INDEX DESCRIPTIONS

• The Barclays Aggregate Bond Index (Barclays Aggregate) is a broad-based index composed of US Government, US Government Agency and Corporate Debt Obligations (bonds). The Barclays Aggregate is a benchmark used to measure the performance of the US bond market as a whole.
• The Bloomberg Barclays Distressed Securities Index tracks the performance of fund managers that invest in the debt, equity or trade claims of companies in financial distress or already in default.
• The Bloomberg US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).
• The HFRI ED: Distressed/Restructuring Index is an index which tracks the performance of hedge funds focused on distressed/Restructuring strategies which employ an investment process focused on corporate fixed income instruments, primarily on corporate credit instruments of companies trading at significant discounts to their value at issuance or obliged (par value) at maturity as a result of either formal bankruptcy proceeding or financial market perception of near term proceedings.
• The HFRI Macro: Multi-Strategy Index is designed to track the performance of managers that employ components of both discretionary and systematic macro strategies.
• The HFRI RV: Multi-Strategy Index tracks the performance of managers that employ an investment thesis predicated on realization of a spread between related yield instruments in which one or multiple components of the spread contains a fixed income, derivative, equity, real estate, MLP or combination of these or other instruments.
• The HFRI Fund Weighted Composite Index is a global, equal-weighted index of single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or $10 Million under management and a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.
• The HFRI Fixed Income Asset Backed Index includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a fixed income instrument backed physical collateral or other financial obligations (credit cards) other than those of a specific corporation.
• The HFRI Fixed Income Corporate Index includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a corporate fixed income instrument.
• The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe.
• LIBOR stands for London Interbank Offered Rate. It’s the rate of interest at which banks offer to lend money to one another in the wholesale money markets in London.
• The BofA Merrill Lynch U S High Yield Index tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity as of the rebalancing date, a fixed coupon schedule and a minimum amount outstanding of 100 million In addition, qualifying securities must have risk exposure to countries that are members of the FX G 10 Western Europe or territories of the US and Western Europe.
• The ML High Yield Master II Index is an index which tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the US domestic market.
• The MSCI World – Price – USD is a market capitalization weighted index composed of companies representative of the market structure of 22 developed market countries in North America, Europe, and the Asia/Pacific Region.  It is a broad-based benchmark generally used to measure the performance of the US and international equities markets as a whole.
• The MSCI ACWI Net USD captures large and mid-cap representation across 23 developed markets and 26 emerging markets countries.
• The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.
• The S&P 500 Total Return Index is a market-value weighted index provided by Standard & Poor’s and consists of 500 stocks chosen for market size, liquidity, and industry group representation.
• The S&P/LSTA U.S. Leveraged Loan 100 Indexis designed to reflect the performance of the largest facilities in the leveraged loan market. The index measures the performance of 100 large loan facilities meeting the criteria defined in Eligibility Criteria. The index is capped market-value weighted.
• Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
• The VIX Index is a financial benchmark designed to be an up-to-the-minute market estimate of the expected volatility of the S&P 500® Index, and is calculated by using the midpoint of real-time S&P 500 Index (SPX) option bid/ask quotes.
• Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
• The S&P Biotechnology Select Industry Index (XBI) represents the biotechnology sub-industry portion of the S&P Total Markets Index. The S&P TMI tracks all the U.S. common stocks listed on the NYSE, AMEX, NASDAQ National Market and NASDAQ Small Cap exchanges.

Morgan Stanley US Value: MSZZVAL is a custom index that represents an equal notional pair trade of going long the MSQQUVLL (US Value Long) and Short the MSQQUVLS (US Value Short). Performance reflects each side rebalanced back to equal notional at the close of each trading day.

• The Morgan Stanley US Value Long Basket selects the top 15% of the most liquid stocks from the Russell 3000 index based on standard value measures. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.
• The Morgan Stanley US Value Short Basket selects the bottom 15% of the most liquid stocks from the Russell 3000 index based on standard value measures. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.

Morgan Stanley US Momentum: MSZZMOMO is a custom index that represents an equal notional pair trade of going long the MSQQUMOL (US Momentum Long) and Short the MSQQUMOS (US Momentum Short). Performance reflects each side rebalanced back to equal notional at the close of each trading day.

• The Morgan Stanley US Momentum Long Basket selects the top 15% of the most liquid stocks from the Russell 3000 index based on 12-month return. The basket is designed to be highly liquid and is rebalanced monthly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.
• The Morgan Stanley US Momentum Short Basket selects the bottom 15% of the most liquid stocks from the Russell 3000 index based on 12-month return. The basket is designed to be highly liquid and is rebalanced monthly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.

Morgan Stanley US Growth: MSZZGRW is a custom index that represents an equal notional pair trade of going long the MSQQUGRL (US Growth Long) and Short the MSQQUGRS (US Growth Short). Performance reflects each side rebalanced back to equal notional at the close of each trading day.

• The Morgan Stanley US Growth Long Basket selects the top 15% of the most liquid stocks from the Russell 3000 index based on standard growth measures. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.
• The Morgan Stanley US Growth Short Basket selects the bottom 15% of the most liquid stocks from the Russell 3000 index based on standard growth measures. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.

Morgan Stanley US Quality: MSZZQLTY is a custom index that represents an equal notional pair trade of going long the MSQQUQLL (US Quality Long) and Short the MSQQUQLS (US Quality Short). Performance reflects each side rebalanced back to equal notional at the close of each trading day.

• The Morgan Stanley US Quality Long Basket selects the top 15% of the most liquid stocks from the Russell 3000 index based on standard measures of Quality. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.
• The Morgan Stanley US Quality Short Basket selects the top 15% of the most liquid stocks from the Russell 3000 index based on standard measures of Quality. The basket is designed to be highly liquid and is rebalanced quarterly. At rebalance, stock weights are subject to a 2% maximum and aggregate sector weights to a 25% maximum.

S&P 500 Total Return Index. Calculated intraday by S&P based on the price changes and reinvested dividends of SPX INDEX with a starting date of Jan 4, 1988.

The MSCI World Net Index is a free-float weighted equity index. MXWO includes developed world markets, and does not include emerging markets. MXWD includes both emerging and developed markets.

US Treasury Yield Curve Rate T Note Constant Maturity 10 Year

CRB Commodity Index: The TR/CC CRB Excess Return Index is an arithmetic average of commodity futures prices with monthly rebalancing.

The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.