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Please feel free to contact us for any information regarding any of our indexes.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING AND MAY NOT BE IMPACTED BY BROKERAGE AND OTHER SLIPPAGE FEES. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

IDX SmallCap Quality Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX SmallCap Quality Index aims to efficiently deliver broad exposure to high quality small-cap US equities. The Index includes 100 small-cap companies.

Strategy Philosophy

The IDX SmallCap Quality Index provides equal-weight exposure to small-cap companies that demonstrate the strongest combination Quality factors. Academic research has shown that Quality is the dominant factor underlying the “Size” premium. By combining various metrics of quality, the IDX Small-Cap Quality Index seeks to deliver an enhanced small-cap premium with lower volatility and less downside than traditional small-cap indices. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

To be eligible for inclusion in the index, equities must be traded on a US exchange, have a price greater than $1 and sufficient liquidity according to IDX liquidity parameters.

Select equities that rank between 1000 and 2000 by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Filter out stocks that have the highest 20% price volatility over the trailing 2 years.
Select the top 100 stocks that rank the lowest for Volatility, Equity Beta and Short Interest.
Equal-weight. Reconstitute Quarterly.

Portfolio Construction from a Risk Management Point of View

Please provide max position size: 100%
Provide max Sector Concentration: 100%
Provide max Country Exposure: 100%
Provide max Gross Exposure: 100%
Provide max Net Exposure: 100%
Provide max Long Exposure: 100%
Provide max Short Exposure:0%

IDX MidCap Multifactor Defensive Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX MidCap Multifactor Defensive Index aims to efficiently deliver broad exposure to high quality mid-cap US equities that are expected to demonstrate low-volatility going forward. The Index includes 100 mid-cap companies.

Strategy Philosophy

The IDX MidCap Multifactor Defensive Index provides efficient exposure to mid-cap stocks that demonstrate the strongest composite volatility score. There is robust academic evidence that considering multiple dimensions of risk (rather than simply price volatility) is a potentially superior way to exploit the low-volatility anomaly. By evaluating risk through a stock’s equity market beta, option implied volatility, and traditional price volatility, the IDX MidCap Multifactor Defensive Index seeks to provide investors with exposure to defensive mid cap stocks in a more efficient, robust manner than traditional low-volatility products.

Portfolio Construction from an Investment Thesis Point of View

Eligibility for inclusion in the index is contingent upon trading on a US exchange, a share price greater than $1, and sufficient liquidity (according to IDX’s proprietary liquidity parameters). Portfolio construction rules are as follows:

Select equities that rank in between 500 and 1000 float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Select the top 100 stocks that rank the lowest for Volatility, Equity Beta and Implied Volatility.
Equal-weight. Reconstitute Semi-Annually.

Portfolio Construction from a Risk Management Point of View

IDX LargeCap Multifactor Defensive Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX LargeCap Multifactor Defensive Index aims to efficiently deliver broad exposure to high quality large-cap US equities that are expected to demonstrate low-volatility going forward. The Index includes 100 small-cap companies.

Strategy Philosophy

The IDX Large Cap Multifactor Defensive Index provides efficient exposure to large-cap stocks that demonstrate the strongest composite volatility score. There is robust academic evidence that considering multiple dimensions of risk (rather than simply price volatility) is a potentially superior way to exploit the low-volatility anomaly. By evaluating risk through a stock’s equity market beta, option implied volatility, and traditional price volatility, the IDX Large Cap Multifactor Defensive Index seeks to provide investors with exposure to defensive large cap stocks in a more efficient, robust manner than traditional low-volatility products.

Portfolio Construction from an Investment Thesis Point of View

Select equities that rank in the top 500 by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Select the top 100 stocks that rank the lowest for Volatility, Equity Beta and Implied Volatility.
Equal-weight. Reconstitute Semi-Annually.

Portfolio Construction from a Risk Management Point of View

IDX MidCap Enhanced Value Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX MidCap Enhanced Value Index aims to efficiently deliver broad exposure to high quality mid-cap Value US equities. The Index includes 100 large-cap companies.

