The Portfolio will track and replicate the NewFunds/Absa Volatility Managed SA Defensive Equity
Index, an index which allows an Investor to gain full market exposure to a universe of 30 liquid,
JSE-listed equity securities selected on a factor specification to low volatility characteristics
demonstrated in their performance. The Portfolio will comprise of both equity securities and cash
(assets in liquid form), the proportion of which will be determined by the risk management process
(the concurrent target volatility control mechanism and drawdown management process). The target
volatility control mechanism aims to increase the proportion allocated to equity securities during
periods of low volatility; and in turn increases the proportion allocated to cash during periods of high
volatility. Specifically, where volatility rises and exceed the target threshold of 8%, the proportion
allocated to cash will be increased. Where such volatility decreases, the proportion allocated to equity
securities will be increased. The drawdown management process aims to increase allocation to cash
during periods where the drawdown of the equity basket approaches 15% i.e. where there is a 15%
fall from the most recent price peak. In all instances the trade threshold is set at 10%.