SPDR ETFs Chart Pack - Key Charts to Help Navigate the Market September 2021 Edition - State Street Global Advisors
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®
SPDR ETFs
Chart Pack
Key Charts to Help Navigate the Market
September 2021 Edition
Please see Appendix D for more information on investment terms used in this Chart Pack.
1984314.73.1.AM.RTL 1Table of Contents
1. 2. 3. 4. 5.
Market Investor Econ, Sectors Fixed Income
Environment Behavior Fundamentals
& Factors
Asset Class Investor Positioning Global COVID Cases Sector Flows & Fixed Income Sector
Performance and Vaccination Returns Performance
ETF Asset Class Flow
Market Breadth Trends Global Economy Thematic Sector Yield Curve
Flows
Gold Flow Trends Chinese Economy & Returns Inflation
Cross-Asset Volatility Option Positioning US Reopening Sector Scorecard Bond Market
Momentum Opportunities
State Street Current Investor Sentiment Sector Earnings
Positioning Global Valuation Credit Trends
Global Momentum
Global Earnings
US Factor Trends
1984314.73.1.AM.RTL 21. Market Environment
1984314.73.1.AM.RTL 3Asset Class Performance
US large caps extended their leadership over other equities, while rate-sensitive
bonds registered negative returns amid higher yields.
Major Asset Class Performance (%) Trailing 3 Month YTD Prior Month
US equities have outperformed developed ex-US markets for the third
straight month thanks to strong performance of mega-cap tech. stocks
25 22.3
21.6
20
15.8
15 12.0
10 8.0
1.8 4.5 3.7
5 2.2 2.8 2.9 3.0 2.9 0.5 3.8 2.8
1.8 2.0 2.2 0.8 1.6
3.0 1.5 2.6 0.5 0.8 0.4
0.5 0.0 0.4 0.5 0.4
0
-0.1 -0.6 -0.1 0.0 -0.1 -0.3 -1.3
0.0
-1.5 -0.9
-5
-4.1 -5.3 -4.7
-10
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of
any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income. Performance returns for periods of less than one year
are not annualized. US Large Cap: S&P 500 Index; US Mid Cap: S&P 400 MidCap Index; US Small Cap: Russell 2000 Index; Developed Ex-US: MSCI EAFE Index; Emerging Markets:
MSCI Emerging Markets Index; Agg Bonds: Bloomberg Barclays US Aggregate Index; IG Corp: Bloomberg Barclays US Corporate Index, Treasuries: Bloomberg Barclays US Treasury
Index; MBS: Bloomberg Barclays Mortgage US MBS Index; High Yield: Bloomberg Barclays US Corporate High Yield Index; Senior Loans: S&P LSTA Leveraged Loan Index; EM Debt:
Bloomberg Barclays EM Hard Currency Debt Index; Gold: LBMA Gold Price: Broad Commodities: Bloomberg Commodity Index; US Dollar: DXY Dollar Index.
1984314.73.1.AM.RTL 4Market Breadth
The S&P 500 notched 53 all-time highs year-to-date, the third-highest number in
three decades, supported by healthy market breadth.
Market Breadth During S&P 500 All-Time Highs
No. of Days at All-time Highs Avg. Of % Co. Above 200-Day MA Yearly Avg. % of Co. >200-Day MA
90 The percentage of S&P 500 companies trading above their 200- 100
day averages this year is well above its 20-year average
80 77 90
% of Co. Above their 200-Day Moving Avg.
80
70
62
70
60
No. of Days at ATH
53 53
60
50 47
45 45
50
39
40 35 35
33 40
30
22 30
18 18 19
20 16 20
9 10
10 5 10
4
0 0
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2007 2013 2014 2015 2016 2017 2018 2019 2020 2021
YTD
Source:, Bloomberg Finance L.P., as of August 31, 2021.
1984314.73.1.AM.RTL 5Gold
Gold prices have rebounded strongly since its four-month low in March amid lower real yields
and COVID-related uncertainty, outperforming US large caps and other commodities.
Gold Futures Positions: Managed Money Returns Since Gold’s 4-month Low (August 10, 2021)
Long Gold Futures Positions - Managed Money
Short Gold Futures Positions - Managed Money
200
Gold Spot Price (US$/oz 4.6%
180
160 Silver Spot Price (US$/oz) 3.0%
Thousands
140
S&P 500 Index 2.1%
120
100 Bloomberg Commodity Index 1.5%
80
S&P GSCI Index 1.6%
60
40 WTI Oil 0.1%
20
LME Copper Cash Price -0.7%
-
Source: Bloomberg Finance L.P., as of 08/31/2021.
1984314.73.1.AM.RTL 6Cross-Asset Volatility
Rate implied volatility stayed elevated, while emerging market equity implied
volatility moved higher as China’s regulatory crackdowns continues.
Cross-Asset Implied Volatility Aug-21 Jul-21 May-21 One-Year Ago Cross-Asset Dispersion
Percentile Rank of Daily Average, Three-Year Percentile Rank, Three-Year
91%
77%
69%
69% 71%
66% 57%
60% 57%
54%
49% 49% 46%
43%
46% 40%
43% 40%
37% 37%
34%
29%
26%
20%
17%
6% 11%
6%
Currency Rates Oil S&P 500 Index Emerging U.S. High Yield Cross-Asset Class Dispersion
Markets Equity Corporate Bonds
Oil implied volatility creeped higher amid weaker global demand Cross-asset dispersion fell to its
outlook and hurricane-induced production disruptions lowest level in almost two years
Source: Bloomberg Finance, L.P., as of August 31, 2021. Past performance is not a guarantee of future results. Currency-implied volatility is measured by the J.P. Morgan Global FX
Volatility Index. Rates-implied volatility is measured by the MOVE Index. Oil-implied volatility is derived from oil future contracts. Emerging markets-implied volatility is measured by the
CBOE Emerging Markets ETF Volatility Index. High Yield bond-implied volatility is measured by the CBOE High Yield Corporate Bond ETF Volatility Index. Cross-asset dispersion is
measured by standard deviation of monthly returns of S&P 500, Russell 2000, Russell 3000 Growth, Russell 3000 Value, MSCI Emerging Markets, MSCI World ex-USA, Bloomberg
Barclays US Aggregate, US Corporate High Yield, EM USD Aggregate, EM Local Currency Government, S&P/LSTA US Leveraged Loan 100, Bloomberg Commodity Indices, LBMA
Gold Price PM.
