Index Objective

The BlackRock Select Factor Index (the “Index”) objective is to offer diversified multi-asset exposure for a given target volatility.  The Index provides long exposure in up to seven exchange-traded funds (five equity ETFs and two fixed income ETFs), short exposure in up to one exchange-traded fund and has a cash constituent. The Index is subject to a target volatility of 5% (the “Target Volatility”).

The Index seeks to provide dynamic exposure to broad factors using economic regime observations, stock level fundamentals and momentum insights by monthly rebalancing its allocation to the five equity ETFs based on certain relationships between the equity ETFs and the common factors, as described in greater detail below.  The Index also seeks to achieve a 5% Target Volatility by hedging a portion of the equity exposure, as well as by investing in the fixed income ETFs and the cash constituent.

The Index tracks the return of the weighted ETFs and the cash constituent above the return on a funding rate*.