Monthly ETF Field Guide - Talking Points for Client Conversations November 2021 - Avantis Investors
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Monthly ETF Field Guide
Talking Points for Client Conversations
November 2021
Academic
Did You Know? Perspective Market Review Portfolio Updates Appendix
Expect the Unexpected Why Dollar Cost-Averaging Global stocks retreated Monthly performance Standardized
Can Be a Wise Strategy for amid renewed commentary performance
Over the last 12 months, Regret-Averse Investors coronavirus concerns.
interest rates in the U.S. Portfolio characteristics How to interpret charts
By Prof. Meir Statman Fears of new and composition
have increased. Can Glossary
changes in interest rates Dollar-cost averaging is government-imposed
tell us anything about like gradually dipping your COVID-19 restrictions Disclosures
future expected stock toes into the pool, while clouded the economic
returns? lump-sum investing is like outlook.
plunging in headfirst. How
Despite rising inflation,
should investors think Treasury yields declined
about dollar-cost
in a late-month flight to
averaging? quality.
Thi s information is not authorized for distribution unless preceded or accompanied by a current prospectus or summary prospectus.Did You Know?
2Expect the Unexpected
As we start to think about 2022, it can be helpful to reflect on what we Let’s consider the example of interest rate levels and what rising rates
accomplished over the past year. What happened that we expected, and likely signal for future stock returns. Over the last 12 months, interest
what surprised us? rates in the U.S. have increased, with most increases happening in spring
2021.
Despite inherent limitations, looking to the past can help guide our
expectations as we set goals and plan for what we are certain will occur. Figure 1 shows the interest rates for U.S. Treasuries of various
As time moves forward and we receive new information, we should adjust maturities. Rates as short term as one year, out to 10 and even 30 years
accordingly. have increased. Intermediate-term rates (five to 10 years) have increased
more than other segments of the yield curve.
We can apply the same logic to investments and a lot of market data in
general. After all, stock prices and interest rates are forward looking.
They embed the collective expectations of market participants about the Figure 1 | U.S. Treasury Rates Have Risen Over the Past Year
prospects of individual companies, sectors and economies. With news Maturity (Years) 11/26/2021 (%) 11/26/2020 (%) Change
comes additional information that can impact our assumptions about the 1 0.17 0.11 0.06
future—the latest COVID-19 variant first detected in South Africa, for 2 0.50 0.16 0.34
example. 3 0.80 0.21 0.59
Buying and selling activity around new information can be perfectly 5 1.17 0.40 0.77
sensible, just as using the past to help inform our expectations about the 7 1.40 0.65 0.75
future can be sensible. But the future holds a high level of uncertainty, a 10 1.49 0.88 0.61
fact we should all keep top of mind as we evaluate predictions and 20 1.90 1.41 0.49
forecasts. 30 1.84 1.63 0.21
Data as of 11/26/2021. Source: Bloomberg.
3Expect the Unexpected
Figure 2 | Despite Recent Increases, Interest Rates Are Still Low
18
On a relative basis, these rate increases
16 appear to be meaningful. And if we look back
over time, however, they seem less severe.
14 Figure 2 plots the yield on 10-year U.S.
10-Year U.S. Treasury Yield (%)
Treasuries from 1971, when President Richard
Nixon discontinued the gold standard.
12
While rates have increased recently, by almost
any measure, we are still very much in a low
10 interest rate environment in the U.S.
8
6
4
2
0
1971 1976 1981 1986 1991 1996 2001 2006 2011 2016 2021
Data from 1/1/1971 – 9/30/2021. Sources: FRED, Federal Reserve Bank of St. Louis and U.S. Bureau of Labor Statistics, Avantis Investors.
4Expect the Unexpected
Don’t Mistake the Noise for a Signal Figure 3 | Current Yields Have Information About Future Yields
18
So, if we want to try to use interest rates to inform our expectations
16
about future stock returns, the first question is whether interest rates
today, or recent changes in interest rates, tell us anything about 14
Yield–Current (%)
interest rates in the future. Why? If the “signal” we are using to inform 12
our actions is really noisy, how can we be sure that it gives us a true 10
signal, not just noise? 8
Figure 3 shows the relationship between the 10-year Treasury yield 12 6
months ago (horizontal axis) and interest rates today (vertical axis). 4
The nearly one-to-one slope of the line illustrates the strength of the
2
relationship. We observe that interest rate levels from a year ago tell us
0
a lot about interest rate levels today. Even though it is not a perfect
0 5 10 15 20
match, today’s interest rates tell us a lot about future interest rates.
Yield–12 Months Ago (%)
What if we look at the relationship between recent changes in interest Figure 4 | Recent Changes in Yield Don’t Tell Us Much About Future Changes
rates versus future changes in interest rates? Figure 4 plots the prior 5
Change in Yield–Next 12 Months (%)
six-month change in the 10-year Treasury yield against the subsequent 4
12-month change. In other words, each value on the horizontal axis 3
represents the change in interest rates from March through September 2
of each year, while the vertical axis plots the subsequent change from 1
October to the following September. 0
Relative to Figure 3, where the dots fall in a clear pattern, here we see -1
no discernable pattern. The dots look more like a cloud than a straight -2
line. Basically, the change in interest rates over the last six months -3
doesn’t tell us much about what will happen with interest rates over the -4
next year. “Expected” changes probably already happened, while -5
unexpected changes yet to occur are randomly distributed. -3 -2 -1 0 1 2 3
Change in Yield–Prior 6 Months (%)
Data 9/30/1970 – 9/30/2021. Sources: FRED, Federal Reserve Bank of St. Louis and U.S. Bureau of Labor Statistics, Avantis Investors.
Past performance is no guarantee of future results. 5Expect the Unexpected
So, the level of interest rates today can tell us something about the level of interest rates in the future. But any recent change in interest rates tells us
much less about future changes in interest rates. To return to the question at the beginning of our experiment—Can recent changes in interest rates tell us
anything about future stock returns?
Figure 5 plots the same series of prior six-month Figure 5 | Changes in Yields Don’t Provide Much Information About Future Stock Returns
changes in interest rates on the horizontal axis as
60
Figure 4 but replaces the subsequent 12-month change
in interest rates with the 12-month U.S. stock return. 50
Like in Figure 4, the data resembles a cloud more than
anything else. 40
Stock Market Returns--Next 12 Months (%)
To put some of this data into perspective, we have 30
observed about a 60-basis point increase in 10-year Stock Market
20
Treasury yields over the last year, or a little more than Average Return
0.5%. The range of subsequent 12-month U.S. stock 10
market returns following interest rate increases of
about 0.5% is considerable, anywhere from 0
approximately -5% to +40%. Like our observations in
-10
Figure 4, it seems that recent changes in interest rates
do not provide much information about future stock -20
returns.