1984314.73.1.AM.RTL 7State Street Current Positioning
Despite rising Delta variant cases, State Street remains positive on the
macroeconomic outlook, favoring domestic equities over international exposures.
SPDR SSGA Global Allocation ETF [GAL] Current & Strategic Exposures (%) Tactical Rebalance Trades: August
8/31/2021 Change Investment Solutions Group Strategic Weights
• US Equities
Bought
39 • Real Estate
• Developed ex-US
Sold
• Emerging Market Equities
26 25
21
22
19 Sector Rotation Trades
US Equity Allocation Total: 6%
Sectors are included based on their relative
valuation, momentum and earnings sentiment
6 5 7
3 6 3 6 6 3 Jul. Tech. Industrials Energy
1 1 22
0 0 0 00 0 2% 2% 2%
-1
-2
US Developed Emerging Global High Investment- Inflation- Commodities Cash
Equity ex-US Markets Real Yield Grade Linked Aug. Comm. Tech. Cons.
Markets Equity Estate Bonds Bonds Svcs. 2% Stap.
Equity 2% 2%
Source: State Street Global Advisors, as of August 31, 2021. Exposures are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
This information should not be considered a recommendation to invest in a particular sector. It is not known whether the sectors shown will be profitable in the future.
The information above is rounded to the nearest whole number.
1984314.73.1.AM.RTL 82. Investor Behavior
1984314.73.1.AM.RTL 9Investor Positioning
Retail and global macro hedge fund managers remained overweight to equities.
Meanwhile, equity ETF flows continue outpacing fixed income flows by a large margin.
Percentile Rank of Monthly Average, Three-Year Rolling 90-Day Flow Differences: Equity minus FI ETFs
$ Billions
Rolling 90-Days Median
Aug-21 Jul-21 May-21 One-Year Ago
Top Quintile Bottom Quintile
250
Billions
97% 97%
94%
94% 200
92% 83%
75%
150
100
50%
47%
36% 50
25%
19% 0
14%
6% 6%
0% -50
AAII Survey - Stock AAII Survey - Bond AAII Survey - Cash Hedge Fund Beta to
Allocations Allocations Allocations Equities -100
Aug-16 May-17 Feb-18 Nov-18 Aug-19 May-20 Feb-21
The flow difference fell from its March peak but
remains near the top quintile of the past five years
Source: Bloomberg Finance, L.P., AAII as of August 31, 2021. Past performance is not a guarantee of future results The AAII Investor Sentiment Survey offers insight into the mood of
individual investors. 30-Day Beta of HFRX Global Macro/CTA Index to the MSCI ACWI Index
1984314.73.1.AM.RTL 10ETF Asset Class Flow Trends
US-listed ETFs took in $72 billion of inflows last month, with more than half of flows
moving into US equity funds.
Flows by Equity Regions Fixed Income Top and Bottom 3 Sectors
Aug. Month to Date (% of Start-of-Month AUM) Aug. Month to Date (% of Start-of Month-AUM)
Top 3 Bottom 3
50 2% 6,000 5,578 5%
43.7
45
5,000 4,732 4%
40 2%
% AUM Growth from Flows
% AUM Growth from Flows
35 4,000 3,793 3%
1%
Flows ($B)
30
Flows ($M)
25 3,000 2%
1%
20
2,000 1%
15
0%
10 8.1 1,000 0%
207
5 1.5 0.4 0.1 -1%
0.3 0.1 0 -1%
0
-111
-5 -0.9 -1% -340
-1,000 -2%
International developed exposures continue to attract investors’ While the majority of flows went into the Agg and IG corporate
interest, registering their 8th largest monthly flows ever segments, TIPS ETFs had the most flows on a relative basis
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of 08/31/2021. Sectors, asset classes and flows are as of the date indicated, are subject to change, and
should not be relied upon as current thereafter. This information should not be considered a recommendation to invest in a particular sector shown. It is not known whether the sectors
shown will be profitable in the future.
1984314.73.1.AM.RTL 11Flow Trends (Continued)
Investors continue piling into Quality-focused and defensive sector exposures amid
cautiously optimistic sentiment.
Defensive versus Cyclical Sector Flows High vs. Low Quality Excess Returns and Quality ETF Flows
$ Billions
Rolling 3-Month Cumulative Flow
S&P 500 High vs. Low Excess Return.
15
6 12%
10 5 10%
4 8%
5
6%
3
Return Diff. (%)
Flows ($Bn)
0 4%
2
2%
-5 1
0%
0
-10 -2%
-1 -4%
-15
-2 -6%
-20 -3 -8%
Nov-04 Aug-07 May-10 Feb-13 Nov-15 Aug-18 May-21
Source: Bloomberg Finance L.P., State Street Global Advisors, as of August 31, 2021. Past performance is not a guarantee of future results.
1984314.73.1.AM.RTL 12Option Positioning
Investors are cautiously optimistic, adding downside protections, as the equity
index put/call volume ratio rose to near its highest level since November.
Stock Put/Call Volume Ratio and Market Drawdowns Market Drawdown CBOE Equity Put/Call Ratio - 20-Day Moving Average
0% 1.1
CBOE Equity Put/Call Ratio
S&P 500 Drawdown (%)
-5%
-10% 0.9
217 days without a
-15%
5% drawdown (third
-20% longest ever) 0.7
-25%
-30% 0.5
Significant market drawdowns historically
-35%
coincided with a peak in stock put/call ratio
-40% 0.3
Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21
SKEW Index CBOE Index Put/Call Ratio - 20-Day Moving Average
Equity Index Put/Call Ratio and SKEW Index
180 1.8
Index Option Put/Call Ratio
170
160 1.6
SKEW Index
150
140 1.4
130
120 1.2
110
100 1.0
Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21
Source: Bloomberg Finance, L.P. as of August 31, 2021.
1984314.73.1.AM.RTL 13Investor Sentiment
While institutional investors showed higher risk appetite last month, retail investors
have become less bullish.