Strategy Philosophy

The IDX Mid Cap Enhanced Value Index seeks to provide investors with exposure to large-cap value stocks in the most efficient manner possible. By selecting stocks with the strongest combination of value and quality factors investors can forego taking uncompensated risks in their mid-cap equity exposure. The strategy filters out low quality stocks by avoiding unprofitable and highly volatile equities. The remaining stocks are ranked on a multi-factor value score; the top 100 equities are chosen for the portfolio. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

Select equities that rank between 500 and 1000 by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Filter out stocks that have the highest 20% price volatility over the trailing 2 years.
Select the top 100 stocks that rank the lowest P/E, P/B and P/Sales ratios.
Equal-weight. Reconstitute annually.

Portfolio Construction from a Risk Management Point of View

IDX MidCap Enhanced Growth Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX MidCap Enhanced Growth Index aims to efficiently deliver broad exposure to high quality mid-cap Growth US equities. The Index includes 100 large-cap companies.

Strategy Philosophy

The IDX Mid Cap Enhanced Growth Index seeks to provide investors with exposure to large-cap growth stocks in the most efficient manner possible. By selecting stocks with the strongest combination of growth and quality factors investors can forego taking uncompensated risks in their mid-cap equity exposure. The strategy filters out low quality stocks by avoiding unprofitable and highly volatile equities. The remaining stocks are ranked on a multi-factor growth score; the top 100 equities are chosen for the portfolio.

Portfolio Construction from an Investment Thesis Point of View

Select equities that rank between 500 and 1000 by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Filter out stocks that have the highest 20% price volatility over the trailing 2 years.
Select the top 100 stocks that rank the highest for Earnings Growth (3yr), Sales Growth (3yr), ROE and Price Momentum.
Equal-weight. Reconstitute annually.

Portfolio Construction from a Risk Management Point of View

IDX LargeCap Enhanced Value Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX LargeCap Enhanced Value Index aims to efficiently deliver broad exposure to high quality large-cap Value US equities. The Index includes 100 large-cap companies.

Strategy Philosophy

The IDX Large Cap Enhanced Value Index seeks to provide investors with exposure to large-cap value stocks in the most efficient manner possible. By selecting stocks with the strongest combination of value and quality factors investors can forego taking uncompensated risks in their large-cap equity exposure. The strategy filters out low quality stocks by avoiding unprofitable and highly volatile equities. The remaining stocks are ranked on a multi-factor value score; the top 100 equities are chosen for the portfolio. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

Select the top 500 equities by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Filter out stocks that have the highest 20% price volatility over the trailing 2 years.
Select the top 100 stocks that rank the lowest P/E, P/B and P/Sales ratios.
Equal-weight. Reconstitute annually.

Portfolio Construction from a Risk Management Point of View

IDX LargeCap Enhanced Growth Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX LargeCap Enhanced Growth Index aims to efficiently deliver broad exposure to high quality large-cap Growth US equities. The Index includes 100 large-cap companies.

Strategy Philosophy

The IDX Large Cap Enhanced Growth Index seeks to provide investors with exposure to large-cap growth stocks in the most efficient manner possible. By selecting stocks with the strongest combination of growth and quality factors investors can forego taking uncompensated risks in their large-cap equity exposure. The strategy filters out low quality stocks by avoiding unprofitable and highly volatile equities. The remaining stocks are ranked on a multi-factor growth score; the top 100 equities are chosen for the portfolio.

Portfolio Construction from an Investment Thesis Point of View

Select equities that rank in the top 500 by float-adjusted market cap.
Filter out stocks with negative earnings in any of the previous 4 quarters.
Filter out stocks that have the highest 20% price volatility over the trailing 2 years.
Select the top 100 stocks that rank the highest for Earnings Growth (3yr), Sales Growth (3yr), ROE and Price Momentum.
Equal-weight. Reconstitute annually.

Portfolio Construction from a Risk Management Point of View

IDX Risk-Weighted International Factor Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX Risk-Weighted International Factor Index is designed to provide dynamically risk-balanced exposure to non-US equity factor ETFs. The model allocates across ETFs monthly in inverse proportion to their volatility (with those ETFs demonstrating higher relative volatility getting a lower allocation).

