Description of indices used

MSCI DM World Index (Net/Local Currency)

The MSCI DM World Index (Net/Local Currency) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The MSCI World Index consists of the following 23 developed market country indexes: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,Switzerland, the United Kingdom, and the United States (as of 31 December 2017). The index takes re-investment of dividends into account.

Index returns are provided for comparison purposes only to show how the composite's returns compare to a broad-based index of equities.

Bloomberg Barclays Capital U.S. Aggregate Bond Index

The Bloomberg Barclays Capital U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and nonagency). Intra-month cash flows from interest and principal payments contribute to monthly index returns but are not reinvested at a short-term reinvestment rate between rebalance dates. At each rebalancing, cash is effectively reinvested into the Returns Universe for the following month so that index results over two or more months reflect monthly compounding.

Index returns are provided for comparison purposes only to show how the composite's returns compare to a broad-based index of bonds.

Barclay BTOP50 Index

The Barclay BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The index employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the index. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe.

Transtrend's Diversified Trend Program - Enhanced Risk (USD) is currently a constituent of the Barclay BTOP50 Index.

Index returns are provided for comparison purposes only to show how the composite's returns compare to the overall managed futures industry.

Credit Suisse Hedge Fund Index

The Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC. It is an asset-weighted hedge fund index and includes only funds, as opposed to separate accounts. The index uses the Credit Suisse Hedge Fund Database, which tracks approximately 9,000 funds and consists only of funds with a minimum of US$50 million under management, a 12-month track record, and audited financial statements. The index is calculated and rebalanced on a monthly basis, and reflects performance net of all hedge fund component performance fees and expenses.

Index returns are provided for comparison purposes only to show how the composite's returns compare to the overall hedge fund industry.

SG Trend Index

The SG Trend Index (f.k.a. SG Trend-Sub Index) is designed to track the 10 largest (by AUM) trend following CTAs and be representative of the trend followers in the managed futures space. Managers must meet the following criteria: a) Must be open to new investment; b) Must report returns on a daily basis; c) Must be an industry recognized trend follower as determined at the discretion of the SG IndexCommittee; and d) Must exhibit significant correlation to trend following peers and the SG Trend Indicator. The SG Trend Index is equally weighted, and rebalanced and reconstituted annually.

Transtrend's Diversified Trend Program - Enhanced Risk (USD) is currently a constituent of the SG Trend Index.

Index returns are provided for comparison purposes only to show how the composite's returns compare to the trend followers in the managed futures industry.