fs-sp-400

S&P MIDCAP 400Equity

The S&P MidCap 400 seeks to track the performance of mid-cap U.S. equities, representing more than 7% of availableU.S. market cap.

Description

Index Attributes

The S&P MidCap 400 is designed to measure the performance of 400 mid-sized companies in the U.S., reflecting thismarket segments distinctive risk and return characteristics. Mid-cap exposure generally captures a phase in the typicalcorporate life cycle in which firms have successfully navigated the challenges specific to small companies, such asraising initial capital and managing early growth. At the same time, mid caps tend to be quite dynamic and not so largethat continued growth is unattainable. As a result, the mid-cap segment may offer aspects of the markets not covered bythe large- and small-cap worlds.

The S&P MidCap 400 is part of a series of S&P Dow Jones U.S. equity indices that can be used as mutually exclusivebuilding blocks; the index does not overlap holdings with the S&P 500 or S&P SmallCap 600.Together, they constitute the S&P Composite 1500.

Methodology Construction

Universe. All constituents must be U.S. companies.

Eligibility Market Cap. Companies with unadjusted market cap of USD 1.4 billion to USD 5.9 billion.

Public Float. At least 50% of shares outstanding must be available for trading.

Financial Viability. Companies must have positive as-reported earnings over the most recent quarter, as well as overthe most recent four quarters (summed together). Adequate Liquidity and Reasonable Price. Consists of liquid common stocks, with active secondary markets.

Sector Representation. Companies' industry classifications contribute to the maintenance of a sector balance thatis in line with the sector composition of the universe of eligible companies within the defined market-cap range. Company Type. All eligible U.S. common equities listed on NYSE, NYSE Arca, NYSE MKT, NASDAQ Global SelectMarket, NASDAQ Global Market and NASDAQ Capital Market. REITs are also eligible for inclusion. Closed-end funds,ETFs, ADRs, ADSs and certain other types of securities are ineligible for inclusion.

Quick Facts

Float-adjusted market cap weightedWEIGHTING METHOD

Quarterly, after the close on the third Friday of the quarter-ending monthREBALANCING FREQUENCY

Real timeCALCULATION FREQUENCY

USD, CAD, EUR, GBP, JPYCALCULATION CURRENCIES

June 19, 1991LAUNCH DATE

For more information, including the complete methodology document, please visit:http://www.spindices.com/indices/equity/sp-400

All information for an index prior to its Launch Date is back-tested, based on the methodology that was in effect on the Launch Date. Back-testedperformance, which is hypothetical and not actual performance, is subject to inherent limitations because it reflects application of an Indexmethodology and selection of index constituents in hindsight. No theoretical approach can take into account all of the factors in the markets in generaland the impact of decisions that might have been made during the actual operation of an index. Actual returns may differ from, and be lower than,back-tested returns.

AS OF SEPTEMBER 30, 2015 www.spdji.com [email protected] BLOOMBERGSM SPX


Historical Performance

S&P 400

Performance

YTD3 MOS1 MO 10 YRS3 YRS 5 YRS

INDEX LEVEL

1 YR

RETURNS ANNUALIZED RETURNS

8.25%-3.22% -8.50% -4.66% 1.40% 13.12% 12.93%1,953.00

TOTAL RETURNS

6.69%-3.38% -8.87% -5.75% -0.15% 11.44% 11.28%1,368.91

PRICE RETURNS

N/A-5.63% -6.81% -1.78% -0.44% 14.59% 15.63%1,947.73

NET TOTAL RETURNS

Calendar Year Performance

2014 2013 2012 2011 2010 20072009 2008 2006 2005

7.98%17.88% -1.73% 26.64% 37.38% -36.23%33.50%

TOTAL RETURNS

12.56%10.32%9.77%

6.69%16.07% -3.10% 24.85% 35.00% -37.28%31.57%

PRICE RETURNS

11.27%8.99%8.19%

N/A17.33% -2.14% 26.10% 36.66% -36.55%32.92%

NET TOTAL RETURNS

N/AN/A9.29%



10 YRS5 YRS3 YRS

Risk

ANNUALIZED RISK ANNUALIZED RISK-ADJUSTED RETURNS

3 YRS 10 YRS5 YRS

11.24% 13.83% 17.75% 1.17 0.94 0.46

STD DEV

Risk is defined as standard deviation calculated based on total returns using monthly values.

Fundamentals

DIVIDEND YIELDP/BP/E [PROJECTED]P/E [TRAILING] P/CASH FLOWP/SALES

N/A 18.35 N/A 1.69% N/A N/A

As of August 31, 2015. Fundamentals are updated on approximately the fifth business day of each month.

