Date: 20-Aug-21 Index Weights as of monthly rebalance date 10-Aug-21 Citi Pure Earnings Growth US Long-Short Net TR Index (CIISGRUN) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 AAP UN Equity Advance Auto Parts Inc 0.24% 1 A UN Equity Agilent Technologies Inc -0.12% 2 ABBV UN Equity AbbVie Inc. 0.59% 2 HWM UN Equity Alcoa Inc -1.02% 3 ABC UN Equity AmerisourceBergen Corp 0.06% 3 AAL UW Equity American Airlines Group Inc -1.09% 4 ADBE UW Equity Adobe Systems Inc 0.01% 4 AAPL UW Equity Apple Inc. -0.46% 5 ADM UN Equity Archer-Daniels-Midland Co 0.26% 5 ABMD UW Equity ABIOMED Inc -0.11% 6 ADSK UW Equity Autodesk Inc 0.26% 6 ABT UN Equity Abbott Laboratories -0.26% 7 AES UN Equity AES Corp 0.37% 7 CB UN Equity ACE Limited -0.07% 8 AIG UN Equity American Intl Group Inc 0.52% 8 ACN UN Equity Accenture plc -0.29% 9 AIZ UN Equity Assurant Inc 0.11% 9 ADI UW Equity Analog Devices Inc -0.13% 10 ALGN UW Equity Align Technology Inc 0.59% 10 ADP UW Equity Automatic Data Processing -0.76% 11 ALL UN Equity Allstate Corp 0.16% 11 AEE UN Equity Ameren Corp -0.24% 12 ALLE UN Equity Allegion PLC 0.34% 12 AEP UW Equity American Electric Power -0.23% 13 AMAT UW Equity Applied Materials Inc 0.59% 13 AFL UN Equity AFLAC Inc -0.29% 14 AMD UW Equity Advanced Micro Devices Inc 1.15% 14 AJG UN Equity ARTHUR J GALLAGHER & CO -0.23% 15 AME UN Equity AMETEK Inc 0.26% 15 AKAM UW Equity Akamai Technologies Inc -0.11% 16 AMT UN Equity American Tower Corp A 0.39% 16 ALB UN Equity Albemarle Corp -0.14% 17 AMZN UW Equity Amazon.com Inc 1.34% 17 ALK UN Equity Alaska Air Group Inc -1.17% 18 AOS UN Equity SMITH (A.O.) CORP 0.26% 18 AMCR UN Equity Amcor PLC -0.86% 19 APA UW Equity Apache Corp 0.72% 19 AMGN UW Equity Amgen Inc -0.31% 20 ARE UN Equity Alexandria Real Estate Eqty 0.78% 20 AMP UN Equity Ameriprise Financial Inc -0.22% 21 ATVI UW Equity Activision Blizzard Inc 0.51% 21 ANET UN Equity ARISTA NETWORKS INC -0.18% 22 AVGO UW Equity Avago Technologies Ltd 0.43% 22 ANSS UW Equity ANSYS Inc -0.02% 23 AVY UN Equity Avery Dennison Corp 0.01% 23 AON UN Equity Aon Corp -0.49% 24 AWK UN Equity American Water Works Co Inc 0.10% 24 APD UN Equity Air Products & Chemicals Inc -0.40% 25 AZO UN Equity AutoZone Inc 0.21% 25 APH UN Equity Amphenol Corp A -0.18% 26 TFC UN Equity BB&T Corp 0.49% 26 ATO UN Equity Atmos Energy Corp -0.18% 27 BEN UN Equity Franklin Resources Inc 0.26% 27 AVB UN Equity AvalonBay Communities Inc -0.52% 28 BF/B UN Equity Brown-Forman Corp B 0.08% 28 AXP UN Equity American Express Co -0.37% 29 BKR UN Equity Baker Hughes Inc 0.22% 29 BA UN Equity Boeing Co -0.51% 30 BIO UN Equity Bio-Rad Laboratories Inc 0.59% 30 BAC UN Equity Bank of America Corp -0.30% 31 BLL UN Equity Ball Corp 0.15% 31 BAX UN Equity Baxter Intl Inc -0.70% 32 BMY UN Equity Bristol-Myers Squibb 0.80% 32 BBY UN Equity Best Buy Co Inc -0.19% 33 BSX UN Equity Boston Scientific Corp 0.04% 33 BDX UN Equity BECTON DICKINSON AND CO -0.58% 34 BWA UN Equity Borgwarner Inc 0.37% 34 BIIB UW Equity Biogen Idec Inc -0.72% 35 BXP UN Equity Boston Properties Inc 0.29% 35 BK UN Equity The Bank of New York Mellon Corp -0.52% 36 CAG UN Equity ConAgra Foods Inc 0.28% 36 BLK UN