-30
-40
-50
-3 -2 -1 0 1 2 3
Change in Yield--Prior 6 Months (%)
Data 9/30/1970 – 9/30/2021. Sources: FRED, Federal Reserve Bank of St. Louis and U.S. Bureau of Labor Statistics, Avantis Investors. The U.S. stock
market is represented by the CRSP Total Market Index. Past performance is no guarantee of future results. 6Expect the Unexpected
Perhaps, however, the U.S. stock market is too broad. Figure 6 | Changes in Yields Don’t Point to A Clear Sector Winner Either
Much of the discussion around prevailing interest rates
Finance Technology
and their impact on returns center around styles (e.g.,
100
value vs. growth) or sectors.
In Figure 6, we zero in on two sectors—Finance and
80
Technology. While value and growth indices tend to
have exposure to both sectors, the conventional
wisdom is that growth-oriented stocks, like many 60
Sector Returns--Next 12 Months (%)
technology stocks, are far more susceptible to
changes in interest rates because more of their “value” 40
is a function of their discounted cashflows. Any
increase in discount rates applied to these cash flows
20
would mean a hit to the perceived value (i.e., price) of
the shares today.
0
What happens when we compare the returns of these
two sectors in rising vs. falling interest rates? Figure 6
-20
offers us that picture, illustrating the same prior six-
month changes in the 10-Year U.S. Treasury yield as
Figures 4 and 5, but now plotting the subsequent 12- -40
month return for each industry group.
Once again, the data appear more cloudlike than -60
anything else, with no clear pattern about whether
Finance wins in rising interest rates or Technology -80
wins in falling interest rates. This isn’t to say the -3 -2 -1 0 1 2 3
conventional wisdom lacks logic—just that what we Change in Yield--Prior 6 Months (%)
can observe in the data is far from conclusive.
Data from 9/30/1970 – 9/30/2021. Sources: FRED, Federal Reserve Bank of St. Louis and U.S. Bureau of Labor Statistics, Avantis Investors. Finance
and technology portfolios are from Ken French’s Data Library based on Compustat definitions for industry groupings. 7
Past performance is no guarantee of future results.Expect the Unexpected
Data Isn’t Always Conclusive
And that is probably the most critical point to remember when reading
headlines and listening to prognostications from people who try to infer
more than what the data can say. It doesn’t mean we can’t glean new
information relevant to our investments, but we should take a lot of these
statements with the oft-mentioned grain of salt.
The prevailing interest rate environment may require you to adjust your
portfolio. We believe any rebalancing should be done in consultation with a
trusted advisor who can make the evaluation within the context of your full
financial plan and explain how your current allocation may (or may not)
need to be adjusted.
8Academic Perspective
9Why Dollar Cost-Averaging Can Be a Wise Strategy for Regret-Averse
Investors (and We’re All Regret-Averse)
Investors with cash destined for stocks often apply dollar-cost averaging (DCA).
They divide the cash into equal segments and convert one segment at a time from
cash to stocks according to a predetermined schedule. The alternative to this
strategy is lump-sum (LS) investing, whereby investors convert the entire amount of
cash into stocks all at once.
Proponents of DCA offer two rationales for its superiority over LS investing. First,
DCA may boost returns. Second, DCA may carry lower risk. Meir Statman, Ph.D.
Consultant to Avantis Investors
I believe both investing rationales are faulty yet think DCA can be a wise technique
Meir Statman is the Glenn Klimek
for regret-averse investors. Concepts underlying the combination of faulty and wise
Professor of Finance at Santa Clara
include framing shortcuts and errors and regret aversion.
University and a consultant to Avantis
Framing Shortcuts and Errors Investors. His research focuses on
behavioral finance. He attempts to
Let’s begin with the first rationale that DCA may boost returns. As illustrated in understands how investors and managers
Figure 1, imagine an investor with $2,000 in cash to invest in stocks. She applies make financial decisions and how these
DCA by dividing her cash into two parts of $1,000 each, investing the first amount in decisions are reflected in financial
period 1 and the second amount in period 2. markets. His most recent book is
Behavioral Finance: The Second
Generation, published by the CFA Institute
Figure 1 | Dollar-Cost Averaging
Research Foundation.
PERIOD AMOUNT INVESTED PRICE PER SHARE NUMBER OF SHARES BOUGHT
1 $1,000 $50.00 20
2 $1,000 $12.50 80
TOTAL $2,000 100
AVERAGE COST OF SHARES HELD $2,000/100 = $20.00
AVERAGE PRICE PER SHARE OVER THE TWO PERIODS ($50.00 + $12.50)/2 = $31.25
10Why Dollar Cost-Averaging Can Be a Wise Strategy for Regret-Averse
Investors (and We’re All Regret-Averse)
In period 1, the price per share of stock is $50, while the price per share in In LS investing, an investor bears less risk if she converts $2,000 of
period 2 turns out to be $12.50. Framing is a cognitive shortcut that can stocks into cash now, rather than convert only $1,000 of stocks into cash
turn into a cognitive error. now and keep $1,000 in stocks for another period, as in DCA investing.
Framing the investment in the “rational” standard finance way, the Risk Reduction and Regret Aversion
investor started with $2,000. She now has 100 shares worth $12.50
So, risk reduction cannot be a valid rationale for DCA investing. The real
apiece for a total of $1,250, a clear loss.
benefit of DCA investing is in reducing regret. Regret is the painful
Framing the investment in the “normal” behavioral finance way, as DCA emotion we experience when we find, too late, that another choice would
advocates would have it, the investor bought the shares at an average have brought better outcomes. Pride is the pleasurable emotion that
cost of $20, whereas the average price per share over the two periods stands opposite regret.
was $31.25. She has a clear gain. Indeed, the investment shows a gain in
Consider the regret potential of converting the entire $2,000 of cash into
all cases except when the stock price never changes.
stocks today. How much regret would you feel if stocks plunged
Let’s turn now to the second rationale for the superiority of DCA over LS tomorrow? Your regret would be less if you converted only $1,000 today
investing, that it may entail lower risk. because you could contemplate the pride you would feel by investing the
At period 1, a DCA investor has $1,000 in stocks and $1,000 in cash. Her next $1,000 at a lower stock price.
risk is lower than that of a LS investor with $2,000 in stocks because the Regret aversion is quite different from risk aversion. Indeed, the
risk of cash is lower. But once period 2 arrives, the DCA investor has correlation between the two aversions is zero. My own attitudes illustrate
$2,000 in stocks, so she now bears the same risk as the LS investor. The the difference between the two.
only real difference here is that the DCA investor is now one period older.
