Date: 20-May-16

Index Weights as of monthly rebalance date 12-May-16

Citi Pure Price Momentum Europe Long-Short Net TR Series II Index (CIISPME2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 ADN LN Aberdeen Asset Mgmt 0.15% 1 AAL LN Anglo American Plc -0.05% 2 ADS GY Adidas AG 2.61% 2 ABBN VX ABB Ltd -0.28% 3 AENA SQ AENA SA 1.76% 3 ABF LN Associated British Foods -0.04% 4 AGN NA Aegon NV 0.31% 4 ADEN VX Adecco SA Reg -1.23% 5 AH NA Ahold NV 0.57% 5 AHT LN Ashtead Group -0.79% 6 ALV GY Allianz SE 0.87% 6 AI FP Air Liquide -0.86% 7 AMS SQ Amadeus IT Hldg SA 0.02% 7 ARM LN ARM Holdings -0.75% 8 VNA GY Deutsche Annington Immobilien 0.95% 8 ASML NA ASML Holding NV -1.35% 9 ASSAB SS Assa Abloy B 0.81% 9 ATC NA Altice NV -1.42% 10 ATCOB SS Atlas Copco AB B 0.02% 10 ATCOA SS Atlas Copco AB A -0.53% 11 ATL IM Atlantia SpA 0.32% 11 BAER VX Julius Baer Group -1.04% 12 ATLN VX Actelion Ltd 0.10% 12 BAYN GY Bayer AG -0.94% 13 ATO FP AtoS 1.30% 13 BDEV LN Barratt Developments -0.85% 14 AV/ LN Aviva 0.03% 14 BEI GY Beiersdorf AG -0.64% 15 AZN LN AstraZeneca Plc 0.41% 15 BKG LN Berkeley Group Holdings Plc -0.69% 16 BA/ LN BAE Systems Plc 0.36% 16 BKIR ID BANK OF IRELAND -0.53% 17 BALN VX Baloise Hldg Reg 2.65% 17 BLND LN British Land Co -0.56% 18 BARC LN Barclays 0.59% 18 BMW GY Bayer Motoren Werke AG (BMW) -0.28% 19 BAS GY BASF SE 0.01% 19 BOSS GY HUGO BOSS AG -ORD -1.55% 20 BATS LN British American Tobacco Plc 0.32% 20 BRBY LN Burberry Group -0.58% 21 BBVA SQ Banco Bilbao Vizcaya Argentaria SA 0.07% 21 SKY LN British Sky Broadcasting -0.24% 22 BLT LN BHP Billiton Plc 0.21% 22 BT/A LN BT Group -0.52% 23 BN FP Danone 0.16% 23 CA FP Carrefour SA -0.60% 24 BNP FP BNP Paribas 0.98% 24 CABK SQ CaixaBank -0.91% 25 BOL SS Boliden AB 0.06% 25 CBK GY Commerzbank AG -1.10% 26 BP/ LN BP 0.19% 26 CFR VX CIE FINANCIERE RICHEMON-BR A -0.77% 27 CAP FP Cap Gemini SA 0.12% 27 CNHI IM CNH Industrial -0.76% 28 CARLB DC Carlsberg AS B 0.42% 28 CON GY Continental AG -0.02% 29 CCL LN Carnival Plc 0.79% 29 CPI LN Capita Group -1.60% 30 CNA LN Centrica 0.40% 30 DAI GY Daimler AG -0.62% 31 COLOB DC Coloplast AS B 0.05% 31 DANSKE DC Danske Bank A/S -0.81% 32 CPG LN Compass Group 0.91% 32 DB1 GY Deutsche Boerse AG -0.38% 33 CS FP AXA 0.73% 33 DGE LN Diageo Plc -0.67% 34 CSGN VX Credit Suisse Group AG 0.67% 34 DSM NA Koninklijke DSM NV -0.29% 35 DBK GY Deutsche Bank AG 0.36% 35 DUFN VX DUFRY AG-REG -1.21% 36 DELB BB Delhaize Group 1.53% 36 AIR FP EADS NV-Euro Aero Defense -0.12% 37 DG FP Vinci 1.98% 37 EDP PL Electricidade de Portugal SA -0.13% 38 DLG LN Direct Line Insurance Group PL 1.62% 38 EOAN GY E.ON AG -1.44% 39 DPW GY Deutsche Post AG 0.31% 39 ERICB SS ERICSSON LM-B SHS -0.54% 40 DSY FP Dassault Systemes SA 0.04% 40 EVK GY Evonik Industries -1.02% 41 DTE GY Deutsche Telekom 0.09% 41 EZJ LN Easyjet -0.82% 42 DWNI GY Deutsche Wohnen AG BR 1.06% 42 FER SQ Ferrovial SA -0.15% 43 EI FP Essilor Intl 0.41% 43 FP FP TOTAL SA -0.45% 44 ELE SQ Endesa SA 1.06% 44 FUM1V FH Fortum Oyj -2.25% 45 ELUXB SS Electrolux AB B 0.12% 45 G1A GY GEA Group AG -0.12% 46 