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SKRADD Interval Fund Credit Index Methodology

Index Objective

The SKRADD Interval Fund Credit ("SKRADD-IFC") Index aims to track the performance of the 20 largest interval funds primarily investing in credit-focused investments, based on net assets and subject to the eligibility requirements discussed below. The constituents of the index are weighted by net assets, with a maximum weight cap of 10% for any individual constituent. The index is calculated on a quarterly basis and rebalanced annually. The index has a Base Date of December 31, 2020, and a Base Value of 100.0.

Any changes to or deviations from the methodology described are made in the sole judgment and discretion of SK Research and Due Diligence, LLC so that the index continues to achieve its objective.

Index Eligibility

To be eligible for inclusion in the SKRADD-IFC Index, an interval fund must meet the following criteria:

  • It must be a non-traded closed end investment company structured as an interval fund, as specified in its SEC filings.

  • Its investment strategy must primarily focus on credit-based investments.

  • Its strategy should not be primarily focused on the following:

    • Tax-advantaged investments (e.g., municipal bonds)

    • Infrastructure financing

    • ESG / "Impact" investments

Constituent Selection

The index includes the 20 largest interval funds, as determined by their net assets as of the rebalancing reference date, provided they satisfy the index eligibility criteria.

Constituent Weighting and Rebalancing

The index is rebalanced annually at the end of each calendar year. During rebalancing, the constituents are assigned weights based on their most recently reported net assets. Due to variations in fiscal year-ends across individual interval funds, the dates of the net asset amounts used to determine and weigh the constituents may not coincide. As such, the rebalancing process considers the net asset amounts reported within the months of October, November, and December to determine the index constituents and constituent weights for the upcoming calendar year.

For example, if the constituents have fiscal year-ends on 2/28, 10/31, and 12/31, the net asset amounts as of 11/30, 10/31, and 12/31, respectively, will be utilized to determine the top 20 constituents and their respective weights for the subsequent calendar year.

Individual index constituents are limited to a maximum weight of 10% and the excess weight is distributed proportionately among the remaining index constituents.

Index Calculation

Individual Constituent Quarterly Returns

For each constituent fund, the quarterly total return is calculated. This return includes both capital appreciation and reinvested distributions, where applicable. The specific methodology for calculating the quarterly return may depend on the available data and any adjustments required by the fund's reporting characteristics in SKRADD’s discretion.

Weighted Returns

The next step involves weighing the individual constituent returns based on their respective weights. The quarterly return of each constituent is multiplied by its corresponding weight.

Index Return Calculation

The index return for the calendar quarter is obtained by summing the weighted returns of all the constituent funds in the index. This provides an aggregated measure of the performance of the index during that quarter:

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