Years ago, I wanted to transfer a substantial amount of money in my
Does older age make it easier for the DCA investor to bear risk? Probably
retirement saving account from one mutual fund company to another to
not.
benefit from its lower fees. Making the transfer involved having the
Moreover, a prominent feature of DCA investing is that it is recommended human resources department certify my completed forms and then
with equal force to investors with cash to be converted into stocks and sending them to the mutual fund company to which I wanted the money
investors with stocks to be converted into cash. transferred.
11Why Dollar Cost-Averaging Can Be a Wise Strategy for Regret-Averse
Investors (and We’re All Regret-Averse)
In turn, that mutual fund company sent the forms to the mutual fund Now consider required minimum distribution (RMD) withdrawals. You can
company from which the money came. That mutual fund company then withdraw the entire annual amount in one lump sum or withdraw it
sent a check by regular mail to the other mutual fund company, which monthly in equal amounts. Do you prefer one withdrawal method to the
deposited the check in the proper account upon its arrival. The check other? Does regret aversion affect your choice?
might have taken seven to 10 days to reach its destination.
What should financial advisers do when clients decide to convert a large
What if the stock market had zoomed while my money was in cash? amount of cash into stocks, but hesitate because they think stocks are
Would I have been able to bear the pain of regret? overvalued and ready to plummet?
I alleviated my potential regret by a method analogous to DCA investing. I DCA investing is like dipping your toes in the pool one at a time, while LS
split the total amount into four transfers, initiating each one after the investing is like plunging headfirst into the pool.
earlier one was completed. I reasoned that the stock market was likely to
Anticipated regret might cause clients to linger at the edge of the pool,
move up during some of the four transfers, which imposed regret, and
hesitant to invest. Advisers can try to educate investors, urging them to
move down during others, which bestowed pride.
overcome their regret aversion and invest the entire amount in one lump
More recently, I made a similar transfer after procrastinating and sum. But if clients resist, advisers may be wise to offer DCA investing as a
contemplating potential regret. This time I arranged for a single transfer second-best method, guiding clients to dip their toes into the pool one at
of the full amount, analogous to LS investing, vowing to feel no regret if a time.
the stock market increased while my money was in cash and no pride if
Similar guidance can apply in similar situations. For example, when
the market decreased during that time.
clients have a large position in a single stock and are contemplating a
As it happened, the stock market decreased by 2% while my money was transition into a diversified mutual fund or ETF but are hesitant because
in cash. Ever since, I struggle to suppress my unearned pride. they think the price of their single stock could skyrocket at any moment.
The usual method by which cash from earnings is converted into stocks Investing, after all, is really a matter of trade-offs. And a plan that may
in 401(k)-type accounts resembles DCA investing. Cash is converted into improve expected outcomes while simultaneously reducing painful regret
stocks every pay period. Ask yourself, if given the choice, would you be may be a fine trade-off in the long run.
willing to convert the full annual amount in one lump sum in the middle of
the year? Regret aversion might give you pause.
12Market Review
13As of 11/30/2021
Snapshot
Global stocks retreated in November. Against a backdrop of still- Returns (%)
rising inflation and supply chain worries, the emergence of another INDEX 1 MO 3 MO YTD 1 YR 3 YR 5 YR 10 YR
COVID-19 variant pressured stocks. The resulting late-month flight
U.S. Large-Cap Equity
to quality aided U.S. Treasuries.
S&P 500 -0.69 1.32 23.18 27.92 20.36 17.89 16.15
The S&P 500 Index generally advanced until late November. U.S. Small-Cap Equity
The emergence of COVID-19’s omicron variant threatened the
Russell 2000 -4.17 -3.04 12.31 22.03 14.21 12.14 13.05
economic recovery and triggered a steep stock market sell-off
Intl. Developed Markets Equity
that erased earlier gains.
MSCI World ex USA -4.68 -4.66 7.18 12.05 10.22 9.25 7.18
FactSet reported 82% of S&P 500 companies exceeded their
Emerging Markets Equity
third-quarter earnings targets. However, annual inflation
MSCI Emerging Markets -4.08 -6.98 -4.34 2.70 9.26 9.51 5.16
reached a 31-year high, threatening the broader earnings
outlook. Global Real Estate Equity
S&P Global REIT -1.42 -1.28 22.32 27.15 8.79 7.53 8.41
The U.S. unemployment rate dropped to 4.6% in October, the
lowest rate since March 2020. Weekly jobless claims also fell U.S. Fixed Income
to a pandemic-period low in November. However, the labor Barclays U.S.
0.30 -0.60 -1.29 -1.15 5.51 3.65 3.03
force participation rate remained well below pre-pandemic Aggregate Bond
levels, highlighting an ongoing headwind for the recovery. Global Fixed Income
Barclays Global
Amid new coronavirus restrictions and economic uncertainty, Aggregate Bond
-0.29 -2.30 -4.57 -3.29 4.33 3.29 1.85
non-U.S. stocks declined and underperformed the U.S. market.
U.S. Cash
Emerging markets stocks declined but performed marginally Barclays U.S. 1-3 Month
0.01 0.01 0.04 0.04 0.99 1.09 0.58
better than non-U.S. developed markets stocks. Worries about Treasury Bill
new virus variants, supply chain disruptions and the Data as of 11/30/2021. Performance in USD. Periods greater than one year have been annualized. Past
sustainability of the global economic recovery weighed on performance is no guarantee of future results. Source: FactSet.
emerging markets.
Longer-maturity U.S. Treasury yields ended the month lower
amid a late-month flight to quality. Gains among Treasuries
largely drove the Bloomberg U.S. Aggregate Bond Index’s
positive return for the month.
14As of 11/30/2021
Equity Returns | Size and Style
U.S. Non-U.S. Developed Markets Emerging Markets
QTD YTD QTD YTD QTD YTD
Value Growth Value Growth Value Growth Value Growth Value Growth Value Growth
Large
Large
Large
1.37% 9.33% 17.73% 24.95% -3.81% 0.67% 7.67% 8.15% -3.73% -2.49% -0.95% -10.08%
Small
Small
Small
0.27% -0.43% 23.24% 2.38% -4.42% -2.99% 7.49% 5.52% -4.25% -1.28% 12.26% 15.57%
October’s rally helped maintain solid International developed markets stocks For the quarter-to-date and year-to-date
quarter-to-date performance for U.S. generally declined quarter to date but periods, the broad emerging markets
stocks. Year to date, U.S. stocks retained a year-to-date gain. stock index declined.
delivered a robust gain.
Large-cap stocks broadly outperformed Small-cap stocks broadly outperformed
Large-cap stocks advanced quarter to small-cap stocks for the quarter-to-date large-cap stocks quarter to date, and
date, but small caps declined slightly. period, and the growth style outpaced growth outperformed value across the
Growth stocks outperformed value the value style across size categories. size spectrum.
stocks in the large-cap arena, but they
Year to date, large-cap stocks generally Year to date, small-cap stocks
underperformed among small caps.
outperformed small caps. The growth significantly outperformed their large-
Year to date, large-cap stocks generally style outperformed the value style cap peers. Value stocks sharply
outgained small caps. Large-cap among large caps but underperformed outperformed growth stocks among
growth stocks posted the strongest in the small-cap space. large caps, but they underperformed in
year-to-date results. Among small caps, the small-cap arena.
value sharply outperformed growth.
