Date: 20-Aug-21 Index Weights as of monthly rebalance date 10-Aug-21 Citi Pure Estimates Momentum US Long-Short TR Index (CIISEMUT) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 ARNC UN Equity Alcoa Inc 0.22% 1 A UN Equity Agilent Technologies Inc -0.08% 2 AAP UN Equity Advance Auto Parts Inc 0.18% 2 AAL UW Equity American Airlines Group Inc -0.26% 3 ABC UN Equity AmerisourceBergen Corp 0.92% 3 AAPL UW Equity Apple Inc. -0.02% 4 ABT UN Equity Abbott Laboratories 0.55% 4 ABBV UN Equity AbbVie Inc. -0.08% 5 ACN UN Equity Accenture plc 1.91% 5 CB UN Equity ACE Limited -0.61% 6 ADBE UW Equity Adobe Systems Inc 1.96% 6 AGN UN Equity Allergan Plc -0.96% 7 ADSK UW Equity Autodesk Inc 0.69% 7 ADI UW Equity Analog Devices Inc -0.28% 8 AEE UN Equity Ameren Corp 0.06% 8 ADM UN Equity Archer-Daniels-Midland Co -0.92% 9 AEP UN Equity American Electric Power 0.14% 9 ADP UW Equity Automatic Data Processing -0.04% 10 AES UN Equity AES Corp 0.42% 10 ADS UN Equity Alliance Data Systems Corp -0.28% 11 AIG UN Equity American Intl Group Inc 0.92% 11 AET UN Equity Aetna Inc -0.47% 12 AIV UN Equity Apartment Investment & Mgmt 0.78% 12 AFL UN Equity AFLAC Inc -0.13% 13 AIZ UN Equity Assurant Inc 1.64% 13 AKAM UW Equity Akamai Technologies Inc -0.17% 14 AJG UN Equity ARTHUR J GALLAGHER & CO 0.00% 14 ALB UN Equity Albemarle Corp -0.87% 15 ALK UN Equity Alaska Air Group Inc 0.04% 15 ALGN UW Equity Align Technology Inc -0.28% 16 ALXN UW Equity Alexion Pharmaceuticals Inc 0.22% 16 ALL UN Equity Allstate Corp -0.09% 17 AMGN UW Equity Amgen Inc 0.53% 17 ALLE UN Equity Allegion PLC -0.31% 18 AMT UN Equity American Tower Corp A 0.57% 18 AMAT UW Equity Applied Materials Inc -0.45% 19 AMZN UW Equity Amazon.com Inc 0.17% 19 AME UN Equity AMETEK Inc -0.13% 20 APA UN Equity Apache Corp 1.09% 20 AMG UN Equity Affiliated Managers Grp -0.48% 21 APC UN Equity Anadarko Petroleum Corp 1.21% 21 AMP UN Equity Ameriprise Financial Inc -0.29% 22 APD UN Equity Air Products & Chemicals Inc 0.37% 22 ANSS UW Equity ANSYS Inc -0.38% 23 ARE UN Equity Alexandria Real Estate Eqty 0.00% 23 AON UN Equity Aon Corp -0.94% 24 ATVI UW Equity Activision Blizzard Inc 0.04% 24 AOS UN Equity SMITH (A.O.) CORP -0.43% 25 AVB UN Equity AvalonBay Communities Inc 0.18% 25 APH UN Equity Amphenol Corp A -0.45% 26 AVGO UW Equity Avago Technologies Ltd 0.47% 26 AVY UN Equity Avery Dennison Corp -0.11% 27 AWK UN Equity American Water Works Co Inc 0.05% 27 AXP UN Equity American Express Co -0.30% 28 BAX UN Equity Baxter Intl Inc 0.71% 28 AYI UN Equity Acuity Brands Inc -0.96% 29 BHF UW Equity Brighthouse Financial Inc 0.81% 29 AZO UN Equity AutoZone Inc -0.01% 30 BIIB UW Equity Biogen Idec Inc 0.29% 30 BA UN Equity Boeing Co -0.16% 31 BK UN Equity The Bank of New York Mellon Corp 0.28% 31 BAC UN Equity Bank of America Corp -0.36% 32 BRK/B UN Equity Berkshire Hathaway B 0.01% 32 BBT UN Equity BB&T Corp -0.27% 33 CAG UN Equity ConAgra Foods Inc 1.89% 33 BBY UN Equity Best Buy Co Inc -0.26% 34 CAT UN Equity Caterpillar Inc 0.19% 34 BDX UN Equity BECTON DICKINSON AND CO -0.06% 35 CBG UN Equity CBRE GROUP INC - A 1.20% 35 BEN UN Equity Franklin Resources Inc -0.70% 36 CCI UN Equity CROWN