HFRI-I Liquid Alternative UCITS Index Methodology

Funds eligible to be HFRI-I Liquid Alternative UCITS Index constituents must meet the following criteria:

• Confirmed to be UCITS compliant
• Performance reported net of all fees in USD or hedged to USD
• Reports NAV on a daily basis
• Provides daily redemption liquidity
• Minimum 6 months of track record
• Have at least USD $30 Million assets under management
• Open to new investment

Notes:

• The HFRI-I Liquid Alternative UCITS Indices are equally weighted across the selected funds and rebalanced on a quarterly basis.
• Index performance is denominated in USD.
• The HFRI-I Liquid Alternative UCITS Index is updated daily on a T+1 basis. Index NAV is not published for days which are non-dealing days.
• Duplicate share classes of funds are not considered as Index constituents

Effective February 22, 2019, HFRI-I Index methodology was refined, resulting in material changes to the index constituency. Consequently, the historical performance series of the indices was re-calculated and republished to reflect these changes.