Data as of 11/30/2021. Performance in USD. Past performance is no guarantee of future results. Source: FactSet.
U.S. Equity, International Developed Markets and Emerging Markets Equity style boxes are represented by Russell, MSCI World ex USA and MSCI Emerging Markets indices, respectively.
15As of 11/30/2021
Equity Returns | Country
Sweden
MO -5.96% Russia
YTD 13.92% MO -10.86%
Finland
Norway MO YTD 21.82%
-4.99%
MO -8.49% YTD 1.71%
YTD 15.69%
Germany China
Canada MO MO -5.97%
U.K. -6.52%
MO -4.89% -0.23% YTD -19.17% Japan
MO -5.36% YTD
YTD MO -2.47%
20.30% YTD 10.43%
Italy YTD -0.18%
Spain MO -6.48%
U.S. MO -10.74% YTD 7.18%
MO -1.05% YTD -4.65% France
MO Korea
YTD 21.69% -4.23%
MO -4.58%
YTD 11.62%
YTD -13.82%
Mexico
MO -5.90%
YTD 8.34% India
MO -3.04%
YTD 21.69%
Brazil
MO -1.46% Australia
YTD -20.85% MO -6.52%
South Africa YTD 4.10%
Chile MO -4.48%
MO 5.96% Argentina YTD -0.68%
YTD -20.85% MO -16.47%
YTD 12.39%
Data as of 11/30/2021. Performance in USD. Past performance is no guarantee of future results. Source: FactSet. Countries are represented by MSCI country indices.
16As of 11/30/2021
Fixed-Income Returns
U.S. Treasury yields reversed course in November, largely due to a Returns (%)
late-month flight to quality sparked by the emergence of the INDEX 1 MO 3 MO YTD 1 YR 3 YR 5 YR 10 YR
omicron variant of COVID-19. The yield backdrop led to gains for Global Fixed Income
the broad Treasury sector and the broad U.S. bond market. U.S. Barclays Global
-0.29 -2.30 -4.57 -3.29 4.33 3.29 1.85
bonds generally outperformed global bonds. Aggregate Bond
U.S. Fixed Income
The Bloomberg U.S. Aggregate Bond Index advanced in
Barclays U.S.
November. Gains among Treasuries and, to a lesser extent, 0.30 -0.60 -1.29 -1.15 5.51 3.65 3.03
Aggregate Bond
corporate bonds more than offset losses among mortgage-
U.S. High Yield Corporate
backed securities. Barclays U.S. Corporate
-0.97 -1.15 3.34 5.29 7.38 6.29 6.90
The yield on the benchmark 10-year U.S. Treasury note dipped High-Yield Bond
11 bps to end November at 1.45%. The two-year Treasury yield U.S. Investment Grade
rose 7 bps to 0.57%, and the yield curve flattened. Barclays U.S.
0.06 -0.75 -0.96 -0.53 8.14 5.42 4.92
Corporate Bond
The Fed began reducing the pace of its bond-buying program.
Municipals
Meanwhile, annual headline inflation climbed to a nearly 31- Barclays
0.85 -0.17 1.35 1.97 5.08 4.38 3.90
year high of 6.2% in October, suggesting the Fed may Municipal Bond
accelerate its rate-hike timetable. U.S. TIPS
Barclays U.S. Treasury
Despite rising inflation, Treasury yields declined amid worries 0.89 1.31 5.62 6.83 8.51 5.25 3.06
- U.S. TIPS
about new COVID-19 variants and their potential effect on the
economic recovery. U.S. Treasuries
Barclays U.S.
0.77 -0.40 -1.82 -2.05 4.99 3.15 2.28
TIPS rallied amid mounting inflation concerns. Treasury Bond
Municipal bond (muni) yields declined, and munis U.S. Cash
Barclays U.S.
outperformed Treasuries for the month. 0.01 0.01 0.04 0.04 0.99 1.09 0.58
1-3 Month Treasury Bill
Declining yields led to slight gains among investment-grade Data as of 11/30/2021. Performance in USD. Periods greater than one year have been annualized. Past
corporates, even as credit spreads widened. Investment-grade performance is no guarantee of future results. Source: FactSet.
corporates outperformed their high-yield peers.
17As of 11/30/2021
Global Yield Curves
U.S. Treasury Yield Curve Over Time Country/Region Yield Curves as of Latest Month
3.0 3.0
2.0 11/30/2021 2.0
8/31/2021 U.S.
12/31/2020
1.0 1.0
U.K.
Japan
0.0 0.0 E.U.
-1.0 -1.0
3M 5Y 7Y 10Y 20Y 30Y 3M 5Y 7Y 10Y 20Y 30Y
Data as of 11/30/2021
Source: Bloomberg
Yield is a rate of return for bonds and other fixed-income securities. A yield curve is a line graph that shows yields of fixed-income securities from a single
sector (e.g., Treasuries) over various maturities (e.g., five and 10 years) at a single point in time (e.g., 12/31/2020).