Retail: AAII US Investor Sentiment Bullish and Bearish Reading Institutions: State Street Confidence Index
4-week Moving Average
AAII Bull Index AAII Bear Index State Street Investor Confidence Index One-Year Moving Average
60 140
50
120
40
100
30
80
20
10 60
Investor confidence registered its highest reading in more than
three years
Source: Bloomberg Finance, L.P., AAII as of August 31, 2021. Past performance is not a guarantee of future results The AAII Investor Sentiment Survey offers insight into the mood of
individual investors.
1984314.73.1.AM.RTL 142. Econ, Fundamentals
& Factors
1984314.73.1.AM.RTL 15Global COVID Cases and Vaccination
New cases keep surging in the US but have plateaued in continental Europe, as
the latter has surpassed the US in vaccination rates.
Daily New Confirmed COVID-19 Cases Received one dose vs. full dose of COVID-19 Vaccine
Rolling seven-day average, per Million people of the population % of total population
Atleast One Shot
Brazil European Union India 70 People Fully Vaccinated
63 64 63 61
South Africa United Kingdom United States 58
52
1000 35
29
900 15
10 10
800
700 United European Brazil United States India South Africa
Kingdom Union
600
Government Response Stringency Current Past Peak
500
100
400
Index Level
80
300 60
40
200
20
100 0
0
Jan-2020 May-2020 Sep-2020 Jan-2021 May-2021
China has taken a more stringent approach in dealing with the
spread of the Delta variant than Europe and the US
Source: Our World in Data, Bloomberg Finance L.P., as of 08/31/2021.
1984314.73.1.AM.RTL 16Global Economy
Economic sentiment continues to roll over across regions amid surging delta variant
cases, although manufacturing activity remains near historical highs.
Citigroup Economic Surprise Indices Markit Manufacturing PMI Indices
Eurozone US Emerging Markets Global Eurozone United States Global
300
Expansion
62
200
58
100
54
Index Levels
0 50
46
-100
42
-200
38
-300
Contraction
34
-400 30
Source: Bloomberg Finance, L.P. as of 08/31/2021. Past performance is not a guarantee of future results.
1984314.73.1.AM.RTL 17Chinese Economy
China’s economic activity has slowed down over the summer, as a wave of local
infections sparked new restrictions on business activity.
China Economic Surprise and Credit Impulse Chinese Economic Data (1-Year)
Citi Economic Surprise Index - China
12/30/2020 1-Year Trough 1-Year Peak July
Bloomberg Economics China Credit Impulse
100 33
57.8
31 34.2
50 56.3
Citi Economic Surprise Index
China Credit Impulse Index
29
54.9 54.9
0
Caixin China PMI
YoY Growth (%)
27
53.0
-50 25
-100 23 14.1
50.3
49.2
21 7.3
8.5
-150 49.2 6.4
19 4.6
4.8
-200
17 -1.1
-250 15 Retail Sales Industrial
Manufacturing Services
Production
China’s services and manufacturing PMIs fell into contractionary
territory for the first time since the recovery began
Source: Bloomberg Finance L.P., as of 7/31/2021, except for Citi Economic Surprise Index, and Caixin China PMIs, which are as of 8/31/2021.
1984314.73.1.AM.RTL 18US Reopening Momentum
US mobility, travel and dining booking trends have retreated from their recent peak
on the back of surging cases.
Mobility Trends TSA Traveler Throughput Vs. Open Table Changes vs 2019
Retail & Recreation Grocery & Pharmacy Transit Stations TSA Throughput Open Table Change from 2019
30 2.5 20
TSA Total Traveler Throughput (Millions)
20
Open Table Change from 2019 Levels (%)
0
2
10
-20
0
Baseline = 0
1.5
-40
-10
-60
-20 1
-80
-30
0.5
-40 -100
-50 0 -120
Feb-20 Jun-20 Oct-20 Feb-21 Jun-21 Feb-2020 Aug-2020 Feb-2021 Aug-2021
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results Global Mobility Report, Google as of 08/29/2021. The data shows how visits
to places, such as grocery stores and parks, are changing in each geographic region. Retail and Recreation = Mobility trends for places like restaurants, cafes, shopping centers, theme
parks, museums, libraries, and movie theaters. Grocery & Pharmacy = Mobility trends for places like grocery markets, food warehouses, farmers markets, specialty food shops, drug
stores, and pharmacies. ransit Stations = Mobility trends for places like public transport hubs such as subway, bus, and train stations. Data points are a rolling seven-day average to
reduce cyclical swings.
1984314.73.1.AM.RTL 19Global Valuation
Valuations of US small caps and value stocks have become even more attractive as of
late, while developed ex-US equities appear more attractive than US large caps.
Absolute & Relative Valuation Z-Score* and 15-Year Percentile Ranking Bottom 3 Expensive Valuation Top 3 Attractive Valuation
Absolute
Valuation to Region History (Percentile) Valuation Relative to S&P 500 (Percentile) Relative
Valuation
Valuation
Composite
P/E NTM P/E P/B P/S P/E NTM P/E P/B P/S Z-Score
Z-Score
S&P 500 94% 93% 99% 98% 2.47 — — — — —
S&P MidCap 400 Index 76% 68% 98% 97% 1.26 1% 0% 4% 4% -2.06
US/Style/Region
S&P SmallCap 600 Index 32% 27% 70% 88% 0.20 0% 0% 4% 5% -2.25
S&P 500 Value 88% 92% 98% 97% 1.82 4% 2% 4% 6% -1.58
S&P 500 Growth 94% 99% 100% 99% 2.87 98% 100% 99% 96% 2.26
MSCI EAFE 80% 89% 88% 98% 1.25 4% 0% 1% 2% -1.80
MSCI Europe 88% 89% 91% 98% 1.50 21% 0% 2% 3% -1.57
MSCI EM 80% 70% 71% 93% 0.74 2% 0% 1% 0% -1.39
MSCI Canada 57% 50% 86% 98% 0.81 2% 0% 6% 7% -1.76
MSCI Japan 49% 70% 79% 97% 0.53 0% 1% 1% 2% -1.20
Major Countries
MSCI Germany 61% 89% 82% 97% 1.01 0% 0% 1% 1% -2.01
MSCI France 92% 89% 90% 98% 1.50 28% 3% 5% 7% -1.20
MSCI UK 68% 46% 43% 93% 0.35 3% 0% 2% 4% -1.95
MSCI China 73% 78% 57% 67% 0.27 20% 22% 0% 3% -0.84
MSCI Russia 70% 67% 78% 73% 0.20 27% 6% 21% 18% -0.76
MSCI Brazil 0% 2% 69% 65% -0.88 0% 0% 2% 1% -2.30
MSCI India 93% 100% 74% 93% 1.54 38% 68% 13% 18% -0.56
Source: State Street Global Advisors, FactSet, as of 08/31/2021. * The z-score is calculated as the average z-score of valuations based on different metrics. The z-score indicates
how many standard deviations an element is from its historical mean. A z-score can be calculated from the following formula. z =(X -μ) / σ where z is the z-score, X is the segment current
valuations and σ is the standard deviation of monthly valuations over the past 15 years.