CASTLE INTL CORP 0.31% 36 BF/B UN Equity Brown-Forman Corp B -0.12% 37 CCL UN Equity Carnival Corp 0.02% 37 BHGE UN Equity Baker Hughes Inc -0.80% 38 CELG UW Equity Celgene Corp 0.10% 38 BLK UN Equity BlackRock Inc -0.11% 39 CF UN Equity CF Industries Holdings 0.87% 39 BLL UN Equity Ball Corp 0.00% 40 CFG UN Equity Citizens Financial Group Inc 0.52% 40 BMY UN Equity Bristol-Myers Squibb -0.78% 41 CHD UN Equity Church & Dwight Co 0.08% 41 BSX UN Equity Boston Scientific Corp 0.00% 42 CHTR UW Equity Charter Communications Inc 0.04% 42 BWA UN Equity Borgwarner Inc -0.21% 43 CI UN Equity Cigna Corporation 0.12% 43 BXP UN Equity Boston Properties Inc -0.13% 44 CINF UW Equity Cincinnati Financial Corp 0.34% 44 CA UW Equity CA Inc -0.16% 45 CL UN Equity Colgate-Palmolive Co 0.24% 45 CAH UN Equity Cardinal Health Inc -0.30% 46 CMA UN Equity Comerica Inc (MI) 0.46% 46 CBOE UW Equity CBOE Holdings Inc -0.41% 47 CMI UN Equity Cummins Inc 0.41% 47 CBS UN Equity CBS Corp B -0.16% 48 CMS UN Equity CMS Energy Corp 0.08% 48 CDNS UW Equity Cadence Design Systems Inc -0.45% 49 CNC UN Equity Centene Corp 1.46% 49 CERN UW Equity Cerner Corp -0.40% 50 COF UN Equity Capital One Financial 0.12% 50 CLX UN Equity Clorox Co -0.39% 51 TPR UN Equity Tapestry Inc 0.38% 51 CMCSA UW Equity Comcast Corp -0.23% 52 COO UN Equity Cooper Companies Inc 0.74% 52 CME UW Equity Chicago Mercantile Exchange -0.03% 53 COST UW Equity Costco Wholesale Corp 1.83% 53 CNP UN Equity Centerpoint Energy Inc 0.00% 54 CSCO UW Equity Cisco Systems Inc 0.02% 54 COG UN Equity Cabot Oil & Gas A -1.92% 55 CTAS UW Equity Cintas Corp 2.28% 55 COL UN Equity Rockwell Collins -0.51% 56 CTL UN Equity CenturyLink Inc 0.07% 56 COP UN Equity ConocoPhillips -0.41% 57 CVX UN Equity Chevron Corp 1.19% 57 CRM UN Equity Salesforce.com -0.23% 58 CXO UN Equity Concho Resources Inc 0.41% 58 CSRA UN Equity CSRA INC -0.53% 59 D UN Equity Dominion Resources Inc 0.15% 59 CSX UW Equity CSX Corp -0.66% 60 DAL UN Equity Delta Air Lines 0.71% 60 CTSH UW Equity Cognizant Tech Solutions Corp -0.05% 61 DE UN Equity Deere & Co 0.72% 61 CTXS UW Equity Citrix Systems Inc -0.52% 62 DG UN Equity Dollar General Corp 0.31% 62 CVS UN Equity CVS Caremark Corp. -0.83% 63 DGX UN Equity Quest Diagnostics 0.15% 63 DFS UN Equity Discover Financial Services -0.30% 64 DHR UN Equity Danaher Corp 0.47% 64 DHI UN Equity DR HORTON INC -0.11% 65 DLR UN Equity Digital Realty Trust 0.00% 65 DIS UN Equity Walt Disney Co -0.34% 66 DWDP UN Equity Dow Chemical 0.43% 66 DISCK UW Equity Discovery Communications Inc -0.15% 67 DPS UN Equity Dr Pepper Snapple Group 0.12% 67 DISH UW Equity DISH Network Corp -0.36% 68 DRI UN Equity Darden Restaurants Inc 2.16% 68 APTV UN Equity Aptiv Plc -1.54% 69 DTE UN Equity DTE Energy Co 0.49% 69 DLTR UW Equity Dollar Tree Inc -0.29% 70 DUK UN Equity Duke Energy Corp 0.40% 70 DOV UN Equity Dover Corp -0.48% 71 DVN UN Equity Devon Energy Corp 1.29% 71 DRE UN Equity Duke Realty Corp -1.16% 72 ECL UN Equity Ecolab Inc 0.08% 72 DVA UN Equity Davita Inc -0.17% 73 EIX UN Equity Edison Intl 0.26% 73 DXC UN Equity DXC Technology Co -0.27% 74 EMR UN Equity Emerson Electric Co 0.01% 74 EA UW Equity Electronic