The investment objective of the Fund is to reflect the price return of US large cap equities represented by the S&P 500 Index (the "Index") subject to an approximate cap on positive performance of the Index above a certain level whilst seeking to maximise protection against negative performance of the Index below a certain level when Shares are held from the beginning to the end of a specified 12-month outcome period. The Fund is actively managed. In order to achieve its investment objective, the Fund enters into unfunded total return swaps which seek to deliver the performance of the Index.