1984314.73.1.AM.RTL 20Global Momentum
Regulator concerns and slowing economic growth weighed on Chinese equity
momentum. Meanwhile, Indian equities ranked the top amid declining cases.
Momentum Scorecard Rankings Bottom 3 Rank on Momentum Top 3 Rank on Momentum
Price Momentum* Technicals Continuous Momentum
% # of # of # of
% above % above Difference Positive Positive Positive Combined
50-Day 200-Day 50- to Return Return Return Average
3 Month 6 Month 12 Month
Moving Moving 200-Day Days (90- Days Days Rank
Average Average Moving Day (180-Day (12-Month
Average Lookback) Lookback) Lookback)
S&P 500 5.1% 18.3% 34.4% 3.0% 11.7% 8.4% 54 104 142 6
US/Style/Regions
S&P MidCap 400 Index -0.8% 15.5% 45.1% 2.3% 7.6% 5.2% 45 98 139 10
S&P SmallCap 600 -0.3% 12.8% 55.0% 1.8% 6.9% 5.1% 47 101 139 10
S&P 500 Value 1.5% 17.8% 32.5% 1.6% 7.7% 6.1% 51 101 140 9
S&P 500 Growth 8.5% 18.8% 35.9% 5.0% 15.9% 10.4% 55 105 144 4
MSCI EAFE 2.3% 9.3% 27.5% 1.3% 4.9% 3.6% 54 114 161 9
Euro Stoxx 4.1% 14.0% 30.3% 1.7% 9.1% 7.3% 61 117 157 5
MSCI EM -5.2% -3.9% 18.4% -1.8% -3.3% -1.5% 42 96 143 15
MSCI Canada 4.7% 20.9% 34.7% 1.4% 8.8% 7.4% 53 105 148 6
MSCI Japan -0.2% 0.0% 23.1% 0.6% 3.2% 2.6% 43 99 136 14
Major Countries
MSCI Germany 0.6% 9.5% 23.4% 1.3% 6.8% 5.4% 54 105 144 10
MSCI France 3.4% 18.0% 37.4% 1.1% 9.0% 7.8% 59 117 157 5
MSCI UK 1.8% 11.7% 26.3% 0.6% 4.6% 4.0% 57 103 141 11
MSCI China -14.0% -19.2% -1.1% -7.1% -15.1% -8.6% 39 86 129 17
MSCI Russia 9.9% 18.4% 27.3% 2.2% 10.4% 8.0% 56 108 151 5
MSCI Brazil 7.5% 9.9% 15.9% -4.7% 0.0% 4.9% 49 91 139 13
MSCI India 8.4% 15.4% 41.9% 6.0% 15.6% 9.0% 61 116 164 3
US small cap and value stocks continue to show weak momentum
Source: State Street Global Advisors, Bloomberg, as of 08/31/2021. *Momentum is calculated by calculating the 3-month, 6-month and 12-month price performance, not including the most
recent month. Past performance is not a guarantee of future results.
1984314.73.1.AM.RTL 21Global Earnings
The earnings revision ratio of US large caps fell from its recent peak but remains
well ahead of other regions.
2021 EPS Growth Estimates (%) 2021 EPS Revision: 3-Month Up-to-Downgrade Ratio
S&P 500 MSCI EAFE MSCI Emerging Markets S&P 600 S&P 500 Index MSCI EAFE Index
MSCI Emerging Markets Index S&P 600
EM earnings revisions have lagged developed
markets since March
100
6.0
80 5.0
4.0
60
3.0
40
2.0
20
1.0
0 0.0
Source: FactSet, as of 08/31/2021. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. EPS growth estimates are
based on Consensus Analyst Estimates compiled by FactSet. Dotted line represents an equal ratio of upgrades and downgrades.
1984314.73.1.AM.RTL 22US Factor Trends
Quality shows steady upward trends, outperforming Value - the worst performing
factor – by 13% on a trailing three-month basis.
MSCI USA Factor Index Versus MSCI USA Index (Three Years) Period Excess Returns Versus
MSCI USA Index (%)
Quality Size Dividend Momentum Value Min. Vol. YTD Trailing 3 Month Prior Month
Strong performance of Financials and high momentum stocks in Health Care
contributed more than half of Momentum’s outperformance in August 1.5
Value -9.7
120
-2.1
115
Relative Performance (Beginning = 100)
-8.0
110 Momentum -1.1
1.3
105
-4.3
100 Dividend Yield -5.1
-1.0
95
1.4
90 Size -2.8
-0.6
85
2.0
80 Quality 3.7
0.2
75
-5.4
70 Min. Vol. -0.8
-1.0
Source: Bloomberg Finance, L.P. as of 08/31/2021. Past performance is not a guarantee of future results. Min. Vol = MSCI USA Minimum Volatility Index; Value = MSCI USA Enhanced
Value Index; Quality = MSCI USA Quality Index; Size = MSCI USA Equal Weighted Index; Dividend = MSCI USA High Dividend Yield Index; Momentum = MSCI USA Momentum Index. The
indexes used above were compared to the MSCI USA Index.. Index returns are unmanaged and do not reflect the deduction of any fees or expenses.
1984314.73.1.AM.RTL 233. Sectors
1984314.73.1.AM.RTL 24Sector Flows & Returns
Sector flows followed performance, led by defensive and secular growth sectors, as
investors position towards high quality and reliable growth segments.