Strategy Philosophy

IDX utilizes a rules-based risk parity methodology to allocate across factor-based non-US ETFs with a focus on non-US developed markets. ETFs are chosen for efficient exposure to proven, robust factors and anomalies (such as Size and Low Volatility). Each ETF is weighted in inverse proportion to its volatility (defined as two-year trailing volatility) relative the other ETFs in the group. The ETF with the lowest trailing volatility will receive the largest allocation while the ETF with the highest volatility will receive the smallest allocation. Academic research and empirical evidence have shown risk-weighting to be an effective and robust tool to systematically allocate risk within a portfolio of assets with unequal risk (as defined by volatility). Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible universe will generally consist of the following 7 ETFS:

FEUZ: First Trust Eurozone AlphaDEX ETF
EUMV: iShares Edge MSCI Min Vol Europe ETF
IEUS: iShares MSCI Europe Small-Cap ETF
JPMV: iShares Edge MSCI Min Vol Japan ETF
SCJ: iShares MSCI Japan Small-Cap ETF
EFAV: iShares Edge MSCI Min Vol EAFE ETF
SCZ: iShares MSCI EAFE Small-Cap ETF

ETFs are evaluated for a number of qualitative factors when considered for eligibility (such as liquidity, cost, transparency, underlying flows, underlying methodology, duration, etc.). The universe of eligible ETFs may be updated over time in order to reflect IDX’s views on suitability.

Portfolio Construction from a Risk Management Point of View

IDX Risk-Weighted SmallCap Factor Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX Risk-Weighted SmallCap Factor Index is designed to provide dynamically risk-balanced exposure to US smallcap factor ETFs. The model allocates across ETFs monthly in inverse proportion to their volatility (with those ETFs demonstrating higher volatility getting a lower allocation).

Strategy Philosophy

IDX utilizes a rules-based risk parity methodology to allocate across factor-based non-US ETFs with a focus on non-US developed markets. ETFs are chosen for efficient exposure to proven, robust factors and anomalies (such as Value, Growth/Momentum, and Low Volatility). Each ETF is weighted in inverse proportion to its volatility (defined as two-year trailing volatility) relative the other ETFs in the group. The ETF with the lowest trailing volatility will receive the largest allocation while the ETF with the highest volatility will receive the smallest allocation. Academic research and empirical evidence have shown risk-weighting to be an effective and robust tool to systematically allocate risk within a portfolio of assets with unequal risk (as defined by volatility). Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible universe will generally consist of the following 7 ETFS:

SLY: SPDR S&P 600 Small Cap ETF
VIOG: Vanguard S&P Small-Cap 600 Growth Index Fund ETF
VIOV: Vanguard S&P Small-Cap 600 Value Index Fund ETF
XSLV: Invesco S&P SmallCap Low Volatility ETF
XSMO: Invesco S&P SmallCap Momentum ETF
FYC: First Trust Small Cap Growth AlphaDEX Fund

Portfolio Construction from a Risk Management Point of View

IDX Tactical SmallCap Index

Model Live Date: 8/1/2019

Strategy Overview

The IDX Tactical SmallCap Index seeks to provide tactical exposure to smallcap equity factor ETFs with superior risk-adjusted returns relative to long-only Smallcap benchmarks.

Strategy Philosophy

IDX’s tactical allocation approach is both rules-based and risk-focused; the framework is designed to deliver superior risk-adjusted returns with the expectation of returns comparable to a buy-and-hold portfolio with lower volatility (drawdowns). The model evaluates each ETF every month on both relative and absolute momentum over multiple time periods and allocates to the ETFs demonstrating the strongest “compound momentum” scores. When no sector ETFs are demonstrating significant momentum, the model will allocate to a short-duration fixed income ETF. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio. Full Index allocation history and methodology available upon request. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of the following ETFs as well as a short-duration fixed income ETF:

SLY: SPDR S&P 600 Small Cap ETF
VIOG: Vanguard S&P Small-Cap 600 Growth Index Fund ETF
VIOV: Vanguard S&P Small-Cap 600 Value Index Fund ETF
XSLV: Invesco S&P SmallCap Low Volatility ETF
XSMO: Invesco S&P SmallCap Momentum ETF
FYC: First Trust Small Cap Growth AlphaDEX Fund

Portfolio Construction from a Risk Management Point of View

IDX Tactical Equity Factor Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Tactical Equity Factor Index seeks to provide diversified exposure to equity factors with superior risk-adjusted returns relative to long-only US equity benchmarks. The model dynamically evaluates and allocates across the equity factor landscape, including: Value, Growth, Momentum, Size and Defensive. Exposure is achieved using exchange-traded funds (ETFs) and is rebalanced monthly.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient and diversified exposure to equity factors with less risk and lower drawdowns than traditional buy-and-hold portfolios. Equity Factor ETFs are evaluated each month to assess both relative and absolute momentum over multiple time periods and the model proportionately allocates to those ETFs demonstrating the strongest “compound momentum” scores. Depending on the strength (or weakness) of the underlying ETFs’ momentum scores, the total portfolio allocation to equity factor ETFs can be less than 100%. In this case, the model will allocate to a short-duration fixed income ETF. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of between 12 to 15 ETFs that provide efficient access to the following equity factors:

Each month, each ETF is evaluated relative to the other ETFs as well as itself over the trailing 3, 6 and 12-month periods. The ETFs with the strongest composite scores are held during the month. If the amount allocated to the equity factor ETFs is less than 100%, the balance is held in a short-duration fixed income ETF. The index will hold 6-8 ETFs, on average, in a given month.

Portfolio Construction from a Risk Management Point of View

IDX Tactical Sector Equity Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Tactical Sector Equity Index seeks to provide tactical exposure to the S&P sectors with superior risk-adjusted returns relative to long-only US equity benchmarks. The model dynamically evaluates and allocates across the S&P Sector ETFs and is rebalanced monthly.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient upside participation with less risk and lower drawdowns than traditional buy-and-hold portfolios. ETFs are evaluated each month to assess both relative and absolute momentum over multiple time periods and allocates to those ETFs demonstrating the strongest “compound momentum” scores. When no sector ETFs are demonstrating significant momentum, the model will allocate to a short-duration fixed income ETF. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of the SPDR sector ETFs and a short-duration fixed income ETF:

XLC: Communication Services Select SPDR ETF
XLY: Consumer Discretionary Select Sector SPDR ETF
XLP: Consumer Staples Select Sector SPDR ETF
XLE: Energy Select Sector SPDR ETF
XLF: Financial Select Sector SPDR ETF
XLV: Health Care Select Sector SPDR ETF
XLI: Industrial Select Sector SPDR ETF
XLB: Materials Select Sector SPDR ETF
XLRE: Real Estate Select Sector SPDR ETF
XLK: Technology Select Sector SPDR ETF
XLU: Utilities Select Sector SPDR ETF
SHY: iShares 1-3 Year Treasury Bond ETF
ISTB: iShares Core 1-5 Year USD Bond ETF

Each month, each S&P sector ETF is evaluated relative to the other ETFs as well as itself over the trailing 3, 6 and 12-month periods. The ETFs with the strongest composite scores are held during the month. If the amount allocated to the S&P sector ETFs is less than 100%, the balance is held in a short-duration fixed income ETF. The index will hold 6-8 ETFs, on average, in a given month.

Portfolio Construction from a Risk Management Point of View

IDX Tactical Risk-On Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Tactical Risk-On Index seeks to provide opportunistic exposure to higher-beta equity sectors and risk-factors with superior draw-down control and better risk-adjusted returns relative to long-only US equity benchmarks. The model seeks to allocate to higher-beta exposures during “risk-on” environments while allocating to cash or low-volatility exposures during “risk-off” environments.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient and diversified exposure to “risk-on” equity ETFs with less risk and lower drawdowns than traditional buy-and-hold portfolios. Each month, the “risk-on” ETFs are evaluated to assess both their relative and absolute momentum over multiple time periods. Depending on each ETF’s compound momentum score, a proportionate allocation is made (ETFs with stronger scores get larger allocations). The total allocation to “risk-on” ETFs can range anywhere from 0% to 100% (the model uses no leverage but allocates to levered ETFs). When the total allocation to “risk-on” ETFs is less than 100%, the model will allocate to a “risk-off” portfolio which consists of an equal combination of low-volatility ETFs and short-duration fixed income ETFs. During historical periods when low-volatility ETFs did not exist (pre-2011), the model assumes the “risk-off” portfolio is entirely comprised of short-duration fixed income ETFs (during parts of 2008, for example). Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio. Full Index allocation history and methodology available upon request.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of 10-15 “Risk-On” ETFs (that provide exposure to higher beta equity factors or sectors as well as levered equity ETFs), and 2-5 “Risk-Off” ETFs (that provide exposure to short-duration fixed income and low-volatility ETFs):