Arts -0.13% 75 EOG UN Equity EOG Resources 0.74% 75 EBAY UW Equity eBay Inc. -0.17% 76 EQIX UW Equity Equinix Inc 0.72% 76 ED UN Equity Consolidated Edison Inc -0.04% 77 ESRX UW Equity Express Scripts Inc 0.57% 77 EFX UN Equity Equifax Inc -0.48% 78 EXC UN Equity Exelon Corp 0.08% 78 EL UN Equity Estee Lauder Cos. -0.42% 79 EXR UN Equity Extra Space Storage Inc 0.59% 79 EMN UN Equity Eastman Chemical Co -0.23% 80 FCX UN Equity Freeport McMoRan Copper & Gold 0.66% 80 EQR UN Equity Equity Residential -0.02% 81 FDX UN Equity FedEx Corp 2.37% 81 EQT UN Equity EQT Corporation -2.26% 82 FE UN Equity FirstEnergy Corp 0.21% 82 ESS UN Equity Essex Property Trust -0.38% 83 FL UN Equity Foot Locker Inc 0.73% 83 ETFC UW Equity E*TRADE Financial Corp -0.24% 84 FLR UN Equity Fluor Corp 0.17% 84 ETN UN Equity Eaton Corp -0.49% 85 FMC UN Equity FMC Corp 0.15% 85 ETR UN Equity Entergy Corp -0.19% 86 FRT UN Equity Federal Realty Invt Trust 0.90% 86 EW UN Equity Edwards Lifesciences Corp -0.16% 87 GIS UN Equity General Mills Inc 1.80% 87 EXPD UW Equity Expeditors Intl of WA Inc -0.04% 88 GOOG UW Equity GOOGLE INC-CL C 0.10% 88 EXPE UW Equity Expedia -0.50% 89 GOOGL UW Equity GOOGLE INC-CL A 0.12% 89 F UN Equity Ford Motor Co -0.17% 90 GPC UN Equity Genuine Parts Co 0.58% 90 FAST UW Equity Fastenal Co -0.16% 91 GPS UN Equity Gap Inc 0.21% 91 FB UW Equity Facebook Inc -0.41% 92 GRMN UW Equity Garmin Ltd 0.09% 92 FBHS UN Equity Fortune Brands Home & Security Inc -0.24% 93 GS UN Equity Goldman Sachs Group Inc 0.03% 93 FFIV UW Equity F5 Networks Inc -0.21% 94 HAL UN Equity Halliburton Co 0.20% 94 FIS UN Equity Fidelity National Information -0.16% 95 HBAN UW Equity Huntington Bancshares (OH) 0.92% 95 FISV UW Equity Fiserv Inc -0.27% 96 HLT UN Equity HILTON WORLDWIDE HLDGS INC COM 0.48% 96 FITB UW Equity Fifth Third Bancorp (OH) -0.74% 97 HOLX UW Equity Hologic Inc 0.11% 97 FLIR UW Equity FLIR Systems Inc -0.31% 98 HPE UN Equity HEWLETT PACKARD ENTERPRIS 0.01% 98 FOX UW Equity News Corp -0.07% 99 HSIC UW Equity Henry Schein Inc 0.12% 99 FOXA UW Equity Twenty-First Century Fox -0.17% 100 HST UN Equity Host Hotels & Resorts Inc 0.13% 100 FTI UN Equity FMC Technologies Inc -0.34% 101 HSY UN Equity Hershey Foods Corp 0.75% 101 FTV UN Equity Fortive Corp -0.46% 102 IBM UN Equity Intl Business Machines Corp 0.14% 102 GD UN Equity General Dynamics -0.04% 103 IFF UN Equity Intl Flavors & Fragrances 0.07% 103 GE UN Equity General Electric Co -0.15% 104 ILMN UW Equity Illumina Inc 0.02% 104 GGP UN Equity General Growth Properties Inc -0.63% 105 INCY UW Equity Incyte Corp Ltd 1.03% 105 GILD UW Equity Gilead Sciences Inc -0.99% 106 INTC UW Equity Intel Corp 0.08% 106 GLW UN Equity Corning Inc -0.31% 107 ISRG UW Equity Intuitive Surgical Inc 0.01% 107 GM UN Equity General Motors Company -0.02% 108 JBHT UW Equity JB Hunt Transport Services Inc 1.24% 108 GPN UN Equity Global Payments Inc -0.09% 109 JEC UN Equity Jacobs Engineering Group Inc 0.53% 109 GT UW Equity Goodyear Tire & Rubber Co -0.26% 110 JPM UN Equity JP Morgan Chase & Co 0.33% 110 HAS UW Equity Hasbro Inc -0.16% 111 KMX UN Equity Carmax Inc 0.28% 111 HCA UN Equity HCA Holdings Inc -0.45%