Positioning Returns
Global Equity
Trailing Trailing 12- One-Month
Sector Heatmap Prior Month Current Short Prior Month 3-Month YTD Return
Three-Months Months Flow Prior Short
Flow ($M) Interest (%) Return (%) Return (%) (%)
Flow ($M) ($M) Interest (%)
Consumer Discretionary -224 -2,283 3,975 9.6 9.3 2.12 6.55 13.17
Consumer Staples 269 2,260 -2,491 7.1 7.6 1.40 3.80 9.21
Energy -1,287 -742 13,268 9.5 9.0 -2.04 -6.01 30.84
Financial 2,372 -1,959 23,879 9.9 9.6 5.14 1.58 31.47
Health Care 1,701 4,667 4,078 10.4 11.0 2.38 9.90 20.12
Industrials -592 -2,585 8,663 7.4 8.1 1.15 -0.21 18.78
Materials -812 -1,102 10,332 5.6 4.9 1.92 -1.52 19.07
Real Estate 722 4,007 10,659 4.1 4.3 2.81 11.01 32.64
Technology 3,053 7,334 9,534 3.4 3.6 3.56 15.04 22.36
Communications 1,024 1,522 2,090 1.6 1.6 5.01 11.72 30.15
Utilities 1,122 1,643 211 14.6 14.5 3.98 6.13 11.07
Worst-Performing Sector Best-Performing Sector
Technology contributed half of S&P 500 total returns over the past three Least Flows in Period Most Flows in Period
months, followed by Communication Services and Health Care
Track Sector and Industry Performance
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of August 31, 2021. Past performance is not a guarantee of future results. Under Current Short Interest, Cells that
are highlighted green have a lower Short Interest level than the Prior Month. Cells that are highlighted Red have a Short Interest higher than the prior month.
1984314.73.1.AM.RTL 25Thematic Sector Flows & Returns
Thematic ETFs had another month of outflows, as 88% of thematic ETFs have
underperformed the S&P 500 by an average of 12% year to date.
Flow Performance Size
% of % of YTD Category Average Return
Thematic Trailing
Prior Mo. Funds Funds Excess over the S&P 500 (%)
NextGen Prior Trailing 3-Mos.
Avg. beating beating Current # of
Trends Month 3-Mos. Avg. Intelligent Infrastructure -4.0
Return S&P 500 S&P 500 AUM Funds
($M) ($M) Return
(%) (Prior (Trailing
(%)
Mo.) 3-Mos.) Future Security -6.0
Broad Innovation -393 -436 3.0% 50.0% 6.2% 45.8% 31,696 24
Final Frontiers -6.6
Clean Energy 555 1,623 1.8% 22.2% 5.5% 38.9% 32,399 36
Robotics & AI -8.1
Cloud Computing -103 -240 3.9% 88.9% 12.2% 66.7% 9,437 9
Democratized Broad Innovation -9.7
-114 -188 5.1% 60.0% 8.2% 50.0% 6,678 10
Banking
Final Frontiers -22 -44 2.4% 66.7% 2.0% 0.0% 760 3 Smart Mobility -10.0
Future
-258 -349 1.8% 35.0% 0.4% 15.0% 13,006 20 Democratized Banking -11.1
Communication
Future Security 214 1,007 5.3% 75.0% 14.6% 75.0% 8,786 8
Human Evolution -12.5
Human Evolution -239 -136 2.3% 50.0% 4.6% 37.5% 10,881 24
Cloud Computing -12.8
Intelligent
100 129 2.0% 20.0% 5.4% 60.0% 1,159 5
Infrastructure
Clean Energy -13.5
New Consumer -151 -511 -1.7% 8.0% -6.9% 16.0% 5,841 25
Robotics & AI -155 -390 5.5% 81.8% 8.8% 45.5% 8,846 11
Future Communication -13.8
Smart Mobility -4 245 1.1% 0.0% 4.9% 28.6% 2,063 7 New Consumer -18.6
Worst-Performing Thematic Sector Best-Performing Thematic Sector
Least Flows in Period Most Flows in Period
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of August 31, 2021. Past performance is not a guarantee of future results.
1984314.73.1.AM.RTL 26Sector Scorecard
Strong earnings sentiment in Real Estate, Technology and Financials supported their
price momentum, with Financials also showing attractive valuations.
Sector Composite Z-Score*
Valuation Composite Score Momentum Composite Score Earnings Sentiment Composite Score
Communication Services -0.65 0.80 0.47
Consumer Discretionary -0.95 -0.90 0.19
Consumer Staples 0.17 -0.80 -0.68
Energy 1.93 0.19 0.43
Financials 0.72 0.64 0.80
Health Care 0.02 0.08 -0.31
Industrials -0.29 0.27 -0.26
Information Technology -1.20 0.71 0.68
Materials 0.63 -0.05 -0.91
Real Estate -0.02 0.73 0.54
Utilities 0.11 -1.67 -0.94
Consumer Discretionary price momentum dropped to the bottom three in August
Source: State Street Global Advisors, FactSet, Bloomberg Finance, L.P. as of 08/31/2021. Green shading is top 3, red shading is bottom 3. * The scorecard uses z-score for each metric
to standardize numbers across sectors and show relativeness among sectors. Composite score is calculated by equally weighting each metric in the same category. Z-score indicates how
many standard deviations an element is from the mean. A z-score can be calculated from the following formula. z = (X - μ) / σ where X is the value of the sector. μ is the mean of the
eleven sectors. σ is the standard deviation of eleven sectors. S&P 500 sector indices are used to calculate sector scores. Please refer to Appendix C for the metrics used to measure
valuation, momentum and earnings sentiment. Volatility score is not available for the communication services sector due to data availability.
1984314.73.1.AM.RTL 27Sector Earnings
Despite strong Q2 earnings beats in Consumer Discretionary, analysts are less
optimistic about its growth prospects given the spread of Delta variant.
2021 EPS Revisions and Q2 EPS Surprises Changes to 2021 EPS Est. Since 6/30/2021 Q2 EPS Surprises
30 27.4
24.2
25 20.7 20.8
20 16.9 16.4 15.2 14.0
13.4
15 11.4 10.4
%
7.8 8.3 9.1
10 7.0 6.2 6.4 5.5 5.3 4.2 3.9
5 2.0 1.3
0
-5 -0.5
Energy Real Estate Financials Materials Comm. Svs. Industrials S&P 500 Tech. Cons. Disc. Health Care Cons. Utilities
Staples
S&P 500 Sector (ex-Energy): Q3 Estimated EPS Growth Materials and Industrials are expected to
100% 91% continue leading earnings growth in Q3
78%
80%
60%
40% 28% 27% 23% 18% 14%
20% 9% 4%
0%
0% 0%
-20%
Materials Industrials Tech. S&P 500 Comm. Svs. Financials Real Estate Health Care Cons. Disc. Cons. Staples Utilities
Source: FactSet, as of August 31, 2021. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. EPS growth estimates are
based on Consensus Analyst Estimates compiled by FactSet.
