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7 May 2015

Update of the QLAB Asset Allocation Index (QAA) and QLAB Dynamic Allocation Index (QDA)

As investment products tracking the QLAB Asset Allocation Index and the QLAB Dynamic Allocation Index use S&P futures to take exposure to equity sectors, we have taken the decision to replace the proxies used in the index calculation from DataStream US Sector Indices to CME-S&P E-MINI US Sector Indices.

The result of this action is a reduction in the tracking error of products replicating the indices. The replacement proxies are based on price changes in nearby S&P US Sector future contracts, corresponding precisely with replication guidelines. The update will affect the index histories from January 2015 onwards, effective as of 06/05/2015.

This change has no effect on performance of any products tracking the indices and there are no changes to any parts of the signalling or risk management methodologies.

Although the replacement may have short term effects on aggregate index performance, we do not anticipate any meaningful difference over a longer term horizon, as shown by the tables and graphs below.

Effect YTD on index returns as of 06/05/2015

1 Performance after proxy replacement   |  2 Performance prior to proxy replacement

Effect on annualised index returns if the replacement was made as of 31/03/20111

1 Maximum available window

Tracking error analysis from 31/03/2011

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DISCLAIMER: This document does not constitute an offer, a solicitation, an advice or a recommendation to purchase or sell any investment products associated with the material described herein. The purpose of this document is to describe the principles, research and ideas behind the QLAB Invest strategy indices. Prior to an investment in any product tracking a strategy index, you should make your own appraisal of the investment risks as well as from a legal, tax and accounting perspective, without relying exclusively on the information provided by QLAB Invest. Investment products tracking the indices must be issued or/and marketed by a regulated company. This document is strictly for informative purpose. The single source of the underlying asset data is Thomson Reuters Datastream and QLAB Invest cannot guarantee the correctness of the underlying asset data and cannot be held legally responsible in this regard. Any references made to historical performance up to the official live inception do not reflect actual live performance and can be subject to selection, curve fitting and other statistical biases. Performance in investment products linked to the indices may be reduced by the effect of commissions, fees or other charges in excess of those already factored into the index calculations. The level of the indices will fluctuate due to the volatility of the underlying exposures and past performance or volatility is not necessarily indicative of future results.