U.S. Managed Volatility Strategy

The Strategy seeks to provide competitive returns and maintain low volatility, in each case, as compared to the specified benchmark index (the "Index"), over the long term by constructing a portfolio of stocks with low expected volatility relative to the Index.

BENCHMARK: Russell 3000^® Index

Equity securities of the Index.

The Strategy is managed using a proprietary quantitative investment process to emphasize securities with relatively low expected volatility. We seek to favor securities with low exposure to market risk factors, such as beta, and securities with low security-specific risk.

Additionally, in order to seek to achieve appropriate levels of diversification, SSGA implements one or more risk constraints at the security, industry, sector or size exposure levels. These risk constraints are implemented on an absolute basis or a benchmark-relative basis. Through this quantitative process of security selection and portfolio diversification, we expect that the Portfolio will be subject to a low level of absolute risk (as defined by standard deviation of returns) and thus should exhibit lower volatility relative to the Index over the long term. There is no guarantee that the Strategy will in fact be subject to lower levels of volatility than the Index.

The Portfolio uses a proprietary "rules-based optimization" investment process and is not passively managed against a benchmark index. Its investment performance may differ significantly from (and may underperform) the performance of its benchmark Index.

SSGA may engage in transactions involving derivatives on behalf of a Portfolio in order to adjust the portfolio's attributes relative to the Index or the portfolio's risk profile generally, as a substitute for investments directly in securities, or to gain or reduce exposures to securities pending anticipated investments or disinvestments.

Although SSGA may consider the factors described above in purchasing or selling investments for the Strategy, SSGA may purchase, sell, or continue to hold an investment for the Strategy whenever it believes that doing so may benefit the Strategy, on the basis of any of the factors described above, or any other factors it deems relevant.

Note:

Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell 3000® Index is a trademark of Frank Russell Company.

There are risks involved with investing, including possible loss of principal. You should refer to the Strategy's Disclosure Document (SDD) for a complete description of the risks of investing in the Strategy. Please contact SSGA's relationship management team for a copy of the SDD.