1984314.73.1.AM.RTL 284. Fixed Income
1984314.73.1.AM.RTL 29Fixed Income Sector Performance
Developed ex-US segments underperformed US peers across all time periods given
a stronger US dollar, but investors favor EM hard currency debt for income.
Fixed Income Segment Performance (%) Trailing 3 Month YTD Prior Month
10.0 EM hard currency sovereign debt has outperformed
US high yield on a trailing 3-month basis
7.7
8.0
6.0
6.0
4.3
4.0 3.8 3.7
3.1
2.7
2.4
1.6 1.8 2.0
2.0 1.0 1.5
0.7 0.8
0.4 0.1
0.0 0.1 0.1
0.0
-0.3 -0.2 -0.3
-0.7
-2.0 -1.0
-1.4 -1.6
-2.1
-4.0 -3.3
-4.3 -4.4
-4.6
-6.0
US Agg US Treasury Short-Term Long-Term US TIPS US MBS US IG Corp. 1-10 Yr IG 10 Yr+ IG Municipals US High Sr. Loans Developed Developed EM Hard EM Local
Treasuries Treasuries Corp. Corp. Yield Ex-US IG Ex-US Currency Debt
Corp. Sovreign Sovereign
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of any fees
or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income. Performance returns for periods of less than one year are
not annualized. US Agg = Bloomberg Barclays US Aggregate Index | US Govies = Bloomberg Barclays US Treasury Index | Short-Term Govies = Bloomberg Barclays U.S. Treasury:1-3
Year Index | Long-Term Govies = Bloomberg Barclays US Long Treasury Index | US TIPS = Bloomberg Barclays Global Inflation-Linked: U.S. TIPS Index | US MBS = Bloomberg Barclays
US MBS Index | US IG Corp. = Bloomberg Barclays US Corporate Index | 1-10 Yr IG Corp. = Bloomberg Barclays Intermediate Corporate Index | 10 Yr+ IG Corp. = Bloomberg Barclays
Long U.S. Corporate Index | US High Yield = Bloomberg Barclays VLI: High Index | Sr. Loans = S&P/LSTA Leveraged Loan Index | Developed Ex-US IG Corp. = Bloomberg Barclays
Global Agg Corporate ex USD Index | Developed Ex-US Sovereign Bonds = Bloomberg Barclays Global Treasury ex-U.S. Index | EM Hard Currency Debt = J.P. Morgan EMBI Global
Core Index | EM Local Debt = Bloomberg Barclays EM Local Currency Govt Diversified Index | Municipals = Bloomberg Barclays Municipal Bond Index.
1984314.73.1.AM.RTL 30Yield Curve
The yield curve steepened in August, as the long-end of the curve moved higher,
while the dovish Fed anchored the short-end near zero.
US Treasury Curve US Treasury Active: 8/31/2021 7/31/2021 12/31/2020
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
1.9
2.0 1.8
1.8
1.6 1.3
1.4 1.1 1.2 1.6
Yield (%)
1.2 0.8 1.0
1.0
0.4 0.7
0.8
0.6 0.9
0.2 0.3
0.4 0.1
0.0 0.0 0.2 0.6
0.0 0.0 0.1 0.1
0.2 0.0 0.4
0.0 0.2
0.1 0.1 0.1 0.1
0.0
1 Year Ago YTD 1 Month Ago
80
Change in Bps
60 61
60 51 44
42 40 46
40 29
26 24
20 8 9 7 9 9 9
1 0 3 4
0
-6 -1 -1 -6 -3 0 -6 -3 -5 -4
-20
1M
1M 3M
3M 6M
6M 1Y
1Y 2Y
2Y 3Y
3Y 5Y
5Y 7Y
7Y 10Y
10Y 30Y
30Y
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results.
1984314.73.1.AM.RTL 31Inflation
CPI and PCE inflations fell from their recent peaks but stayed well above historical
norms, while inflation expectations moved sideways in August.
Inflation Expectations Inflation Measurements (YoY Changes)
US Core PCE
2-Year Breakeven US Core CPI
5-Year Breakeven Atlanta Fed Sticky CPI
10-Year Breakeven Dallas Fed Trimmed Mean One Year PCE Inflation
3.5 5.0
3.0 4.5
2.5 4.0
2.0 3.5
1.5 3.0
%
%
1.0 2.5
0.5 2.0
0.0 1.5
-0.5 1.0
-1.0 0.5
-1.5 0.0
The Trimmed Mean PCE inflation has not gone up to an extreme
level, indicating a transitory nature of the recent inflation trends
Source: Bloomberg Finance L.P., as of 8/31/2021. Data in the right chart are as of 7/31/2021
1984314.73.1.AM.RTL 32Bond Market Opportunities
With rates still well below their historical levels, income generation remains
challenging for bond investors.
Bond Market Segments Yield to Worst Duration 36-Month Standard Deviation Yield Per Unit of Volatility
10 0.9
Yield (%), Duration (Years), Standard Deviation (%)
8.7 9.2 0.8
9 9.0 0.8
8.4
8
0.7
7.1 7.0
6.7
Yield-Per-Unit-of-Volatility
7 7.0
0.6
6 0.5 0.6
5.2 0.5
5 5.0
0.4 4.5 4.5
4.4 0.4
0.4 3.9 3.8 0.4
3.8
4
0.3 3.5
2.9 0.3
3
2.0
0.2 2.0 0.2
2 1.4 1.7
0.9 0.1
1 0.5
0 0.0
Treasuries IG Corp HY Munis Agg HY Preferreds Senior Loans MBS
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of any fees
or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income as applicable. Performance returns for periods of less than one
year are not annualized. Treasuries = Bloomberg Barclays US Treasury Index, IG Corporates = Bloomberg Barclays US Corporate Index , HY Corporates = Bloomberg Barclays
US Corporate High Yield Index, Leveraged Loans = S&P/LSTA U.S. Leveraged Loan 100 Index, EM Debt = Bloomberg Barclays EM Hard Currency Aggregate Index, MBS = Bloomberg
Barclays US MBS Index, Agg = Bloomberg Barclays US Aggregate Bond Index, Preferreds = Wells Fargo Hybrid and Preferred Securities Aggregate Index.