18Portfolio Updates
19As of 11/30/2021
Performance Overview | Equity Funds
Returns as of Month-End (%) SINCE INCEPTION
U.S. Equity ETF AVUS
FUND AND BENCHMARK 1 MO QTD YTD 1 YR INCEPTION DATE Expense Ratio (%) 0.15
U.S. Equity ETF at NAV -1.49 4.70 23.39 29.44 23.41 9/24/2019 Total Assets ($M) 1677.61
U.S. Equity ETF at Market Price -1.48 4.75 23.41 29.39 23.43 U.S. Large Cap Value ETF AVLV
Russell 3000 Index -1.52 5.14 20.90 26.34 23.94 Expense Ratio (%) 0.15
U.S. Large Cap Value ETF at NAV -1.14 5.26 N/A N/A 4.97 9/21/2021 Total Assets ($M) 19.94
U.S. Large Cap Value ETF at Market Price -1.13 5.29 N/A N/A 4.98 U.S. Small Cap Value ETF AVUV
Russell 1000 Value Index -3.52 1.37 N/A N/A 1.82 Expense Ratio (%) 0.25
U.S. Small Cap Value ETF at NAV -2.08 1.88 36.59 47.03 23.33 9/24/2019 Total Assets ($M) 2061.81
U.S. Small Cap Value ETF at Market Price -2.12 1.85 36.52 46.95 23.33 International Equity ETF AVDE
Russell 2000 Value Index -3.42 0.27 23.24 33.01 16.56 Expense Ratio (%) 0.23
International Equity ETF at NAV -4.94 -1.75 8.41 14.60 11.31 9/24/2019 Total Assets ($M) 1056.31
International Equity ETF at Market Price -4.96 -1.62 8.76 14.94 11.49 International Large Cap Value ETF AVIV
MSCI World ex USA IMI Index -4.82 -2.13 7.09 12.31 10.69 Expense Ratio (%) 0.25
International Large Cap Value ETF at NAV -5.26 -2.76 N/A N/A -3.18 9/28/2021 Total Assets ($M) 10.17
International Large Cap Value ETF at Market Price -5.26 -2.70 N/A N/A -2.85 International Small Cap Value ETF AVDV
MSCI World ex-USA Value Index -6.00 -3.91 N/A N/A -4.34 Expense Ratio (%) 0.36
International Small Cap Value ETF at NAV -6.20 -3.91 9.52 18.72 11.86 9/24/2019 Total Assets ($M) 1131.22
International Small Cap Value ETF at Market Price -6.31 -3.86 9.85 18.95 12.01 Emerging Markets ETF AVEM
MSCI World ex USA Small Cap Index -5.60 -3.69 6.62 13.84 13.78 Expense Ratio (%) 0.33
Emerging Markets ETF at NAV -3.49 -3.08 1.47 9.82 11.89 9/17/2019 Total Assets ($M) 931.52
Emerging Markets ETF at Market Price -2.85 -2.76 2.16 10.05 12.25 Emerging Markets Value ETF AVES
MSCI Emerging Markets IMI Index -3.93 -3.08 -2.39 4.82 11.43 Expense Ratio (%) 0.36
Emerging Markets Value ETF at NAV -3.09 -3.10 N/A N/A -3.05 9/28/2021 Total Assets ($M) 32.96
Emerging Markets Value ETF at Market Price -2.49 -2.95 N/A N/A -2.42 Real Estate ETF AVRE
MSCI Emerging Markets IMI Value Index -4.11 -3.87 N/A N/A -4.08 Expense Ratio (%) 0.17
Real Estate ETF at NAV -1.52 4.66 N/A N/A 3.71 9/28/2021 Total Assets ($M) 10.37
Real Estate ETF at Market Price -1.59 4.70 N/A N/A 3.86 Expense ratio as of the most recent prospectus. Assets as of
S&P Global REIT -1.42 4.60 N/A N/A 3.57 11/30/2021.
Data as of 11/30/2021. Performance in USD, net of fees. Periods greater than one year have been annualized. Source: FactSet.
For standardized performance as of quarter-end, please see Appendix. Performance data quoted represents past performance and is no guarantee of future results. Extraordinary performance
is attributable in part due to unusually favorable market conditions and may not be repeated or consistently achieved in the future. Current performance may be lower or higher than the
performance data quoted. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Returns less than one
year are not annualized. NAV prices are used to calculate market price performance prior to the date when the fund first traded on the New York Stock Exchange. Market performance is
determined using the bid/ask midpoint at 4:00 p.m. Eastern time, when the NAV is typically calculated. Market performance does not represent the returns you would receive if you traded
shares at other times. Index performance does not represent the fund's performance. It is not possible to invest directly in an index.
20As of 11/30/2021
U.S. Equity ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Company Size
SINCE Fund Benchmark
Benchmark: Russell 3000 Index 1 MO QTD YTD 1 YR INCEPTION*
60 57.1
Fund at NAV -1.49 4.70 23.39 29.44 23.41
Fund at Market Price -1.48 4.75 23.41 29.39 23.43
50
Benchmark -1.52 5.14 20.90 26.34 23.94 44.5
Average Weight (%)
*Inception Date: 9/24/2019. Data as of 11/30/2021. Performance in USD, net of fees. Periods
greater than one year have been annualized. Source:FactSet. 40
30.7
30 26.6
The portfolio underperformed its benchmark for the quarter-to-
date period.
20
Smaller-cap stocks lagged large- and mega-cap stocks for the
12.3
period. Accordingly, the portfolio’s overweight versus the index
10 6.5 6.0 6.3
to smaller-cap stocks and underweight to mega caps detracted
3.0 3.0 3.4
from relative results. 0.0
0
The portfolio’s underweight to companies with the lowest book-
Benchark QTD Mega Large Mid Small Micro REITs
to-market and profitability characteristics aided relative results. Return by Co.
Size* (%) 7.95 2.36 0.62 -1.95 -5.45 5.60
Data from 9/30/2021 to 11/30/2021. Source: FactSet.
*Mega, large, mid, small and micro-cap stocks are defined as follows: largest 100 stocks, next 400 largest,
next 400 largest, next 800 largest, and remaining stocks in the index.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Performance data quoted represents past performance and is no guarantee of future results. Extraordinary performance is attributable in part due to unusually
favorable market conditions and may not be repeated or consistently achieved in the future. Investment return and principal value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. NAV prices are used to calculate market price
performance prior to the date when the fund first traded on the New York Stock Exchange. Market performance is determined using the bid/ask midpoint at 4:00 p.m.
Eastern time, when the NAV is typically calculated. Market performance does not represent the returns you would receive if you traded shares at other times. Index
performance does not represent the fund's performance. It is not possible to invest directly in an index.
21As of 11/30/2021
U.S. Equity ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: Russell 3000 Index FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $431.0 B $561.7 B Information Technology 22.82 28.59
Weighted Average Book/Market 0.21 0.13 Financials 16.09 11.53
Weighted Average Profits/Book 0.54 0.56 Consumer Discretionary 15.08 12.85
Number of Holdings 2,056 3,030 Health Care 11.40 12.93
Data as of 11/30/2021. Source: FactSet. Industrials 11.04 8.85
Communication Services 7.16 9.31
Energy 4.78 2.71
Size and Style Allocation (%)
Consumer Staples 4.69 5.14
FUND BOOK-TO-MARKET AND PROFITABILITY Materials 4.17 2.36
LOW MID HIGH Utilities 2.43 2.32
MEGA 4.95 21.79 19.62 Real Estate 0.35 3.42
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 6.46 23.47 11.70
SMALL/MICRO 0.81 7.43 3.46
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
LOW MID HIGH
MEGA 10.24 28.78 19.37
SIZE
LARGE/MID 11.16 16.49 4.62
SMALL/MICRO 1.56 3.19 0.82
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50% and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
22As of 11/30/2021
U.S. Large Cap Value | Performance Commentary
Returns as of Month-End (%) Average Allocation by Book/Market and Profitability Quartile
Benchmark: SINCE Fund Benchmark
Russell 1000 Value Index 1 MO QTD INCEPTION* 80 75.7
Fund at NAV -1.14 5.26 4.97
Fund at Market Price -1.13 5.29 4.98 70
Benchmark -3.52 1.37 1.82
60
Average Weight (%)
*Inception Date: 9/21/2021. Data as of 11/30/2021. Performance in
USD, net of fees. Periods greater than one year have been annualized.
