Date: 20-Aug-21 Index Weights as of monthly rebalance date 13-Aug-21 Citi Pure Estimates Momentum Japan Long-Short Net TR Index (CIISEMJT) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1801 JT Equity Taisei Corp 1.80% 1 1605 JT Equity INPEX Corp -0.32% 2 1925 JT Equity Daiwa House Industry Co 0.35% 2 1878 JT Equity Daito Trust Construction Co -0.05% 3 1928 JT Equity Sekisui House 0.16% 3 2413 JT Equity M3 Inc -1.68% 4 2502 JT Equity Asahi Group Holdings Ltd 0.46% 4 2801 JT Equity Kikkoman Corp -1.35% 5 2503 JT Equity Kirin Holdings Co Ltd 0.95% 5 3407 JT Equity Asahi Kasei Corporation -0.87% 6 2802 JT Equity Ajinomoto Co 0.06% 6 3436 JT Equity Sumco Corp -4.05% 7 2914 JT Equity Japan Tobacco Inc 1.23% 7 3659 JT Equity Nexon Co Ltd -0.35% 8 3064 JT Equity Monotaro Co Ltd 1.45% 8 3769 JT Equity Gmo Payment Gateway Inc -0.29% 9 3092 JT Equity Start Today Co Ltd 1.91% 9 4188 JT Equity Mitsubishi Chemical Holdings Corp -0.69% 10 3402 JT Equity Toray Industries Inc 1.04% 10 4324 JT Equity Dentsu Inc -1.53% 11 4004 JT Equity Showa Denko KK 2.52% 11 4452 JT Equity Kao Corp -1.80% 12 4005 JT Equity Sumitomo Chemical Co 0.59% 12 4543 JT Equity Terumo Corp -1.55% 13 4021 JT Equity Nissan Chemical Industries 1.34% 13 4587 JT Equity PeptiDream Inc. -1.99% 14 4063 JT Equity Shin-Etsu Chemical Co 1.84% 14 4704 JT Equity Trend Micro Inc -0.22% 15 4502 JT Equity Takeda Pharmaceutical Co Ltd 0.85% 15 4755 JT Equity Rakuten Inc -1.35% 16 4503 JT Equity Astellas Pharma Inc 0.41% 16 4901 JT Equity Fujifilm Holdings Corp -1.53% 17 4507 JT Equity Shionogi & Co 0.36% 17 4911 JT Equity Shiseido Co -0.46% 18 4519 JT Equity Chugai Pharmaceutical Co 0.77% 18 4921 JT Equity Fancl Corp -0.98% 19 4523 JT Equity Eisai Co 2.10% 19 4922 JT Equity Kose Corp -1.70% 20 4528 JT Equity Ono Pharmaceutical Co 0.17% 20 5020 JT Equity JX HOLDINGS INC -1.51% 21 4568 JT Equity Daiichi Sankyo Co Ltd 1.89% 21 5201 JT Equity Asahi Glass Co -3.57% 22 4578 JT Equity Otsuka Holdings Co Ltd 3.18% 22 5401 JT Equity Nippon Steel Corp -3.19% 23 4661 JT Equity Oriental Land Co 0.83% 23 5411 JT Equity JFE Holdings Inc -0.54% 24 4689 JT Equity Yahoo Japan Corp 0.18% 24 5713 JT Equity Sumitomo Metal Mining Co -1.72% 25 4751 JT Equity Cyber Agent Ltd 0.10% 25 5802 JT Equity Sumitomo Electric Industries -0.52% 26 5019 JT Equity Idemitsu Kosan Co Ltd 1.83% 26 6146 JT Equity Disco Corp -0.97% 27 5108 JT Equity Bridgestone Corp 0.21% 27 6268 JT Equity Nabtesco Corp -0.20% 28 6098 JT Equity Recruit Holdings Co Ltd 1.15% 28 6273 JT Equity SMC Corp -2.65% 29 6178 JT Equity Japan Post Holdings Co Ltd 0.58% 29 6301 JT Equity Komatsu -1.31% 30 6201 JT Equity Toyota Industries Corp 0.50% 30 6383 JT Equity Daifuku Co -0.38% 31 6326 JT Equity Kubota Corp 0.23% 31 6479 JT Equity Minebea Co -1.22% 32 6367 JT Equity Daikin Industries 0.19% 32 6481 JT Equity THK Co -2.49% 33 6501 JT Equity Hitachi 1.99% 33 6504 JT Equity Fuji Electric Co Ltd -0.44% 34 6503 JT Equity Mitsubishi Electric Corp 0.61% 34 6586 JT Equity Makita Corp -0.29% 35 6594 JT Equity Nidec Corp 0.43% 35 6701 JT Equity NEC Corp -1.54% 36 6645 JT Equity Omron Corp 0.60% 36 6861 JT Equity Keyence Corp -0.07% 37 6702 JT Equity Fujitsu 2.47% 37 6869 JT Equity Sysmex Corp -1.79% 38 6723 JT Equity Renesas