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Morgan Stanley Diversified Select Index (“MSDSI”) The Morgan Stanley Diversified Select Index (the “Index”) offers diversified exposure to a wide range of asset classes, such as US industry sectors, international and emerging market equities, treasuries, bonds, commodities, foreign exchange, real estate and cash. It achieves this by investing in liquid US-listed ETFs and futures-based indices, using a rules-based methodology designed by Morgan Stanley that seeks to maximize returns for a defined level of risk. Index Description Key Features The Index follows momentum and diversification • Diversified exposure into 23 different liquid principles to allocate exposure across six asset assets across all major asset classes: equities, classes. Each asset class is made up of one or more bonds, commodities, foreign exchange, real estate liquid assets and is subject to exposure limits to and cash. ensure a certain level of diversification. The aim of the strategy is to select a portfolio that maximizes • Rules-based strategy, using momentum and returns for a given level of risk. diversification techniques to select an Asset Portfolio targeting highest historical returns The strategy follows a three-step process, and is subject to a given level of risk. rebalanced on a monthly basis: • The Asset Portfolio is monitored daily to attempt 1. Creation of Sector Momentum Basket: Each US to keep volatility under control and reduce the sector ETF is ranked according to its risk-adjusted impact of price fluctuations. recent performance, and the top five are selected with