Risk-On ETFs

RPG: Invesco S&P 500 Pure Growth ETF
RFG: Invesco S&P MidCap 400 Pure Growth ETF
MTUM: iShares Edge MSCI USA Momentum Factor ETF
VIOG: Vanguard S&P Small-Cap 600 Growth Index Fund ETF
XLY: Consumer Discretionary Select Sector SPDR Fund
IYH: iShares U.S. Healthcare ETF
IYW: iShares U.S. Technology ETF
XBI: SPDR S&P Biotech ETF
SPHB: Invesco S&P 500 High Beta ETF
QLD: ProShares Ultra QQQ
SSO: ProShares Ultra S&P500
SAA: ProShares Ultra SmallCap600

Risk-Off ETFs

SPLV: Invesco S&P 500 Low Volatility ETF
XMLV: Invesco S&P MidCap Low Volatility ETF
XSLV: Invesco S&P SmallCap Low Volatility ETF
SHY: iShares 1-3 Year Treasury Bond ETF
ISTB: iShares Core 1-5 Year USD Bond ETF

The index will hold 6-12 ETFs, on average, in a given month.

Portfolio Construction from a Risk Management Point of View

IDX Commodity Momentum Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Commodity Momentum Index seeks to provide exposure to the commodities landscape with superior risk-adjusted returns and lower duration relative to long-only commodity benchmarks. The model dynamically evaluates and allocates 100% exposure across the Barclays sub-sector commodity ETNs and is rebalanced monthly.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient upside participation with less risk and lower drawdowns than traditional buy-and-hold portfolios. ETNs are evaluated each month to assess relative momentum over multiple time periods and allocates to those ETNs demonstrating the strongest relative momentum over all timeframes. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of the 7 Barclays Commodity sub-sector ETNs:

iPath Bloomberg Agriculture Subindex Total Return ETN
iPath Bloomberg Grains Subindex Total Return ETN
iPath Bloomberg Industrial Metals Subindex Total Return
iPath Bloomberg Livestock Subindex Total Return ETN
iPath Bloomberg Precious Metals Subindex Total Return
iPath Bloomberg Energy Subindex Total Return ETN
iPath Bloomberg Softs Subindex Total Return ETN

ETNs are evaluated for a number of qualitative factors when considered for eligibility (such as liquidity, cost, transparency, underlying flows, underlying methodology, duration, etc.). The universe of eligible ETNs may be updated over time in order to reflect IDX’s views on suitability.

Each month, each ETN is evaluated relative to the other ETNs as well as itself over the trailing 3, 6 and 12-month periods. The ETNs with the strongest relative momentum scores receive proportionally higher allocations. 100% of the portfolio is allocated to the 7 commodity sub-sector ETNs each month.

IDX Strategic Commodity Beta Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Strategic Commodity Beta Index seeks to provide strategic upside exposure to broad commodity beta with superior risk-adjusted returns and lower duration relative to long-only commodity benchmarks. The model allocates between 0% and 100% to the iPath Pure Beta Broad Commodity ETN (BCM) based on the collective momentum of the commodity sub-sectors and allocates the remaining amount to the iShares Core U.S. Aggregate Bond ETF (AGG). The model is rebalanced monthly.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient upside participation with less risk and lower drawdowns than traditional buy-and-hold portfolios. ETPs are evaluated each month to assess both relative and absolute momentum over multiple time periods and allocates to those ETPs demonstrating the strongest “compound momentum” scores. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe consists of the following ETPs:

iPath Pure Beta Broad Commodity ETN
iShares Core U.S. Aggregate Bond ETF

ETPs are evaluated for a number of qualitative factors when considered for eligibility (such as liquidity, cost, transparency, underlying flows, underlying methodology, duration, etc.). The universe of eligible ETPs may be updated over time in order to reflect IDX’s views on suitability.

Each month, the momentum model evaluates the 7 Barclays commodity sub-sector ETNs over the trailing 3, 6 and 12-month periods to determine the total allocation to be allocated to commodities (from 0% to 100%). This determines the allocation to the iPath Pure Beta Broad Commodity ETN with the remaining balance allocated to the iShares Core U.S. Aggregate Bond ETF. 100% is always allocated to some combination of these two ETPs.

Prior to inception of the iPath Pure Beta Broad Commodity ETN in May 2011, the index uses the iPath Pure Beta Broad Commodity index returns which have been adjusted downward to reflect estimated implementation costs.