50
Source:FactSet.
40
The portfolio outperformed its benchmark quarter to date.
30 27.1
Within the large-cap value universe, stocks with higher book-to- 23.2 24.2
20.6 19.8
market and profitability characteristics generally fared the best.
20
The portfolio’s overweight versus the index to these stocks
drove the portfolio’s outperformance. 10 4.7
0.9 0.0 0.0
0
Portfolio QTD 1 2 3 4 REITs
Return by
Book/Market & Highest Medium-High Medium-Low Lowest -
Profitability
Quartile (%) 2.63 1.46 0.61 0.30 6.88
Data from 9/30/2021 to 11/30/2021. Source: FactSet. See Appendix for more
information about this chart.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Performance data quoted represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. NAV prices are used to calculate market
price performance prior to the date when the fund first traded on the New York Stock Exchange. Market performance is determined using the bid/ask midpoint at 4:00 p.m.
Eastern time, when the NAV is typically calculated. Market performance does not represent the returns you would receive if you traded shares at other times. Index
performance does not represent the fund's performance. It is not possible to invest directly in an index.
23As of 11/30/2021
U.S. Large Cap Value| Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: Russell 1000 Value Index FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $282.9 B $158.8 B Financials 18.64 21.46
Weighted Average Book/Market 0.24 0.23 Consumer Discretionary 18.50 5.76
Weighted Average Profits/Book 0.56 0.34 Information Technology 14.77 10.16
Number of Holdings 210 849 Health Care 12.93 17.51
Data as of 11/30/2021. Source: FactSet. Industrials 12.79 11.64
Energy 8.51 5.25
Consumer Staples 5.33 7.10
Size and Style Allocation (%)
Materials 4.49 3.79
FUND BOOK-TO-MARKET AND PROFITABILITY Communication Services 3.76 7.41
LOW MID HIGH Utilities 0.27 4.97
MEGA -- 10.10 42.46 Real Estate 0.00 4.95
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 0.09 10.73 36.11
SMALL/MICRO -- -- 0.28
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
LOW MID HIGH
MEGA 12.90 19.46 13.34
SIZE
LARGE/MID 13.45 23.15 7.57
SMALL/MICRO 0.41 0.90 0.29
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50% and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
24As of 11/30/2021
U.S. Small Cap Value ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Book/Market and Profitability Quartile
Benchmark: SINCE Fund Benchmark
Russell 2000 Value Index 1 MO QTD YTD 1 YR INCEPTION* 90
Fund at NAV -2.08 1.88 36.59 47.03 23.33
78.1
80
Fund at Market Price -2.12 1.85 36.52 46.95 23.33
Benchmark -3.42 0.27 23.24 33.01 16.56 70
Average Weight (%)
*Inception Date: 9/24/2019. Data as of 11/30/2021. Performance in USD, net of fees. Periods
greater than one year have been annualized. Source:FactSet.
60
50
The portfolio outperformed its benchmark for the quarter-to-date 40
period. 30.8
30
The portfolio’s overweight versus the index to companies with the 22.9
19.3 19.0
highest book-to-market and profitability characteristics drove 20
13.2
relative results. The stocks of these companies fared better than 8.5
10
other small-cap value stocks for the period. 1.8 0.5 0.0
0
The portfolio’s exclusion of real estate investment trusts (REITs)
Portfolio QTD 1 2 3 4 REITs
modestly detracted from relative performance, as REITs Return by
outperformed. Book/Market & Highest Medium-High Medium-Low Lowest -
Profitability
Quartile (%) 1.79 2.24 -0.88 -4.00 1.04
Data from 9/30/2021 to 11/30/2021. Source: FactSet. See Appendix for more
information about this chart.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Performance data quoted represents past performance and is no guarantee of future results. Extraordinary performance is attributable in part due to unusually
favorable market conditions and may not be repeated or consistently achieved in the future. Investment return and principal value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. NAV prices are used to calculate market price
performance prior to the date when the fund first traded on the New York Stock Exchange. Market performance is determined using the bid/ask midpoint at 4:00 p.m.
Eastern time, when the NAV is typically calculated. Market performance does not represent the returns you would receive if you traded shares at other times. Index
performance does not represent the fund's performance. It is not possible to invest directly in an index.
A Note About Risk: Historically, small- and/or mid-cap stocks have been more volatile than the stocks of larger, more-
established companies. Smaller companies may have limited resources, product lines and markets, and their securities
may trade less frequently and in more limited volumes than the securities of larger companies. 25As of 11/30/2021
U.S. Small Cap Value ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: Russell 2000 Value Index FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $3.3 B $3.0 B Financials 29.04 26.71
Weighted Average Book/Market 0.58 0.43 Industrials 17.49 15.35
Weighted Average Profits/Book 0.39 0.18 Consumer Discretionary 17.09 8.07
Number of Holdings 667 1,413 Energy 14.57 6.73
Data as of 11/30/2021. Source: FactSet. Materials 6.68 4.41
Consumer Staples 4.43 2.87
Size and Style Allocation (%) Information Technology 4.39 5.64
Health Care 3.87 10.17
FUND BOOK-TO-MARKET AND PROFITABILITY
Communication Services 2.05 3.92
LOW MID HIGH
Real Estate 0.29 11.32
MEGA -- -- -- Utilities 0.10 4.82
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 0.23 2.95 9.42
SMALL/MICRO 0.10 17.21 69.39
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
LOW MID HIGH
MEGA 0.04 -- --
SIZE
LARGE/MID 0.26 4.40 1.89
SMALL/MICRO 8.14 36.71 29.38
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50% and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
26As of 11/30/2021
International Equity ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Book/Market and Profitability Quartile
Benchmark: SINCE Fund Benchmark
MSCI World ex USA IMI 1 MO QTD YTD 1 YR INCEPTION*
50
Fund at NAV -4.94 -1.75 8.41 14.60 11.31
Fund at Market Price -4.96 -1.62 8.76 14.94 11.49
Benchmark -4.82 -2.13 7.09 12.31 10.69 40 37.2
Average Weight (%)
*Inception Date: 9/24/2019. Data as of 11/30/2021. Performance in USD, net of fees. Periods
greater than one year have been annualized. Source:FactSet.