ENI IM ENI SpA 0.22% 46 GAS SQ Gas Natural SDG SA -0.20% 47 EXPN LN Experian Plc 0.08% 47 GEBN VX Geberit AG Reg -0.75% 48 FME GY Fresenius Medical 0.35% 48 GET FP Groupe Eurotunnel SA -2.81% 49 FR FP Valeo 0.63% 49 ENGI FP GDF Suez -0.22% 50 FRE GY Fresenius SE & Co KGaA 1.16% 50 HEN3 GY Henkel AG & Co. KGaA Nvtg Prf -1.07% 51 FRES LN Fresnillo PLC 0.03% 51 HMB SS Hennes & Mauritz AB B -0.22% 52 G IM Assicurazioni Generali SpA 1.92% 52 IAG LN International Consolidated Airlines Group SA -0.51% 53 GALN VX Galenica AG 2.31% 53 ING FP Ingenico -1.32% 54 GALP PL Galp Energia SGPS SA 0.13% 54 ISP IM Intesa SanPaolo -0.57% 55 GEN DC Genmab AS 0.74% 55 ITV LN ITV Plc -1.20% 56 GIVN VX Givaudan AG 0.58% 56 KBC BB KBC Group NV -1.25% 57 GKN LN GKN 0.27% 57 LAND LN Land Securities Group PLC -0.26% 58 GLE FP Societe Generale 0.40% 58 LIN GY Linde AG -1.77% 59 GLEN LN Glencore International PLC 1.69% 59 LLOY LN Lloyds Banking Group Plc -0.38% 60 GSK LN GlaxoSmithKline 0.37% 60 LR FP Legrand Promesses -0.50% 61 HEIA NA Heineken NV 0.32% 61 LUPE SS Lundin Petroleum A -0.76% 62 HEXAB SS Hexagon AB 1.29% 62 LUX IM Luxottica Group SpA -0.93% 63 HO FP Thales 2.18% 63 MAERSKB DC AP Moller - Maersk AS B -0.75% 64 HSBA LN HSBC Holdings Plc 0.61% 64 MEO GY METRO AG -0.07% 65 IBE SQ Iberdrola SA 0.23% 65 MKS LN Marks & Spencer Group -0.82% 66 IFX GY Infineon Technologies AG 0.88% 66 MNDI LN Mondi Plc -0.62% 67 IHG LN InterContinental Hotels Group Plc 0.41% 67 MRK GY MERCK KGaA -0.72% 68 ILD FP ILIAD SA 0.16% 68 NDA SS Nordea AB -1.44% 69 IMB LN Imperial Tobacco 1.03% 69 NESN VX Nestle SA Reg -0.70% 70 INVEB SS Investor AB B 0.63% 70 NOVN VX Novartis AG Reg -1.42% 71 ISAT LN Inmarsat 0.31% 71 NOVOB DC Novo Nordisk AS B -0.99% 72 ITRK LN Intertek Group PLC 2.84% 72 NXT LN Next -0.41% 73 ITX SQ Inditex SA 0.16% 73 NZYMB DC Novozymes AS B -0.13% 74 JMAT LN JOHNSON MATTHEY PLC 0.58% 74 OR FP L'Oreal -0.88% 75 KER FP PPR SA 0.69% 75 POP SQ Banco Popular Espanol SA -1.80% 76 KGF LN Kingfisher 0.58% 76 PRU LN Prudential Plc -0.61% 77 KINVB SS Kinnevik Investment AB B 0.70% 77 PSON LN Pearson -0.02% 78 KN FP Natixis 0.01% 78 RACE IM FERRARI NV -0.50% 79 KNIN VX KUEHNE & NAGEL INTL AG-REG 0.57% 79 RAND NA Randstad Hldgs NV -0.69% 80 KPN NA Koninklijke KPN NV 0.22% 80 RBS LN ROYAL BANK OF SCOTLAND GROUP -2.26% 81 LGEN LN Legal & General Group 0.28% 81 RI FP Pernod-Ricard -1.48% 82 LHA GY Deutsche Lufthansa Reg 1.32% 82 RIO LN Rio Tinto Plc -0.71% 83 LI FP Klepierre 0.56% 83 RMS FP Hermes Intl -1.32% 84 LONN VX Lonza AG 1.30% 84 ROG VX Roche Hldgs AG Ptg Genus -1.76% 85 LSE LN London Stock Exchange Plc 1.24% 85 RR/ LN Rolls-Royce Holdings Plc -0.58% 86 MB IM Mediobanca SpA 0.08% 86 RWE GY RWE AG -0.13% 87 MC FP LVMH-Moet Vuitton 0.39% 87 SAB SQ Banco de Sabadell SA -0.50% 88 ML FP Michelin CGDE B Brown 1.28% 88 SAF FP Safran SA -0.58% 89 NESTE FH Neste Oil OYJ 0.87% 89 SAMAS FH Sampo Oyj A -0.01% 90 NG/ LN National Grid PLC 1.13% 90 SAN FP Sanofi-Aventis -0.22% 91 NN NA NN Group NV 1.32% 91 SAN SQ Banco Santander SA -0.09% 92 NRE1V FH Nokian Renkaat