1984314.73.1.AM.RTL 33Credit Trends
Credit spreads tightened last month after short-lived spread widening in July,
except for CCC & lower-rated high yield segments.
Credit Spreads (%) Credit Spread Changes in Basis Points Trailing 3 Months August
Bloomberg Barclays US Corporate High Yield Index
High Yield CCC & Lower 21
Bloomberg Barclays US Corporate Index 6
US High Yield B Rated -5
Bloomberg Barclays High Yield Energy Index -14
US High Yield BB Rated -21
-12
25
Broad High Yield -8
-6
US BBB Rated 1
1
20 IG Corporate 3
1
15 Credit Spread Current vs. 20-Year Averages (bps)
20-Yr. Avg August
Broad HY and IG spreads
IG Corporate 154 remain more than
10 87 40% below their
US BBB Rated 163
114 long-term averages
Broad High Yield 531
5 288
US High Yield BB Rated 377
221
US High Yield B Rated 552
0 372
US High Yield CCC & Lower 1115
660
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of 08/31/2021.. US High Yield CCC & Lower = BofA ML US High Yield CCC & Lower Rated Index. US High Yield B Rated = BofAML
US High Yield B Rated Index. BBB Rated = BofA ML US Investment Grade BBB Rated Index. Broad high yield = Bloomberg Barclays US Corporate High Yield Index. IG Corporate =
Bloomberg Barclays US Corporate Index. Past performance is not a guarantee of future results. Performance of an index is not illustrative of any particular investment. It is not
possible to invest directly in an index.
1984314.73.1.AM.RTL 34Credit Trends (continued)
Credit segments modestly moved higher last month, led by high yield bonds,
underscoring the stable economic outlook.
Credit Segment Performance (1 Year) Base = 100 IG and HY Performance by Credit Rating
ICE BofA US High Yield Index 1-Month Return YTD Return
ICE BofA BB US High Yield Index
% -5 0 5 10 15
ICE BofA Single-B US High Yield Index
ICE BofA CCC & Lower US High Yield Index 0.1
AAA -1.3
Invesmtent Grade
ICE BofA US Corp BBB
0.0
S&P/LSTA Senior Loan Index AA -0.5
-0.1
130
A -0.6
125 0.0
BBB 0.8
120 0.5
BB 3.9
115 0.4
B 3.7
110 High Yield 0.5
CCC & Lower 9.8
105
0.5
Broad High Yield 4.6
100
0.4
95 Senior Loans 3.7
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of 08/31/2021. Past performance is not a guarantee of future results. Performance of an index is not illustrative of any
particular investment. It is not possible to invest directly in an index.
1984314.73.1.AM.RTL 35Credit Trends (continued)
The upgrade-to-downgrade ratio for below investment grade debt has surged to
record highs, reflecting upbeat optimism on the health of the credit market.
Rating Changes for High Yield Bonds % of Distressed Bonds within the ICE BoFA ML High Yield Index
Upgrades Downgrades Upgrade/Downgrade Ratio
The percent of high yield bonds trading over
2,000 2.5 25% 1,000 basis points is at an all-time low
1,800
1,600 2.0 20%
1,400
Ratings Actions
1,200 1.5 15%
Ratio
1,000
800 1.0
10%
600
400 0.5
5%
200
0 0.0
0%
Sep-11 Jan-14 May-16 Sep-18 Jan-21
Source: Bloomberg Finance, L.P., as of 08/31/2021 Past performance is not a guarantee of future results. Performance of an index is not illustrative of any particular investment. It is
not possible to invest directly in an index.
1984314.73.1.AM.RTL 36Appendix
A Fund Flow Summary
B Asset Class Forecast
C SPDR Sector Scorecard
D Definitions
E Important Disclosures
1984314.73.1.AM.RTL 37Appendix A
Fund Flow Summary
Asset Category Prior Month ($M) Year to Date Trailing 3 Months ($M) Trailing 12 Months ($M)
U.S. 43,696 285,828 103,183 378,425
Global -905 41,995 4,762 69,454
Global-Ex Thematic 116 16,262 5,133 20,688
International-Developed 8,131 61,943 24,863 81,772
Equity Region
International-Emerging Markets 330 25,630 4,177 35,820
International-Region 372 17,886 4,613 18,290
International-Single Country 1,533 8,653 3,119 16,548
Currency Hedged 137 675 325 -99
Broad Market 8,558 68,694 22,848 100,590
Large-Cap 29,245 136,665 71,813 163,833
Mid-Cap 2 5,739 -1,243 7,595
US Size & Style
Small-Cap 164 21,575 2,574 36,256
Growth 6,939 16,111 20,313 19,573
Value 2,548 47,005 3,633 64,506
Aggregate 5,578 64,521 22,855 99,798
Government 2,791 7,076 6,040 1,998
Short Term 267 832 -2,132 -3,084
Intermediate 1,549 5,075 3,287 1,869
Long Term (>10 yr) 975 1,169 4,886 3,212
Inflation Protected 3,793 24,798 10,413 31,615
Fixed Income Mortgage-Backed -340 4,507 -382 10,715
Sectors IG Corporate 4,732 11,879 5,217 24,596
High Yield Corp. 207 -1,194 -742 -2,343
Bank Loans 720 8,083 2,128 8,862
EM Bond 373 5,176 2,244 8,920
Preferred 1,161 4,964 3,203 8,598
Convertible -111 -77 103 312
Municipals 1,345 14,736 6,191 21,010
Source: State Street Global Advisors, Bloomberg Finance, L.P. As of August 31, 2021. Segments with top 2 inflows in each category are shaded in green. Segments with bottom
2 flows in each category are shaded in orange. Sectors, asset classes and flows are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
1984314.73.1.AM.RTL 38Appendix B
Asset Class Forecast
Forecasted Return (%) as of 06/30/2021 1 Year 3-5 Year
9.6
7.9 7.3 7.7
6.8 6.8 6.3 7.0
4.9
2.1 1.7 1.2 0.7
N/A 0.2 0.1
US US Global Emerging US US US Commodities
Small Cap Large Cap Developed Market High Yield Investment Government
Ex-US Equities Grade Bonds Bonds
Forecasted Return (%) as of 03/31/2021 1 Year 3-5 Year
8.2
7.1
6.3 6.3 5.8
5.4 5.6
4.9
2.9
1.9 1.8
1 0.5 0.4
N/A 0.2
US US Global Emerging US US US Commodities
Small Cap Large Cap Developed Market High Yield Investment Government
Ex-US Equities Grade Bonds Bonds
Source: State Street Global Advisors Investment Solutions Group. The forecasted returns are based on SSGA’s Investment Solutions Group’s 06/30/2021. forecasted returns and long-
term standard deviations. The forecasted performance data is reported on a gross of fees basis. Additional fees, such as the advisory fee, would reduce the return. For example, if an
annualized gross return of 10% was achieved over a 5-year period and a management fee of 1% per year was charged and deducted annually, then the resulting return would be reduced
from 61% to 54%. The performance includes the reinvestment of dividends and other corporate earnings and is calculated in the local (or regional) currency presented. It does not take
into consideration currency effects. The forecasted performance is not necessarily indicative of future performance, which could differ substantially. Please reference Appendix B
(continued) for the assumptions used by SSGA Investment Solutions Group to create asset class forecasts.