Equity BlackRock Inc -0.14% 37 CARR UN Equity CARRIER GLOBAL CORP 0.41% 37 BR UN Equity Broadridge Financial Solutions Inc. -0.19% 38 CBRE UN Equity CBRE GROUP INC - A 0.64% 38 BRK/B UN Equity Berkshire Hathaway B -0.85% 39 CBOE UF Equity CBOE Holdings Inc 0.55% 39 CAH UN Equity Cardinal Health Inc -0.56% 40 CCI UN Equity CROWN CASTLE INTL CORP 0.20% 40 CAT UN Equity Caterpillar Inc -0.36% 41 CDNS UW Equity Cadence Design Systems Inc 0.25% 41 VIAC UW Equity CBS Corp B -0.33% 42 CDW UW Equity CDW Corp/DE 0.02% 42 CCL UN Equity Carnival Corp -1.39% 43 CERN UW Equity Cerner Corp 0.15% 43 CE UN Equity Celanese Corp A -0.39% 44 CF UN Equity CF Industries Holdings 0.01% 44 CINF UW Equity Cincinnati Financial Corp -0.21% 45 CFG UN Equity Citizens Financial Group Inc 0.45% 45 CL UN Equity Colgate-Palmolive Co -0.13% 46 CHD UN Equity Church & Dwight Co 0.08% 46 CLX UN Equity Clorox Co -0.20% 47 CHRW UW Equity CH Robinson Worldwide Inc 0.09% 47 CMA UN Equity Comerica Inc (MI) -0.39% 48 CHTR UW Equity Charter Communications Inc 0.91% 48 CMCSA UW Equity Comcast Corp -0.07% 49 CI UN Equity Cigna Corporation 0.01% 49 CME UW Equity Chicago Mercantile Exchange -1.05% 50 CMG UN Equity Chipotle Mexican Grill Inc. 0.39% 50 CMI UN Equity Cummins Inc -0.23% 51 CNC UN Equity Centene Corp 0.88% 51 CMS UN Equity CMS Energy Corp -0.02% 52 COG UN Equity Cabot Oil & Gas A 0.16% 52 CNP UN Equity Centerpoint Energy Inc -0.52% 53 COP UN Equity ConocoPhillips 0.11% 53 COF UN Equity Capital One Financial -0.56% 54 COST UW Equity Costco Wholesale Corp 0.19% 54 TPR UN Equity Tapestry Inc -1.08% 55 CPRT UW Equity Copart Inc 0.64% 55 COO UN Equity Cooper Companies Inc -0.35% 56 CRL UN Equity Charles River Laboratories 0.64% 56 CPB UN Equity Campbell Soup Co -0.12% 57 CRM UN Equity Salesforce.com 0.15% 57 CSCO UW Equity Cisco Systems Inc -1.07% 58 CTAS UW Equity Cintas Corp 0.76% 58 CSX UW Equity CSX Corp -0.08% 59 LUMN UN Equity CenturyLink Inc 0.00% 59 CTSH UW Equity Cognizant Tech Solutions Corp -0.33% 60 CTLT UN Equity Catalent Inc 0.57% 60 CTXS UW Equity Citrix Systems Inc -0.30% 61 CTVA UN Equity Corteva Inc 0.37% 61 CVS UN Equity CVS Caremark Corp. -0.42% 62 DE UN Equity Deere & Co 0.07% 62 CVX UN Equity Chevron Corp -0.21% 63 DG UN Equity Dollar General Corp 0.21% 63 D UN Equity Dominion Resources Inc -0.45% 64 DHI UN Equity DR HORTON INC 0.97% 64 DAL UN Equity Delta Air Lines -1.38% 65 DHR UN Equity Danaher Corp 0.26% 65 DFS UN Equity Discover Financial Services -0.09% 66 DISH UW Equity DISH Network Corp 0.30% 66 DGX UN Equity Quest Diagnostics -0.08% 67 DLR UN Equity Digital Realty Trust 0.01% 67 DIS UN Equity Walt Disney Co -0.60% 68 DOW UN Equity Dow Inc 0.31% 68 DISCK UW Equity Discovery Communications Inc -0.19% 69 DPZ UN Equity Domino's Pizza Inc 0.55% 69 APTV UN Equity Aptiv Plc -0.53% 70 DTE UN Equity DTE Energy Co 0.11% 70 DLTR UW Equity Dollar Tree Inc -0.19% 71 DVA UN Equity Davita Inc 0.16% 71 DOV UN Equity Dover Corp -0.32% 72 DVN UN Equity Devon Energy Corp 0.60% 72 DD UN Equity Dow Chemical -0.85% 73 DXCM UW Equity DexCom Inc 1.01% 73 DRE UN Equity Duke Realty Corp -0.41% 74 EA UW Equity Electronic Arts 0.09% 74 DRI UN Equity