Oyj 0.61% 92 SCMN VX Swisscom AG Reg -0.51% 93 OML LN Old Mutual 0.89% 93 SEBA SS SEB-Skand Enskilda Banken A -0.71% 94 ORA FP Orange S.A. 1.11% 94 SESG FP SES -0.76% 95 PAH3 GY Porsche Automobil Holding SE 0.47% 95 SEV FP Suez Environment SA -1.27% 96 PGHN SE Partners Group Hldg 1.60% 96 SHBA SS Svenska Handelsbanken A -0.82% 97 PHIA NA Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.18% 97 SKAB SS SKANSKA AB-B -0.49% 98 PNDORA DC Pandora A/S 0.49% 98 SKFB SS SKF AB B -0.82% 99 PRY IM Prysmian SpA 0.48% 99 SL/ LN Standard Life -2.45% 100 PSM GY ProSiebenSat.1 Media AG 0.07% 100 SOLB BB Solvay -0.14% 101 PSN LN Persimmon 0.29% 101 SOON VX Sonova Holding AG -1.06% 102 PUB FP Publicis Groupe 0.93% 102 SPM IM Saipem SpA Ord -1.93% 103 RB/ LN Reckitt Benckiser Group PLC 0.38% 103 SSE LN Scottish & Southern Energy -0.26% 104 RDSA LN Royal Dutch Shell PLC 0.85% 104 STAN LN Standard Chartered -1.07% 105 RDSB LN Royal Dutch Shell PLC B 0.92% 105 STM IM STMICROELECTRONICS NV -0.77% 106 REE SQ Red Electrica Corporacion SA 0.58% 106 SU FP Schneider Electric SA -0.52% 107 REL LN Reed Elsevier 1.44% 107 SVT LN Severn Trent -1.07% 108 REN NA Reed Elsevier NV 0.35% 108 SWEDA SS Swedbank AB -0.28% 109 REP SQ Repsol-YPF SA 0.66% 109 TEF SQ Telefonica SA -0.88% 110 RNO FP Renault SA 0.69% 110 TEL NO Telenor ASA -0.90% 111 RRS LN Randgold Resources Ltd 0.43% 111 TEN IM Tenaris SA -0.13% 112 RXL FP Rexel SA 0.41% 112 TPK LN Travis Perkins -1.35% 113 RYA ID Ryanair Holdings Plc 0.53% 113 UBI IM UBI Banca -1.32% 114 SAB LN SABMILLER PLC 0.27% 114 UBSG VX UBS GROUP CHF0.10 (REGD) -0.70% 115 SAP GY SAP AG 0.98% 115 UCB BB UCB SA -0.68% 116 SCAB SS SCA-Svenska Cellulosa B 0.60% 116 UG FP Peugeot SA -0.73% 117 SCHP VX Schindler-Hldg AG Ptg 0.07% 117 UL NA Unibail - Rodamco -0.01% 118 SECUB SS Securitas AB B 1.81% 118 ULVR LN Unilever -0.28% 119 SGE LN Sage Group 0.10% 119 UNA NA Unilever NV -0.29% 120 SGO FP COMPAGNIE DE SAINT-GOBAIN 0.41% 120 UU/ LN United Utilities Group Plc -0.44% 121 SGSN VX SGS-Soc Gen Surveil Hldg Reg 0.99% 121 VIV FP Vivendi SA -1.42% 122 SIE GY Siemens AG 0.38% 122 VOW GY Volkswagen AG -0.21% 123 SIK VX Sika Finanz AG Br 0.12% 123 VPK NA Vopak NV -0.84% 124 SLHN VX Swiss Life Reg 1.70% 124 WOS LN Wolseley -0.79% 125 SN/ LN Smith & Nephew 0.59% 125 WTB LN Whitbread -1.88% 126 SRG IM Snam Rete Gas SpA 1.95% 126 ZC FP Zodiac Aerospace -1.54% 127 STL NO Statoil ASA 0.28% 127 ZURN VX Zurich Financial Services AG -1.22% 128 SW FP Sodexo 1.53% 129 SWMA SS Swedish Match AB 0.50% 130 TIT IM Telecom Italia SpA 0.29% 131 TKA GY ThyssenKrupp AG 0.19% 132 TRN IM Terna SpA 1.58% 133 TSCO LN Tesco 0.62% 134 TW/ LN Taylor Wimpey 0.20% 135 UCG IM UNICREDIT SPA 0.09% 136 UMI BB Umicore 0.54% 137 UPM1V FH UPM-Kymmene Oyj 0.53% 138 VIE FP Veolia Environnement 0.50% 139 VOD LN Vodafone Group 0.63% 140 VOLVB SS Volvo AB B 0.06% 141 VOW3 GY Volkswagen AG Nvtg Prf 0.03% 142 VWS DC Vestas Wind Systems AS 0.97% 143 WKL NA Wolters Kluwer NV 1.61% 144 WPP LN WPP Plc 1.08% 145 WRT1V FH Wartsila Oyj B 0.25% 146 YAR NO Yara International ASA 0.62%