Zacks Selection Methodology – Overview

Founded in 1978, Zacks Investment Research has more than 25 years of experience in providing institutional and individual investors with the analytical tools and financial information necessary to the success of their investment process. Today, Zacks’ models process over 25,000 earnings estimate revisions and changes in broker recommendations weekly from over 200 brokerage firms, produced by more than 3,500 analysts.

Zacks selects Reference Shares for each Z Series Reverse Convertibles Notes using a proprietary quantitative investment strategy for security selection that attempts to identify stocks and ADRs whose returns it anticipates will outperform the returns generated by stocks and ADRs in the broad U.S. market. Zacks maintains a database of over 8,300 North American stocks and ADRs listed on U.S.-based exchanges and applies its selection methodology to the approximately 4,500 to 5,000 stocks and ADRs in this database that have reported earnings estimates. Zacks’ selection methodology utilizes multi-factor proprietary selection rules to identify those stocks and ADRs that offer the greatest potential to generate returns commensurate with the anticipated levels of risk associated with these stocks and ADRs. The Z Series selection rules combine several variables such as liquidity, relative valuation and company efficiency, as well as other factors such as the availability of options on and the presence of sufficient implied volatility of the stocks and ADRs, to enhance the investment applications and investment utility of such stocks and ADRs. The Z Series selection methodology is not intended to predict the future market or financial performance of any company.