LEGAL & GENERAL S&P 500 DC CIT A

Alpha 1 Year-0.02 Alpha 3 Years-0.02 Alpha 5 Years-0.01 Average Gain 1 Year4.18 Average Gain 3 Years4.37 Average Gain 5 Years4.39 Average Loss 1 Year-3.15 Average Loss 3 Years-4.64 Average Loss 5 Years-4.54 Batting Average 1 Year33.33 Batting Average 3 Years33.33 Batting Average 5 Years40.00 Beta 1 Year1.00 Beta 3 Years1.00 Beta 5 Years1.00 Capture Ratio Down 1 Year100.02 Capture Ratio Down 3 Years100.02 Capture Ratio Down 5 Years100.02 Capture Ratio Up 1 Year99.94 Capture Ratio Up 3 Years99.96 Capture Ratio Up 5 Years99.98 Correlation 1 Year100.00 Correlation 3 Years100.00 Correlation 5 Years100.00 High 1 Year301.47 Information Ratio 1 Year-1.70 Information Ratio 3 Years-1.82 Information Ratio 5 Years-0.74 Low 1 Year216.70 Maximum Loss 1 Year-8.25 Maximum Loss 3 Years-23.87 Maximum Loss 5 Years-23.87 Performance Current Year14.85 Performance since Inception189.26 Risk adjusted Return 3 Years3.10 Risk adjusted Return 5 Years8.82 Risk adjusted Return Since Inception6.53 R-Squared (R²) 1 Year100.00 R-Squared (R²) 3 Years100.00 R-Squared (R²) 5 Years100.00 Sortino Ratio 1 Year2.70 Sortino Ratio 3 Years0.63 Sortino Ratio 5 Years1.22 Tracking Error 1 Year0.02 Tracking Error 3 Years0.01 Tracking Error 5 Years0.01 Trailing Performance 1 Month-0.37 Trailing Performance 1 Week-2.13 Trailing Performance 1 Year20.39 Trailing Performance 2 Years35.82 Trailing Performance 3 Months8.32 Trailing Performance 3 Years29.52 Trailing Performance 4 Years78.07 Trailing Performance 5 Years95.71 Trailing Performance 6 Months11.14 Trailing Return 1 Month1.22 Trailing Return 1 Year22.12 Trailing Return 2 Months4.85 Trailing Return 2 Years17.46 Trailing Return 3 Months10.04 Trailing Return 3 Years9.58 Trailing Return 4 Years15.75 Trailing Return 5 Years14.99 Trailing Return 6 Months14.75 Trailing Return 6 Years13.79 Trailing Return 7 Years14.13 Trailing Return 9 Months33.11 Trailing Return Since Inception14.79 Trailing Return YTD - Year to Date16.67 Treynor Ratio 1 Year22.56 Treynor Ratio 3 Years6.27 Treynor Ratio 5 Years13.53

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