Please find below the Jul 2015 long/short positioning of the Index sectors. Generally, each sector is set long, short, or flat on a monthly basis. For softs, each component is set long or short on an individual basis, rather than a sector basis. Please see the prospectus for additional information on the long/short positioning of the Index sectors.
* This represents the sector (or in the case of softs, component) weighting as of the Jul 2015 rebalancing. Weights will fluctuate between monthly rebalancing.
As of Jan-2008
Source: Standard & Poor's
Index Returns indicates percentage change in the index level expressed as a percentage from the beginning of the relevant period to the end of the relevant period. Index Returns are for illustrative purposes only and do not represent actual ELEMENTS performance. Index Returns do not reflect any fees which would reduce an investor's actual return. Indices are not managed and one cannot invest directly in an index.
ELEMENTS Returns indicate the change in last reported prices at or shortly after 4:00 pm Eastern time expressed as a percentage from the beginning of the relevant period to the end of the relevant period and do not represent the returns an investor would receive if an investor traded at other times. Market Returns do not account for brokerage commissions which will reduce actual returns.
ELEMENTS Indicative Values Returns indicate the change in last reported indicative values at or shortly after 4:00 pm Eastern time expressed as a percentage from the beginning of the relevant period to the end of the relevant period.
Daily Repurchase Value
Daily Repurchase Value will equal the principal amount of ELEMENTS times the Index Factor on the relevant valuation date times the Fee Factor on the relevant valuation date.
The fee factor is equal to one minus the product of (i) the annual investor fee and (ii) the number of days elapsed from the inception date to and including the applicable valuation date divided by 365. The annual investor fee is equal to 0.75%.
The index factor on any given day, other than the final valuation date, will be equal to the closing level of the index on the day divided by the initial index level. The index factor on the final valuation date will equal the average of the closing levels of the index for the five trading days prior to and including the final valuation date divided by the initial index level. The initial index level is the closing level of the index on the inception date.