ABR Dynamic Weight Index

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ABR Dynamic Weight Index℠

December 31, 2021

The ABR Dynamic Weight Index℠ designed by ABR Dynamic Funds, LLC, measures a proprietary model that reweights the S&P 500 by blending its market-capitalization-weighted and equal- weighted indices. The model targets the generally higher returns of smaller capitalization stocks in the S&P 500 over long periods of time while also dynamically mitigating extended periods of equal weight underperformance of capitalization weight, aiming to outperform the S&P 500. Created in 2017 with a time series of data beginning on December 31, 1990, the index is designed to measure a strategy that aims to harvest the risk premium inherent in smaller capitalization stocks within the S&P 500.

Five-Year Average Exposure

S&P 500 EW

44%

S&P 500

56%

Performance Snapshot

	Total Return (%)			Annualized Total Return (%)
3-month	Ytd	2020	1-year	3-year	5-year	10-year
8.82	29.20	14.25	29.20	24.01	16.13	15.99

Performance History

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S&P 500		ABRDYR

Objective

Measures a proprietary reweighted blend of the S&P 500, targeting long-term S&P 500 outperformance.

Key Features

• Proprietary model of component weighting
• Exposure updated daily:
• • S&P 500 Total Return Index
  • S&P 500 Equal Weighted Total Return Index
• Limited daily rebalance size
• Notionally unleveraged
• Long-only
• Created April 21, 2017

Quick Facts

Weighting

Equities

Review Frequency

Daily

Base Value

Total Index: 100.00 (at Dec 31, 1990)

Calculation Frequency

Daily for each U.S. trading day

History Availability

Daily from December 31, 1990

Since Inception Risk Values

Index	Annualized	Correlation	Max	Up Capture	Down Capture	Standard	Beta to	Sharpe
Return	to S&P 500	Drawdown	Ratio	Ratio	Deviation	S&P 500	Ratio
ABRDYR	13.65%	96.4%	-53.1%	107.5%	97.5%	15.4%	1.03	0.87
SPXT	11.24%	100.0%	-50.9%	100.0%	100.0%	14.5%	1.00	0.76

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Performance History

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			SPXEWTR			ABRDYR
Index	Annualized Return	Sharpe Ratio	Max Drawdown
ABRDYR	13.65%			0.87	-53.1%
SPXEWTR	12.63%			0.80	-54.9%
SPXT	11.24%			0.76	-50.9%

Expected Symbology

Suggested Ticker	Bloomberg	Reuters Station	Yahoo
ABRDYR	ABRDYR	us;ABRDYR	^ABRDYR

More Information

Powered by Wilshire Indexes, please visit www.wilshire.com or email [e-mail].

ABR Dynamic Funds, LLC, please visit https://abrfunds.com/home/ or email [e-mail].

The S&P 500 Index, as adjusted to reflect reinvestment of dividends, is an unmanaged index of 500 stocks and sets forth the performance of a broad-based stock market index.

The ABR Equity Dynamic Weight Index℠ ("Index") is based on a methodology designed by ABR Dynamic Funds, LLC and is Powered by Wilshire. Wilshire calculates and distributes the Index based on the third-party supplied methodology, information and data. Wilshire makes no representations about the intended purpose or the methodology, information and data used to construct the Index. It is not possible to invest directly in an index. Exposure to an asset class represented by an index may be available through investable instruments derived from that index. Wilshire makes no representations regarding the advisability of investing in investment products based on the Index, which is not sponsored, endorsed, sold or promoted by Wilshire. Index returns do not reflect payment of certain sales charges or fees an investor may pay to purchase the securities underlying the Index or investment vehicles intended to track the performance of the Index. The imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Index performance shown. Inclusion of a company in the Index does not in any way reflect an opinion of Wilshire on the investment merits of the company.

The performance of the Index shown is hypothetical, does not reflect actual trading and does not reflect the deduction of any advisory fees, brokerage or other commissions and other expenses that a subscriber to the Index will bear. The performance of the Index and other indices also reflects the reinvestment of dividends and other earnings. Past performance is not indicative of future results and it is possible that investing in accordance with the Index could lead to losses in your investment.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS BROCHURE.

This material is based upon information generally available to the public and from third party sources believed to be reliable. Wilshire does not independently verify any of the information it receives. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information is as of the date indicated, and is subject to change without notice. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice. Wilshire receives compensation in connection with licensing of its indices to third parties.

Wilshire Advisors LLC (Wilshire) is an investment advisor registered with the SEC. Wilshire® is a registered service mark. ABR Dynamic Weight Index℠ is a service mark of ABR Dynamic Funds, LLC. All other trade names, trademarks, and/or service marks are the property of their respective holders Copyright © 2022 Wilshire. All rights reserved.

22-0110-IXFS

wilshire.com | 1299 Ocean Avenue, Suite 700 | Santa Monica, CA 90401 | 310-451-3051 | [e-mail]

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