.

Asset allocation

60%/40% portfolio: 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index

Moderate Growth and Income Liquid (three-asset group): 2% Bloomberg Barclays U.S. Treasury Bill (1–3 Month) Index, 30% Bloomberg Barclays U.S. Aggregate Bond Index, 6% Bloomberg Barclays U.S. Corporate High Yield Bond Index, 5% JPM EMBI Global Index, 24% S&P 500 Index, 10% Russell Midcap Index, 6% Russell 2000 Index, 8% MSCI EAFE Index, 7% MSCI Emerging Markets Index, 2% Bloomberg Commodity Index.

Investment Grade Fixed Income: Bloomberg Barclays U.S. Aggregate Bond Index is composed of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities.

High Yield Fixed Income: Bloomberg Barclays U.S. Corporate High Yield Bond Index covers the U.S.-dollar-denominated, non-investment-grade, fixed-rate, taxable corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB= or below. Included issues must have at least one year until final maturity.

Cash Alternatives/Treasury bills: Bloomberg Barclays U.S. Treasury Bill (13 Month) Index is representative of money markets.

Commodities: Bloomberg Commodity Index is a broadly diversified index of commodity futures on 20 physical commodities, subdivided into energy, U.S. agriculture, livestock, precious metals, and industrial metals sectors. Commodity weights are derived in a manner that attempts to fairly represent the importance of a diversified group of commodities to the world economy.

Developed Market Ex-U.S. Fixed Income: JP Morgan Global Ex U.S. Index (JPM GBI Global Ex-U.S.) is a total return, market-capitalization-weighted index, rebalanced monthly, consisting of the following countries: Australia, Germany, Spain, Belgium, Italy, Sweden, Canada, Japan, the United Kingdom, Denmark, the Netherlands, and France.

Emerging Market Fixed Income: JPM EMBI Global Index is a U.S.-dollar-denominated, investible, market-cap-weighted index representing a broad universe of emerging market sovereign and quasi-sovereign debt. While products in the asset class have become more diverse, focusing on both local currency and corporate issuance, there is currently no widely accepted aggregate index reflecting the broader opportunity set available, although the asset class is evolving. By using the same index provider as the one used in the developed market bonds asset class, there is consistent categorization of countries among developed international bonds (ex. U.S.) and emerging market bonds.

Developed Market Ex-U.S. Equities: MSCI EAFE Index (Europe, Australasia, Far East) Index is a free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed markets, excluding the U.S. and Canada.

Emerging Market Equities: MSCI Emerging Markets Index is a free-float-adjusted market-capitalization-weighted index designed to measure equity market performance of emerging markets.

U.S. Small Cap Equities: Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.

U.S. Mid Cap Equities: Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represent approximately 25% of the total market capitalization of the Russell 1000 Index.

U.S. Large Cap Equities: S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock’s weight in the index proportionate to its market value.

Inflation-CPI: IA SBBI U.S. Inflation Index is a custom unmanaged index designed to track the U.S. inflation rate.

Hedge Funds: HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net-of-all-fees performance in U.S. Dollars and have a minimum of $50M under management or a 12-month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

While the HFRI Indexes are frequently used, they have limitations (some of which are typical of other widely used Indexes). These limitations include survivorship bias (the returns of the Indexes may not be representative of all the hedge funds in the universe because of the tendency of lower performing funds to leave the index); heterogeneity (not all hedge funds are alike or comparable to one another, and the index may not accurately reflect the performance of a described style); and limited data (many hedge funds do not report to Indexes, and, therefore, the index may omit funds, the inclusion of which might significantly affect the performance shown. The HFRI Indexes are based on information self‐reported by hedge fund managers that decide on their own, at any time, whether or not they want to provide, or continue to provide, information to HFR Asset Management, L.L.C. Results for funds that go out of business are included in the index until the date that they cease operations. Therefore, these Indexes may not be complete or accurate representations of the hedge fund universe, and may be biased in several ways. Returns of the underlying hedge funds are net of fees and are denominated in USD.

NOTE: MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other Indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

NOTE: The Moderate Growth and Income Liquid (three-asset-group) Portfolio represents a balanced portfolio. A balanced portfolio composed of a variety of asset classes typically does not exhibit the same level of volatility as an individual asset class. This helps to smooth out portfolio performance over time.