IDX Tactical Long/Flat Commodity Index

Model Live Date: 5/1/2019

Strategy Overview

The IDX Tactical Long-Flat Commodity Index seeks to provide tactical exposure to the commodities landscape with superior risk-adjusted returns and lower duration relative to long-only commodity benchmarks. The model dynamically evaluates and allocates across the Barclays sub-sector commodity ETNs and is rebalanced monthly.

Strategy Philosophy

IDX’s tactical allocation approach is built upon a rules-based and risk-focused framework that is designed to provide efficient upside participation with less risk and lower drawdowns than traditional buy-and-hold portfolios. ETNs are evaluated each month to assess both relative and absolute momentum over multiple time periods and allocates to those ETNs demonstrating the strongest “compound momentum” scores. Both academic research and empirical evidence have shown momentum to be an effective and robust tool to systematically allocate risk within a portfolio.

Portfolio Construction from an Investment Thesis Point of View

The eligible investment universe will generally consist of the 7 Barclays Commodity sub-sector ETNs as well as a short-term treasury ETF (the “risk-off” position):

iPath Bloomberg Agriculture Subindex Total Return ETN
iPath Bloomberg Grains Subindex Total Return ETN
iPath Bloomberg Industrial Metals Subindex Total Return
iPath Bloomberg Livestock Subindex Total Return ETN
iPath Bloomberg Precious Metals Subindex Total Return
iPath Bloomberg Energy Subindex Total Return ETN
iPath Bloomberg Softs Subindex Total Return ETN
iShares 1-3 Year Treasury Bond ETF

Each month, each ETN is evaluated relative to the other ETNs as well as itself over the trailing 3, 6 and 12-month periods. The ETNs with the strongest composite scores are held during the month. The model will allocate between 0% and 100% to the commodity sector ETNs with the remaining balance being allocated to the iShares 1-3 Year Treasury Bond ETF.

Model does not incorporate iPath Bloomberg Energy Subindex Total Return ETN prior to Nov-2007 and iPath Bloomberg Softs Subindex Total Return ETN prior to July-2008.

IDX Crypto Opportunity Index

Model Live Date: 7/1/2019 Please visit www.idxinsights.com/COIN for more information Strategy Overview The IDX Crypto Opportunity index (COIN) seeks to provide tactical upside participation to the Grayscale Bitcoin Trust (GBTC) while limiting drawdowns and downside volatility. Please contact IDX Insights before allocating to the Index. Strategy Philosophy The objective of the strategy is to opportunistically deploy risk capital when the risk-return profile of bitcoin is favorable; likewise, the strategy seeks to preserve capital when the risk/reward profile is unfavorable through an allocation to a basket of fixed income ETFs. The strategy seeks to tactically manage exposure to bitcoin with the goal of attractive risk-adjusted returns relative to a long-only position in bitcoin over time. Price changes determine when short-term momentum is positive and accelerating. Long bitcoin allocations are expressed using the Grayscale Bitcoin Trust (GBTC); and long fixed income allocations are expressed using a basket of fixed income ETFs. Portfolio Construction from an Investment Thesis Point of View Price momentum and the change in price momentum are evaluated over the trailing 10 to 30-day periods. This data is combined into two indicators that evaluate whether price momentum is:

positive or negative
increasing or decreasing

Momentum is calculated using the BTC/USD rate from top cryptocurrency exchanges (generally Binance and/or Coinbase) and is calculated over a 24 hour period, 7 days a week. A 100% long allocation in GBTC is established when momentum is both positive and increasing; otherwise, capital is allocated to a diversified portfolio of fixed income ETFs (via the IDX Tactical Fixed Income Index). The index has historically made approximately 10 or fewer trades per calendar year.

IDX Defensive ADR (75) Index

Objective:

The IDX Defensive ADR Index seeks to provide exposure to the “low-volatility” effect within the ADR universe.

Universe

Eligibility criteria includes the following:

Must be an American Depository Receipt (ADR) listed on a US-exchange.
May be Sponsored or Un-sponsored ADR.
Must meet basic underlying size and liquidity parameters.
Will generally consist of between 90-120 ADRs.

Ranking

For each ADR in the universe, price volatility is calculated over the trailing 2 years and ranked from best (lowest volatility) to worst. The 75 ADRs with the lowest volatility are selected for the index. ADRs are equal-weighted.

Reconstitution

The index is reconstituted annually on December 31^st.

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