The S-Network Large-Cap Sharpe Ratio Index (SHRPX) Official Rule - PDF document

December 2018 The S-Network Large-Cap Sharpe Ratio Index (SHRPX) Official Rule Book I. General Description SHRPX is a portfolio of stocks derived from the S&P 500 Index. The SHRPX methodology selects the five stocks in each of the ten GICS sectors that make up the S&P 500 which have the highest Sharpe Ratio as of the last business day of the second month of each calendar quarter. The fifty stocks that are selected for inclusion in the portfolio are equally weighted. The S&P 500 is the leading benchmark index for the large cap component of the US stock market. It has been published continuously since 1957 and is float-adjusted capitalization weighted. The S&P 500 provides the universe of stocks for SHRPX. SHRPX divides into ten GICS sectors (“the sectors”):   Energy, Health Care   Materials, Financials,   Industrials, Information Technology,   Consumer Discretionary, Communication Services, and   Consumer Staples, Utilities. The selection criteria for the S&P 500 include requirements for sector inclusion, primary exchange listing, minimum market capitalization, minimum average daily trading volume, and other factors. All constituents of SHRPX must be constituents of the S&P 500. SHRPX excludes REITs. Individual securities to be included in SHRPX are selected based on a ranking system within each sector that selects the five stocks in each sector with the highest the highest Sharpe Ratio as of the last business day of the second month of each calendar quarter. Sharpe Ratio is computed based on the 3 month average stock outperformance of the risk free rate divided by the 3 month daily standard deviation of the stock price. (Dividends are not included). All stocks selected for inclusion in SHRPX are then equally weighted. II. The Index Committee S-Network Sharpe Ratio Index (SHRPX) | 1

December 2018 The S-Network SHRPX Index Committee (“The Committee”) will be composed of not less than three members. The Committee Chairman will have extensive experience with and expertise in US equity markets. The other members will have experience in financial markets, indexes and/or financial products. The Committee will be responsible for overseeing the activities of the calculation agent and approving all changes to the index related to its annual reconstitution and quarterly rebalancings. The primary function of the Index Committee is to make sure the index rules are implemented correctly and in full. The Committee meets quarterly, either in person or via teleconference, to discuss index issues and organize the annual reconstitution and quarterly rebalancings. The composition of the Committee may from time to time be changed to reflect changes in market conditions. All members of the index committee and their advisors shall comply with the S-Network Global Indexes code of conduct and ethics with respect to the disclosure and use of material nonpublic information. III. Index Value at Inception The S-Network Large Cap Sharpe Ratio Index Index (Ticker: SHRPX) had a value at inception of 1000, on its inception date of December 31, 1999. SHRPX is calculated on both a Price Only and on a Total Return basis. IV. SHRPX Eligibility Criteria and Weighting. Only stocks that are current constituents of the S&P 500 as of the last trading day of the second month of each calendar quarter (“the snapshot date”) are eli gible for inclusion in the index. The five stocks in each of the ten GICS sectors with the highest Sharpe Ratio as of the last trading day of month prior to the rebalancing month are selected for inclusion. GICS sector classifications are updated quarterly as of the last trading day of month prior to the rebalancing month. All stocks selected for inclusion in SHRPX are equally weighted. Share weights will be based on prices as of the close of trading on the second Friday of the rebalancing month (“The Re cord Date”). If there are less than 5 eligible securities represented in any GICS sector as of the snapshot date the index will include only those securities which qualify. All constituents are equally weighted as of the record date. S-Network Sharpe Ratio Index (SHRPX) | 2

December 2018 V. Rules for Reconstitutions, Rebalances, and Index Changes The SHRPX is calculated by S- Network Global Indexes. (“The Calculation Agent”). The Calculation Agent is also responsible for index maintenance and price dissemination. The calculation, maintenance and dissemination rules are as follows: Index Changes. The SHRPX Index is rebalanced quarterly on the third Friday of the last month of each calendar quarter. Index changes take place at each rebalancing date (the third Friday of the last month of each calendar quarter), except in the event of certain corporate actions, such as mergers, acquisitions, and delistings. In such cases, the change is applied on the effective date of the action, unless otherwise determined by the Index Committee. Share increases and decreases are reflected on the rebalancing date. Whenever possible, changes will be announced at least two business days prior to their implementation. Index Reconstitutions. The SHRPX Index is reconstituted quarterly on the third Friday of last month of each calendar quarter. Additions and Deletions. Additions and Deletions to the Indexes are made 1) at the close of trading on the quarterly reconstitution date (third Friday of the last month of each calendar quarter) and 2) in the event of the deletion of a constituent stock due to a corporate action. When a stock is deleted, a replacement will be added on the next rebalancing date. Deletions are made at any time, in the event a stock is liquidated, de-listed, files for bankruptcy, is acquired, or merges with another stock. Upon deletion, the weight of the removed stock is reallocated proportionately to the remaining constituents. Additions are made only upon the effective date of the quarterly rebalancing. If a stock is deleted from the S&P 500, the stock will be deleted from SHRPX on the date of the next rebalancing, provided the stock remains a constituent of the S&P 1500. If a stock is deleted from the S&P 500 and does not remain a constituent of the S&P 1500, the stock will be deleted from SHRPX immediate and the weight of the removed stock will be reallocated proportionately to the remaining constituents. If a stock is deleted from the S&P 500 after the snapshot date for additions and deletions pursuant to quarterly rebalancings but before the rebalancing date, the stock will be deleted from the index and a replacement stock will be chosen. VI. Roles of Parties in the Quarterly Reconstitution. i) The Calculation Agent will screen the constituents of the S&P 500 to identify the five stocks in each sector with the highest Sharpe ratio based on closing prices and values as of the close of trading the snapshot date. ii) On the first Friday of reconstitution month, the Calculation Agent shall provide the Committee, or its designee, with a list of constituents for the SHRPX. If the first Friday is the first of the month the calculation agent will provide the committee, or its designee, with a list of constituents for the SHRPX on the following Monday. S-Network Sharpe Ratio Index (SHRPX) | 3