Electronics Corp 0.92% 38 6902 JT Equity Denso Co -0.44% 39 6752 JT Equity Panasonic Corp 1.15% 39 6954 JT Equity Fanuc Co -0.91% 40 6758 JT Equity Sony Corp 5.00% 40 6963 JT Equity ROHM CO LTD -2.49% 41 6762 JT Equity TDK Corp 1.23% 41 6971 JT Equity Kyocera Corp -1.41% 42 6770 JT Equity Alps Electric Co 0.04% 42 6981 JT Equity Murata Manufacturing Co Ltd -5.00% 43 6857 JT Equity Advantest Corp 4.95% 43 6988 JT Equity NITTO DENKO CORP -0.33% 44 7013 JT Equity IHI Corp 0.60% 44 7011 JT Equity Mitsubishi Heavy Industries -0.20% 45 7201 JT Equity Nissan Motor Co 0.38% 45 7203 JT Equity Toyota Motor Corp -3.65% 46 7202 JT Equity Isuzu Motors 0.56% 46 7259 JT Equity Aisin Seiki Co -0.27% 47 7270 JT Equity Fuji Heavy Industries 2.40% 47 7261 JT Equity Mazda Motor Corp -2.78% 48 7309 JT Equity Shimano Inc 0.21% 48 7267 JT Equity Honda Motor Co -0.96% 49 7731 JT Equity Nikon Corp 1.83% 49 7269 JT Equity Suzuki Motor Corp -3.52% 50 7735 JT Equity Dainippon Screen Mfg Co 0.53% 50 7272 JT Equity Yamaha Motor Co -1.27% 51 7751 JT Equity Canon Inc 1.85% 51 7741 JT Equity Hoya Corp -2.74% 52 7832 JT Equity Namco Bandai Holdings Inc 1.24% 52 7974 JT Equity Nintendo Co Ltd -5.00% 53 7956 JT Equity Pigeon Corp 0.79% 53 8002 JT Equity Marubeni Corp -0.49% 54 8001 JT Equity Itochu Corp 1.48% 54 8031 JT Equity Mitsui & Co 0.00% 55 8028 JT Equity Familymart Co 2.20% 55 8053 JT Equity Sumitomo Corp -0.14% 56 8035 JT Equity Tokyo Electron 2.31% 56 8058 JT Equity Mitsubishi Corp -3.35% 57 8267 JT Equity Aeon Co Ltd 1.10% 57 8113 JT Equity Uni Charm Corp -0.53% 58 8306 JT Equity Mitsubishi UFJ Financial Group Inc 4.30% 58 8309 JT Equity Sumitomo Mitsui Trust Holdings Inc -1.40% 59 8308 JT Equity Resona Holdings Inc 0.81% 59 8316 JT Equity Sumitomo Mitsui Financial Group -4.88% 60 8591 JT Equity Orix Corp 0.90% 60 8411 JT Equity Mizuho Financial Group Inc -3.14% 61 8604 JT Equity Nomura Holdings Inc 5.00% 61 8473 JT Equity SBI Holdings Inc -0.83% 62 8750 JT Equity DAI-ICHI LIFE INSURANCE 1.69% 62 8601 JT Equity Daiwa Securities Group Inc -0.47% 63 8830 JT Equity Sumitomo Realty & Dev Co 0.74% 63 8630 JT Equity NKSJ HOLDINGS INC -0.33% 64 9020 JT Equity East Japan Railway Co 1.31% 64 8725 JT Equity MS&AD INSURANCE GROUP HOLDIN -1.13% 65 9021 JT Equity West Japan Railway 1.33% 65 8766 JT Equity Tokio Marine Holdings Inc -0.99% 66 9022 JT Equity Central Japan Railway Co 2.88% 66 8795 JT Equity T&D Holdings Inc -0.17% 67 9101 JT Equity Nippon Yusen KK 0.55% 67 8801 JT Equity Mitsui Fudosan Co -0.36% 68 9104 JT Equity Mitsui OSK Lines Ltd 0.99% 68 8802 JT Equity Mitsubishi Estate Co -0.68% 69 9201 JT Equity JAPAN AIRLINES CO NPV 1.21% 69 9434 JT Equity Softbank Corp -0.27% 70 9202 JT Equity All Nippon Airways Co 0.17% 70 9437 JT Equity NTT DOCOMO -0.36% 71 9432 JT Equity Nippon Tel & Tel Corp 1.67% 71 9501 JT Equity Tokyo Electric Power Co -0.50% 72 9433 JT Equity KDDI Corp 0.25% 72 9843 JT Equity Nitori Holdings Co -1.07% 73 9503 JT Equity Kansai Electric Power Co Inc 0.47% 73 9983 JT Equity Fast Retailing Co -0.82% 74 9531 JT Equity Tokyo Gas Co 0.03% 75 9613 JT Equity NTT Data Communications Systems 0.82% 76 9684 JT Equity Square Enix Co Ltd 4.67% 77 9735 JT Equity Secom Co 1.22% 78 9984 JT Equity Softbank Corp 0.88%.