Index Characteristics

[ USD MILLION ]

MEAN TOTAL MARKET CAP 3,778.89

LARGEST TOTAL MARKET CAP 11,026.95

SMALLEST TOTAL MARKET CAP 507.55

MEDIAN TOTAL MARKET CAP 3,363.27

400

CONSTITUENT MARKET CAP

NUMBER OF CONSTITUENTS

0.8WEIGHT LARGEST CONSTITUENT [%]

6.6WEIGHT TOP 10 CONSTITUENTS [%]

CONSTITUENT SYMBOL SECTOR*

Top 10 Constituents By Index Weight

Church & Dwight Co CHD Consumer Staples

Alaska Air Group Inc ALK Industrials

Foot Locker Inc FL Consumer Discretionary

Jarden Corp JAH Consumer Discretionary

Hologic Inc HOLX Health Care

Extra Space Storage Inc EXR Financials

Federal Realty Invt Trust FRT Financials

HollyFrontier Corporation HFC Energy

UDR Inc UDR Financials

LKQ Corp LKQ Consumer Discretionary

*Based on GICS sectors



Sector* Breakdown

*Based on GICS sectors

The weightings for each sector of the index are rounded to the nearest tenth of a percent; therefore, the aggregate weights for the index may not equal100%.

Country Breakdown

COUNTRY INDEX WEIGHT [%]NUMBER OF CONSTITUENTS TOTAL MARKET CAP [USD MILLION]

United States 100.0400 1,511,554.93

Based on index constituents country of domicile.

Tickers

REUTERSTICKER

PRICE RETURNS MID .IDX

TOTAL RETURNS SPTRMDCP .TR4GSPC

NET TOTAL RETURNS N/A .SP400NTR



Related Products

This is a complete list of all ETFs and ETNs currently linked to this selection of indices. While we have tried to include all ETFs and ETNs, we do notguarantee the completeness of such list. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any product linked to our indices.

PRODUCT NAME TICKEREXCHANGEPRODUCT TYPE

Direxion Daily Mid Cap Bear 3X Shares MIDZ

Direxion Daily Mid Cap Bull 2X Shares MDLL

ETF NYSE Arca

ETF NYSE Arca

Direxion Daily Mid Cap Bull 3X Shares MIDU

iShares Core S&P Mid-Cap ETF IJH

ETF NYSE Arca

ETF NYSE Arca

ProShares UltraPro MidCap400 UMDD

ProShares UltraPro Short MidCap400 SMDD

ETF NYSE Arca

ETF NYSE Arca

S&P 400 MidCap SPDR MDY

Short Midcap400 ProShares MYY

ETF NYSE Arca

ETF NYSE Arca

SPDR S&P 400 US Mid Cap ETF - A SPY4 GR

Ultra Midcap400 ProShares MVV

ETF Xetra ETF

ETF NYSE Arca

Ultrashort Midcap 400 Proshares MZZ

Vanguard S&P Mid-Cap 400 ETF IVOO

ETF NYSE Arca

ETF NYSE Arca



Disclaimer

Source: S&P Dow Jones Indices LLC.

The launch date of the S&P 400 was June 19, 1991.

All information presented prior to the index launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. Theback-test calculations are based on the same methodology that was in effect when the index was officially launched. Past performance is not aguarantee of future results. Please see the Performance Disclosure at http://www.spindices.com/regulatory-affairs-disclaimers/ for more informationregarding the inherent limitations associated with back-tested performance.

S&P Dow Jones Indices LLC, a part of McGraw Hill Financial 2015. All rights reserved. Redistribution, reproduction and/or photocopying in whole or inpart are prohibited without the written permission of S&P Dow Jones Indices. Standard & Poor's and S&P are registered trademarks of Standard &Poor's Financial Services LLC ("S&P"), a part of McGraw Hill Financial, Inc. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC("Dow Jones"). S&P Dow Jones Indices LLC, Dow Jones, S&P and their respective affiliates ("S&P Dow Jones Indices") make no representation orwarranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent andS&P Dow Jones Indices shall have no liability for any errors, omissions, or interruptions of any index or the data included therein. Past performance ofan index is not an indication of future results. This document does not constitute an offer of any services. All information provided by S&P Dow JonesIndices is general in nature and not tailored to the needs of any person, entity or group of persons. It is not possible to invest directly in an index. S&PDow Jones Indices may receive compensation in connection with licensing its indices to third parties. Exposure to an asset class represented by anindex is available through investable instruments offered by third parties that are based on that index. S&P Dow Jones Indices does not sponsor,endorse, sell, promote or manage any investment fund or other investment vehicle that seeks to provide an investment return based on theperformance of any Index. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regardingthe advisability of investing in any such investment fund or other investment vehicle. For more information on any of our indices please visit www.spdji.com.

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