30 26.7
24.2 24.7 24.4
23.3
Non-U.S. stocks generally declined quarter to date, but the 22.0
portfolio outperformed its benchmark. 20
Performance across book-to-market and profitability 13.3
quartiles was mixed. However, the portfolio’s emphasis on 10
companies with the highest book-to-market and profitability
characteristics contributed to relative performance. 2.2
0.0
0
Small-cap stocks generally underperformed large caps, and the
Portfolio QTD 1 2 3 4 REITs
portfolio’s overweight versus the index in smaller-cap stocks Return by
detracted from results. Book/Market & Highest Medium-High Medium-Low Lowest -
Profitability
Quartile (%) -1.88 -2.65 -2.01 -2.42 0.27
Data from 9/30/2021 to 11/30/2021. Source: FactSet. See Appendix for more
information about this chart.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Extraordinary performance is attributable in part due to unusually favorable market conditions and may not be repeated or consistently achieved in the future.
Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Returns less than one year
are not annualized. NAV prices are used to calculate market price performance prior to the date when the fund first traded on the New York Stock Exchange. Market
performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time, when the NAV is typically calculated. Market performance does not represent the returns
you would receive if you traded shares at other times. Index performance does not represent the fund's performance. It is not possible to invest directly in an index.
A Note About Risk: International investing involves special risks, such as political instability and currency fluctuations.
Investing in emerging markets may accentuate these risks.
27As of 11/30/2021
International Equity ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: MSCI World ex USA IMI FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $46.7 B $68.2 B Financials 18.86 17.56
Weighted Average Book/Market 0.52 0.42 Industrials 17.83 16.43
Weighted Average Profits/Book 0.36 0.33 Consumer Discretionary 12.26 11.82
Number of Holdings 3,677 3,494 Materials 10.76 8.18
Data as of 11/30/2021. Source: FactSet. Information Technology 8.95 10.20
Health Care 8.53 10.71
Size and Style Allocation (%) Consumer Staples 6.96 9.04
Energy 4.94 4.19
FUND BOOK-TO-MARKET AND PROFITABILITY
Communication Services 4.80 4.40
LOW MID HIGH
Utilities 3.63 3.39
MEGA 4.54 16.02 11.75 Real Estate 2.49 4.09
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 6.76 23.51 17.54
SMALL/MICRO 2.05 8.64 8.34
Top 5 Country Allocations (%)
FUND BENCHMARK
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
Japan 21.26 21.61
LOW MID HIGH
United Kingdom 13.30 13.29
MEGA 11.35 23.26 12.82 Canada 10.24 10.21
France 9.22 9.20
SIZE
LARGE/MID 10.67 20.32 9.72
Switzerland 8.49 8.54
SMALL/MICRO 2.42 4.27 2.40 Data as of 11/30/2021. Source: FactSet.
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50%, and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
28As of 11/30/2021
International Large Cap Value ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Book/Market and Profitability Quartile
SINCE Fund Benchmark
Benchmark: MSCI World ex-USA Value
1 MO QTD INCEPTION* 80
Fund at NAV -5.26 -2.76 -3.18
68.6
Fund at Market Price -5.26 -2.70 -2.85 70
Benchmark -6.00 -3.91 -4.34
60
Average Weight (%)
*Inception Date: 9/28/2021. Data as of 11/30/2021. Performance in USD, net
of fees. Periods greater than one year have been annualized. Source:FactSet.
50
40
The portfolio and its benchmark declined for the quarter-to-date 31.9 31.7
period, but the portfolio fared better. 30 27.3
Among non-U.S. large-cap value stocks, those with weaker
20 17.4 15.7
book-to-market and profitability characteristics performed
worse. The portfolio’s underweight to these stocks aided relative
10
results. 3.8 2.2
0.1 0.0
0
Portfolio QTD 1 2 3 4 REITs
Return by
Book/Market & Highest Medium-High Medium-Low Lowest -
Profitability
Quartile (%) -3.90 -3.64 -5.46 -4.61 -0.33
Data from 9/30/2021 to 11/30/2021. Source: FactSet. See Appendix for more
information about this chart.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Returns less than
one year are not annualized. NAV prices are used to calculate market price performance prior to the date when the fund first traded on the New York Stock Exchange.
Market performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time, when the NAV is typically calculated. Market performance does not represent the
returns you would receive if you traded shares at other times. Index performance does not represent the fund's performance. It is not possible to invest directly in an index.
A Note About Risk: International investing involves special risks, such as political instability and currency fluctuations.
Investing in emerging markets may accentuate these risks.
29As of 11/30/2021
International Large Cap Value ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: MSCI World ex-USA Value FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $55.4 B $59.2 B Financials 24.56 31.55
Weighted Average Book/Market 0.64 0.66 Consumer Discretionary 17.15 7.92
Weighted Average Profits/Book 0.39 0.25 Industrials 14.02 10.83
Number of Holdings 391 539 Materials 13.28 7.95
Data as of 11/30/2021. Source: FactSet. Energy 9.07 8.47
Communication Services 6.32 5.91
Size and Style Allocation (%) Health Care 5.86 7.60
Information Technology 4.21 2.82
FUND BOOK-TO-MARKET AND PROFITABILITY
Consumer Staples 3.70 5.80
LOW MID HIGH
Real Estate 1.42 4.66
MEGA -- 14.71 26.46 Utilities 0.42 6.47
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 0.17 17.02 40.87
SMALL/MICRO -- 0.20 0.32
Top 5 Country Allocations (%)
FUND BENCHMARK
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
Japan 21.76 21.70
LOW MID HIGH
United Kingdom 15.70 15.72
MEGA 8.08 27.64 18.44 Canada 10.49 10.78
France 10.30 10.18
SIZE
LARGE/MID 7.39 21.78 13.71
Germany 10.06 9.86
SMALL/MICRO 0.11 0.15 0.10 Data as of 11/30/2021. Source: FactSet.
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50%, and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
30As of 11/30/2021
International Small Cap Value ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Book/Market and Profitability Quartile
Benchmark: MSCI World ex USA SINCE Fund Benchmark
Small Cap Index 1 MO QTD YTD 1 YR INCEPTION*
80
Fund at NAV -6.20 -3.91 9.52 18.72 11.86
68.9
Fund at Market Price -6.31 -3.86 9.85 18.95 12.01 70
Benchmark -5.60 -3.69 6.62 13.84 13.78
60
Average Weight (%)
*Inception Date: 9/24/2019. Data as of 11/30/2021. Performance in USD, net of fees. Periods
greater than one year have been annualized. Source:FactSet.
50
Non-U.S. small-cap stocks broadly declined for the quarter-to- 40
date period. The portfolio underperformed its benchmark.
30
23.4 24.1 22.9
Within small caps, performance was mixed across book-to- 21.2 21.2
market and profitability quartiles. However, the portfolio’s 20
significant overweight versus the index to the highest book-to- 7.3
10 6.0
market and profitability quartile detracted from relative results. 2.9
0.0
The portfolio’s exclusion of real estate investment trusts (REITs) 0
Portfolio QTD 1 2 3 4 REITs
also detracted from relative performance, as REITS Return by
outperformed. Book/Market & Highest Medium-High Medium-Low Lowest -
Profitability
Quartile (%) -4.53 -2.75 -3.37 -4.63 -0.25
Data from 9/30/2021 to 11/30/2021. Source: FactSet. See Appendix for more
information about this chart.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Extraordinary performance is attributable in part due to unusually favorable market conditions and may not be repeated or consistently achieved in the future.
Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Returns less than one year
are not annualized. NAV prices are used to calculate market price performance prior to the date when the fund first traded on the New York Stock Exchange. Market
performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time, when the NAV is typically calculated. Market performance does not represent the returns
you would receive if you traded shares at other times. Index performance does not represent the fund's performance. It is not possible to invest directly in an index.
A Note About Risk: International investing involves special risks, such as political instability and currency fluctuations.
Investing in emerging markets may accentuate these risks. Historically, small- and/or mid-cap stocks have been more volatile
than the stocks of larger, more-established companies. Smaller companies may have limited resources, product lines and 31
markets, and their securities may trade less frequently and in more limited volumes than the securities of larger companies.As of 11/30/2021
International Small Cap Value ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: MSCI World ex USA Small Cap Index FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $2.5 B $3.4 B Industrials 22.71 23.14
Weighted Average Book/Market 0.84 0.51 Financials 17.86 10.31
Weighted Average Profits/Book 0.34 0.25 Materials 17.26 10.26
Number of Holdings 1,246 2,563 Consumer Discretionary 14.22 11.99
Data as of 11/30/2021. Source: FactSet. Energy 7.66 2.85
Information Technology 5.41 10.07
Size and Style Allocation (%) Consumer Staples 4.46 5.27
Communication Services 3.92 4.22
FUND BOOK-TO-MARKET AND PROFITABILITY
Real Estate 3.46 12.15
LOW MID HIGH
Health Care 1.95 6.69
MEGA -- -- 0.21 Utilities 1.09 3.05
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 0.80 3.22 4.96
SMALL/MICRO 1.46 22.63 66.05
Top 5 Country Allocations (%)
FUND BENCHMARK
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY
Japan 25.07 24.95
LOW MID HIGH
United Kingdom 15.44 15.41
MEGA 1.34 0.75 -- Canada 9.17 8.96
Australia 8.53 8.43
SIZE
LARGE/MID 6.08 12.93 5.06
Sweden 6.98 7.15
Data as of 11/30/2021. Source: FactSet.
SMALL/MICRO 15.41 33.33 16.51
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50% and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
32As of 11/30/2021
Emerging Markets Equity ETF | Performance Commentary
Returns as of Month-End (%) Average Allocation by Company Size
Benchmark: MSCI Emerging SINCE Fund Benchmark
Markets IMI Index 1 MO QTD YTD 1 YR INCEPTION*
60
Fund at NAV -3.49 -3.08 1.47 9.82 11.89 53.1
Fund at Market Price -2.85 -2.76 2.16 10.05 12.25
50
Benchmark -3.93 -3.08 -2.39 4.82 11.43
Average Weight (%)
*Inception Date: 9/17/2019. Data as of 11/30/2021. Performance in USD, net of fees. Periods
greater than one year have been annualized. Source:FactSet. 40
35.6
30
Emerging markets stocks broadly declined, and the portfolio
performed in line with its benchmark for the quarter-to-date
17.7 17.9 18.1
period. 20 16.7
12.6 11.6
An overweight versus the index to mid- and smaller-cap stocks 10.0
was the main limiting factor in relative results. These stocks 10
4.6
generally underperformed large- and mega-cap securities.
0.0 0.3
0
Portfolio QTD Mega Large Mid Small Micro REITs
Return by Co.
Size* (%) -2.37 -1.58 -5.52 -5.72 -6.21 -6.82
Data from 9/30/2021 to 11/30/2021. Source: FactSet.
*A stock count approach is used to classify size within each country. The stock count size breaks can vary
slightly from country to country, but generally translate to mega=50% of a country's market capitalization,
large=25%, mid=10%, small=10%, micro=remaining 5%.
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data
quoted. Extraordinary performance is attributable in part due to unusually favorable market conditions and may not be repeated or consistently achieved in the future.
Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Returns less than one year
are not annualized. NAV prices are used to calculate market price performance prior to the date when the fund first traded on the New York Stock Exchange. Market
performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time, when the NAV is typically calculated. Market performance does not represent the returns
you would receive if you traded shares at other times. Index performance does not represent the fund's performance. It is not possible to invest directly in an index.
A Note About Risk: International investing involves special risks, such as political instability and currency fluctuations.
Investing in emerging markets may accentuate these risks. Historically, small- and/or mid-cap stocks have been more
volatile than the stocks of larger, more-established companies. Smaller companies may have limited resources, product
lines and markets, and their securities may trade less frequently and in more limited volumes than the securities of 33
larger companies.As of 11/30/2021
Emerging Markets Equity ETF | Portfolio Composition
Key Characteristics Sector Allocation (%)
Benchmark: MSCI Emerging Markets IMI Index FUND BENCHMARK FUND BENCHMARK
Weighted Average Market Cap $72.2 B $116.7 B Information Technology 19.95 21.74
Weighted Average Book/Market 0.62 0.51 Financials 17.44 18.35
Weighted Average Profits/Book 0.28 0.26 Consumer Discretionary 13.49 14.11
Number of Holdings 3,184 3,230 Materials 10.63 8.89
Data as of 11/30/2021. Source: FactSet. Communication Services 8.84 9.96
Industrials 8.51 6.09
Size and Style Allocation (%) Energy 5.42 5.13
Consumer Staples 5.08 5.71
FUND BOOK-TO-MARKET AND PROFITABILITY
Health Care 4.22 5.04
LOW MID HIGH
Real Estate 3.25 2.53
MEGA 4.14 19.22 12.46 Utilities 3.16 2.46
Data as of 11/30/2021. Source: FactSet.
SIZE
LARGE/MID 5.90 14.82 13.42
SMALL/MICRO 4.48 10.25 14.52
Top 5 Country Allocations (%)
BENCHMARK BOOK-TO-MARKET AND PROFITABILITY FUND BENCHMARK
LOW MID HIGH China 30.67 30.83
MEGA 9.76 31.11 12.30 Taiwan 18.57 16.62
India 14.43 13.15
SIZE
LARGE/MID 9.22 13.35 7.94 South Korea 13.74 12.73
Brazil 4.70 4.19
SMALL/MICRO 4.64 5.13 4.74
Data as of 11/30/2021. Source: FactSet.
Data as of 11/30/2021. Charts show weights in various book/market and profitability buckets
(highest 25%, middle 50% and lowest 25%) across market capitalizations. Excludes REITs.
Source: FactSet.
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