WisdomTree Siegel Strategic Value Index™

Methodology

The WisdomTree Siegel Strategic Value Index™ is designed to systematically leverage proven investment strategies with the aim to provide excess returns through volatility controls.

Value Investing

Based on the latest value investing research by Professor Jeremy Siegel, the Index seeks to systematically identify undervalued U.S. market sectors.

Company Valuation

As defined by Professor Siegel, rather than using traditional valuation metrics like Book Value, or Price-to-Earnings Ratios, the Index focuses on the use of Operating Earnings and Total Enterprise Value as more reliable measures of valuation.

Trend Analysis

The Index attempts to use Trend Analysis to predict future market movements based on historical data in order to capitalize on momentum when the markets are moving higher and reduce exposure when markets are declining.

Risk Management

The Index utilizes a Risk Management Strategy which enables a shift to a more conservative allocation when equity markets become volatile in an effort to reduce the impact of market declines.

An Alternative Approach to Value Investing

A new way to look at time-tested practices

As opposed to using traditional valuation metrics like Book Value or Price-to-Earnings, the Index bases its investment approach on the ratio of Operating Earnings and Total Enterprise Value as more reliable measures of valuation.

Valuation based on Operating Earnings avoids changes in generally accepted accounting principles (GAAP) and one-time events that do not impact the longer-term value of firms.

By using Operating Earnings and Total Enterprise Value (TEV), rather than Market Capitalization on Earnings (or Price-to-Earnings Ratio (P/E Ratio)), this formula creates more accurate comparisons across companies with different capital structures.

The methodology also leverages Professor Siegel’s research on Aggregation Bias, which addresses cases where a few companies with very large losses can result in an artificially high P/E ratio at an aggregate level.

Important Notice

The WisdomTree Siegel Strategic Value Index™ (the “Index”) is the exclusive property of Canadian Imperial Bank of Commerce (Canadian Imperial Bank of Commerce, together with its affiliates, “CIBC”). CIBC contracted with affiliates of Bloomberg Finance L.P. (“Bloomberg”) to maintain and to make certain calculations related to the Index. “Canadian Imperial Bank of Commerce”, “CIBC”, and “WisdomTree Siegel Strategic Value Index™” (collectively, the “CIBC Marks”) are trademarks or service marks of CIBC, Jeremy Siegel (“Siegel”), senior research advisor to WisdomTree Investments, Inc. (“WisdomTree”), and WisdomTree each contributed to the development of the Index without considering the needs of any person, purchaser or trader of any product using the Index. “WisdomTree®” is a registered trademark of WisdomTree Investments, Inc. WisdomTree and Siegel have licensed certain rights to CIBC to use their names in connection with the Index and the inclusion of such names in the Index should not be considered or relied upon as a recommendation by WisdomTree or Siegel regarding the use or suitability of the Index. None of CIBC, WisdomTree, Bloomberg or Siegel are affiliated with each other or control or are controlled by each other. None of CIBC, Bloomberg, Siegel or WisdomTree or any other third-party licensor (collectively, the “Index Parties”) to CIBC is acting, or has been authorized to act, as an agent of any issuer of any product or transaction using the Index or has in any way sponsored, promoted, solicited, negotiated, endorsed, offered, sold, issued, supported, structured or priced any products or transaction or provided investment advice or any other advice to any person, purchaser or trader of any product or transaction using the Index. The Index Parties are not the issuer of the products or transactions. Purchasers of any products neither acquire an interest in the Index nor enter into any relationship of any kind whatsoever with the Index Parties.

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REGARDING HYPOTHETICAL SIMULATIONS

The Index was launched on December, 19, 2018.

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