Darden Restaurants Inc -0.11% 75 EFX UN Equity Equifax Inc 0.01% 75 DUK UN Equity Duke Energy Corp -0.32% 76 EIX UN Equity Edison Intl 0.38% 76 DXC UN Equity DXC Technology Co -0.97% 77 ENPH UQ Equity ENPHASE ENERGY INC 0.78% 77 EBAY UW Equity eBay Inc. -0.28% 78 EOG UN Equity EOG Resources 0.85% 78 ECL UN Equity Ecolab Inc -0.52% 79 EQIX UW Equity Equinix Inc 0.81% 79 ED UN Equity Consolidated Edison Inc -0.04% 80 CZR UW Equity Eldorado Resorts Inc 1.44% 80 EL UN Equity Estee Lauder Cos. -0.19% 81 ESS UN Equity Essex Property Trust 0.19% 81 EMN UN Equity Eastman Chemical Co -0.08% 82 ETR UN Equity Entergy Corp 0.02% 82 EMR UN Equity Emerson Electric Co -0.29% 83 ETSY UW Equity Etsy Inc 1.69% 83 EQR UN Equity Equity Residential -0.50% 84 EXC UW Equity Exelon Corp 0.31% 84 ETN UN Equity Eaton Corp -0.19% 85 EXPD UW Equity Expeditors Intl of WA Inc 0.51% 85 EW UN Equity Edwards Lifesciences Corp -0.06% 86 EXR UN Equity Extra Space Storage Inc 0.38% 86 EXPE UW Equity Expedia -0.96% 87 FANG UW Equity Diamondback Energy Inc 1.62% 87 F UN Equity Ford Motor Co -0.02% 88 FAST UW Equity Fastenal Co 0.17% 88 FIS UN Equity Fidelity National Information -0.41% 89 FB UW Equity Facebook Inc 0.81% 89 FLT UN Equity FleetCor Technologies Inc -0.32% 90 FBHS UN Equity Fortune Brands Home & Security Inc 0.84% 90 FOX UW Equity Fox Corp -0.63% 91 FCX UN Equity Freeport McMoRan Copper & Gold 0.85% 91 FOXA UW Equity Fox Corp -0.21% 92 FDX UN Equity FedEx Corp 0.62% 92 FRT UN Equity Federal Realty Invt Trust -0.43% 93 FE UN Equity FirstEnergy Corp 0.13% 93 FTV UN Equity Fortive Corp -0.85% 94 FFIV UW Equity F5 Networks Inc 0.03% 94 GD UN Equity General Dynamics -0.26% 95 FISV UW Equity Fiserv Inc 0.47% 95 GE UN Equity General Electric Co -0.34% 96 FITB UW Equity Fifth Third Bancorp (OH) 0.18% 96 GILD UW Equity Gilead Sciences Inc -0.12% 97 FMC UN Equity FMC Corp 0.05% 97 GIS UN Equity General Mills Inc -0.35% 98 FRC UN Equity First Republic Bank 0.10% 98 GLW UN Equity Corning Inc -0.20% 99 FTNT UW Equity Fortinet Inc 0.05% 99 GM UN Equity General Motors Company -0.33% 100 IR UN Equity Gardner Denver Holdings Inc 1.57% 100 GPC UN Equity Genuine Parts Co -0.64% 101 GNRC UN Equity Generac Holdings Inc 1.06% 101 GPS UN Equity Gap Inc -0.59% 102 GOOG UW Equity GOOGLE INC-CL C 0.79% 102 GRMN UW Equity Garmin Ltd -0.04% 103 GOOGL UW Equity GOOGLE INC-CL A 0.53% 103 HAL UN Equity Halliburton Co -0.67% 104 GPN UN Equity Global Payments Inc 0.81% 104 HAS UW Equity Hasbro Inc -0.03% 105 GS UN Equity Goldman Sachs Group Inc 0.40% 105 HBI UN Equity Hanesbrands Inc -0.07% 106 GWW UN Equity WW GRAINGER INC 0.17% 106 HCA UN Equity HCA Holdings Inc -0.44% 107 HBAN UW Equity Huntington Bancshares (OH) 0.20% 107 WELL UN Equity Welltower Inc -1.02% 108 HD UN Equity Home Depot Inc 0.13% 108 PEAK UN Equity HCP Inc -0.18% 109 HES UN Equity Hess Corp 0.29% 109 HLT UN Equity HILTON WORLDWIDE HLDGS INC COM -0.44% 110 HIG UN Equity Hartford Finl Services Group 0.06% 110 HOLX UW Equity Hologic Inc -0.17% 111 HII UN Equity HUNTINGTON INGALLS INDUSTRIE 0.48% 111 HON UW Equity Honeywell Intl Inc -0.53% 112 HPE UN Equity HEWLETT PACKARD ENTERPRIS 0.07% 112 HRL UN Equity