• The purpose of many benchmark (beta) indices is to provide exposure to markets in connection to tradable instruments with adequate liquidity. In the case of commodities, for example, benchmark indices typically focus on exposure to a diverse set of commodities with significance to the world economy and with liquid futures markets.
• The AiLA indices on the other hand, even though aspects like diversification and liquidity are important, have the primary objective to provide absolute return alpha. This is typically not within the scope of benchmark indices, which makes the AiLA indices complementary, however, at the expense of being opportunistic and therefore not fully invested at all times.
• The so-called beta+ indices provide an approach to combine the benchmark (beta) and AiLA (alpha) indices, in order to achieve a preferred minimum level of market (beta) exposure with an additional variable (alpha) component, with the goal to improve the long-term investment return.
• This methodology document is intended to be read in conjunction with the corresponding AiLA as well as benchmark index methodology documents.

General conventions

Business Day for an asset refers to a day where the asset is trading and has a settlement Close Price.
Asset refers to one of the selected components of the Index. Assets can be in the form of a fixed contract or a rolling contract.
Price, P_(t,i) refers to the close price on business day t of Asset i.
Return, r ^% _(t,i) refers to percentage returns, (P_(t,i) - P_(t-1,i))/ P_(t-1,i).
Product refers to the AiLA Index, where its output are daily weights for each asset in the index.
Mid Cap Logic requires the execution of instructions on the close of the next Business Day. This is typically used for indices with a capacity lower than US$1 billion.
Large Cap Logic is typically used for indices with a capacity of US$1bn and above, where a different execution process is applied as described below.
Weights are calculated just after close on each business day.

Rebalancing Caps

Inline with the other types of AiLA indices, each Asset is assigned Daily Rebalancing Caps across the curve to prevent trading with a significant amount of slippage. These are specified under the following four Durations to the Expiry Date:

• ≤ 1M (≤ 22 Business Days)
• 1 – 3M (23 – 66 Business Days inclusive)
• 3 – 6M (67 to 132 Business Days inclusive)
• > 6M (More than 132 Business Days)

Asset Caps

Each Asset is assigned Daily Asset Caps equal to a given multiple of their rebalancing cap value, where the multiple used is 1x (4x) for the Mid (Large) Cap logic. The multiple hence suggests the number of days necessary to trade in/out of the max allowed weight.

• The Beta+ index is specified by three parameters,
  • Select Benchmark: the benchmark index, providing a minimum level of market exposure.
  • Benchmark Allocation: percentage of allocated capital to be invested in benchmark.
  • Select Alpha: the AiLA index, allocating a varying amount of the remaining capital.
• The Beta+ index is defined according to the following investment process,
  • Assuming: a benchmark index B, benchmark allocation 70% and an AiLA index A.
  • At time T, 70% of the total capital is invested in B and therefore 30% in A.
  • The capital for A (30%) is in turn invested according to the AiLA index weights provided at close of business day T-1, following the usual AiLA index process.
  • Therefore, the capital for A (30%) is only fully invested if the AiLA index allocates 100% of its capital.
• Note: In case a total percentage of capital allocated to the Beta+ index cannot exceed100%, the AiLA index must be designed with an allocation constraint to not exceed 100% of its capital.