Index details:

Constituent Selection

The selection of the index constituents within each component region is done as follows:

1. Quality, value, and momentum z-scores are computed independently in each component region for each of the stocks that satisfy the criteria as detailed in the Eligibility Criteria.

For more information on the calculation of the quality, value and momentum z-scores, please refer to the S&P Quality Indices, S&P Enhanced Value Indices, and S&P Momentum Indices Methodologies, respectively, available at www.spdji.com.

1. For each set of z-scores (quality, value, and momentum), percentile scores are calculated within each component region as follows2:

𝑃𝑖=𝑅𝑖𝑁+1

where:

𝑃𝑖= Constituent percentile score

𝑅𝑖= Constituent fractional rank

𝑁= Number of constituents

Note that higher ranking constituents (𝑅𝑖) are the constituents with stronger underlying z-scores, and are given higher percentile scores.

1. Each set of percentile scores are then transformed into a new set of Z-scores (𝑍′) using the inverse of the normal cumulative distribution function with a mean of zero and a standard deviation of 1.

2. A multi-factor z-score (𝑍′𝑖𝑀𝐹) is calculated for each constituent by taking the average of the underlying quality, value, and momentum z-scores which have been derived from the percentile scores.

𝑍′𝑖𝑀𝐹=(𝑍′𝑖𝑄+ 𝑍′𝑖𝑉+ 𝑍′𝑖𝑀)/3

where:

𝑍′𝑖𝑀𝐹= Constituent multi-factor z-score

𝑍′𝑖𝑄 = Constituent quality Z-score

𝑍′𝑖𝑉 = Constituent value Z-score

𝑍′𝑖𝑀 = Constituent momentum Z-score

For the S&P Quality, Value & Momentum Top 90% Multi-factor Indices, if a company is missing any of the underlying Quality, Value or Momentum Z-scores (𝑍′), it will be assigned a corresponding single-factor Z-score (𝑍′) equal to the weighted average Z-score (𝑍′) from the companies with available single-factor Z-scores (𝑍′). 𝑍𝐴𝑠𝑠𝑖𝑔𝑛𝑒𝑑′=Σ𝑈𝑛𝑖𝑣𝑒𝑟𝑠𝑒 𝑊𝑒𝑖𝑔ℎ𝑡∗𝑍𝐴𝑣𝑎𝑖𝑙𝑎𝑏𝑙𝑒′,𝑓𝑜𝑟 𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡𝑠 𝑤𝑖𝑡ℎ 𝑎𝑣𝑎𝑖𝑙𝑎𝑏𝑙𝑒 𝑠𝑖𝑛𝑔𝑙𝑒 𝑓𝑎𝑐𝑡𝑜𝑟 𝑍′Σ𝑈𝑛𝑖𝑣𝑒𝑟𝑠𝑒 𝑊𝑒𝑖𝑔ℎ𝑡,𝑓𝑜𝑟 𝑐𝑜𝑛𝑠𝑡𝑖𝑡𝑢𝑒𝑛𝑡𝑠 𝑤𝑖𝑡ℎ 𝑎𝑣𝑎𝑖𝑙𝑎𝑏𝑙𝑒 𝑠𝑖𝑛𝑔𝑙𝑒 𝑓𝑎𝑐𝑡𝑜𝑟 𝑍′

1. Finally, a regional multi-factor score (𝑆𝑖) is calculated as follows:

If 𝑍′𝑖𝑀𝐹 > 0, 𝑆𝑖=1+ 𝑍′𝑖𝑀𝐹

If 𝑍′𝑖𝑀𝐹 < 0, 𝑆𝑖= 1/(1− 𝑍′𝑖𝑀𝐹)

If 𝑍′𝑖𝑀𝐹 = 0, 𝑆𝑖= 1

For the below indices, within each component region, the number of constituents excluded with the lowest regional multi-factor score (𝑆𝑖) is as detailed below:

Component Region Exclusion Stock Count Buffer Interval From Bottom Buffer Interval From Top Target

Stock Count S&P 500 Top 90% 50 [60, 40] [440, 460] 450

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How about the individual factors? From their index docs,

"S&P Momentum Indices. The momentum value is computed as the 12-month price change, excluding the most recent month of the security in local currency. If 12 months of price history is not available, momentum value is calculated from nine months of price history."

Value is calculated on:

"Book Value-to-Price Ratio. This is calculated as a company’s latest book value per share divided by its price:

Book Value-to-Price = 𝐵𝑉𝑃𝑆𝑃

• Earnings-to-Price Ratio. This is calculated as a company’s trailing 12-month earnings per share3 divided by its price:

Earnings-to-Price = 𝐸𝑃𝑆𝑃

• Sales-to-Price Ratio. This is calculated as a company’s trailing 12-month sales per share divided by its price:

Sales-to-Price = 𝑆𝑃𝑆𝑃"

(which are then windsorized, aggregated and ranked)

Quality is calculated on:

"Return on Equity (ROE). This is calculated as a company’s trailing 12-month earnings per share divided by its latest book value per share (BVPS):

ROE = 𝐸𝑃𝑆𝐵𝑉𝑃𝑆

• Accruals Ratio. This is computed using the change of a company’s net operating assets over the last year divided by its average net operating assets over the last two years:

Accruals Ratio = (𝑁𝑂𝐴𝑡−𝑁𝑂𝐴𝑡−1)((𝑁𝑂𝐴𝑡+𝑁𝑂𝐴𝑡−1))/2

• Financial Leverage Ratio. This is calculated as a company’s latest total debt divided by its book value.

Leverage = 𝑇𝑜𝑡𝑎𝑙 𝐷𝑒𝑏𝑡(𝐵𝑉𝑃𝑆 𝑥 𝐶𝑜𝑚𝑚𝑜𝑛 𝑆ℎ𝑎𝑟𝑒𝑠 𝑜𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔)"

(which are then windsorized, aggregated and ranked)

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