1984314.73.1.AM.RTL 39Appendix B (continued)
Asset Class Forecast: Assumptions
Fixed Income Our return forecasts for fixed income derive from current yield conditions together with expectations
as to how real and nominal yield curves could evolve relative to historical averages. For corporate
bonds, we also analyze credit spreads and their term structures, with separate assessments of
investment-grade and high-yield bonds.
Equities Our long-term equity forecasts begin with expectations for developed market large capitalization stocks.
The foundation for these forecasts are estimates of real return potential, derived from current dividend
yields, forecast real earnings growth rates, and potential for expansion or contraction of valuation
multiples. Our forecasting method incorporates long run estimates of potential economic growth
based on forecast labor and capital inputs to estimate real earning growth.
Commodities Our long-term commodity forecast is based on the level of world GDP, as a proxy for consumption
demand, as well as on our inflation outlook. Additional factors affecting the returns to a commodities
investor include how commodities are held (e.g., physically, synthetically, or via futures) and the
various construction methodologies of different commodity benchmarks.
All assumptions are based upon current market conditions as of the date of this presentation and are subject to change. Past performance is no guarantee of future results.
All investments involve risk including the loss of principal. All material presented herein are obtained from sources believed to be reliable, but accuracy cannot be guaranteed.
1984314.73.1.AM.RTL 40Appendix C
SPDR Sector Scorecard
The metrics shown are z-scores, which
Composite Score Metrics
are calculated using the mean and
standard deviation of the relevant metrics
Validation Relative Valuation
(P/B, P/E, NTM P/E, P/S) within S&P 500 sectors. Using Z-scores
to standardize results across all sectors
Absolute Valuation allows for easier relative assessment.
(P/B, P/E, NTM P/E, P/S) Sectors with cheaper valuation, higher
price momentum, higher sentiment and
Earnings Sentiment Earnings Revision higher volatility will have higher z-scores.
(Changes to EPS Estimates, Upgrade to
Downgrade Ratio) We calculate a composite score by
equally weighting each metric z-score
Earnings Surprise
in the same category.
(The Magnitude and Breadth
of Earnings Surprise)
The scorecard does not represent the
Momentum Price Returns investment views of State Street. Metrics
3-Months, 6-Months, used in the scorecard have not been
12-Months backtested for any sector strategies by
State Street. These are for illustrative and
educational purposes as we seek to bring
greater transparency to the sector
investing landscape and the due diligence
required to build sophisticated portfolios
to meet specific client objectives.
Source: SPDR America Research.
1984314.73.1.AM.RTL 41Appendix D
Definitions
Basis Point: One hundredth of one percent, or 0.01%. Bloomberg Barclays US Corporate 1–3 Year Index: The Index includes publicly issued
US dollar denominated corporate issues that have a remaining maturity of greater than or
Bloomberg Commodity Index: Bloomberg Commodity Index (BCOM) is calculated equal to 1 year and less than 3 years, are rated investment grade.
on an excess return basis and reflects commodity futures price movements. The index
rebalances annually weighted 2/3 by trading volume and 1/3 by world production and Bloomberg Barclays US Corporate Bond Index: The Bloomberg Barclays US Corporate
weight-caps are applied at the commodity, sector and group level for diversification. Bond Index measures the investment grade, US dollar-denominated, fixed-rate, taxable
corporate and government related bond markets. It is composed of the US Corporate
Bloomberg Barclays EM USD Aggregate Index: The index is a hard currency emerging Index and a non-corporate component that includes foreign agencies, sovereigns,
markets debt benchmark that includes US dollar-denominated debt from sovereign, quasi- supranationals and local authorities.
sovereign, and corporate issuers in the developing markets.
Bloomberg Barclays US Corporate High Yield Index: The index consists of fixed rate,
Bloomberg Barclays EM Hard Currency Index: The Bloomberg Barclays Emerging high yield, USD-denominated, taxable securities issued by US corporate issuers.
Markets Hard Currency Aggregate Index is a flagship hard currency Emerging Markets
debt benchmark that includes USD-denominated debt from sovereign, quasi-sovereign, Bloomberg Barclays US Mortgage Backed Securities Index: The index consists of US
and corporate EM issuers. Mortgage Backed Securities.
Bloomberg Barclays Global Aggregate Bond Index: A benchmark that provides a Bloomberg Barclays US Treasury Index: Measures US dollar-denominated, fixed-rate,
broad-based measure of the global investment-grade fixed income markets. The three nominal debt issued by the US Treasury.
major components of this index are the US Aggregate, the Pan-European Aggregate, and
the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen Bloomberg Barclays US Treasury 1–3 Year Index: The Index is designed to measure
corporate bonds, Canadian government, agency and corporate securities, and USD the performance of short term (1–3 years) public obligations of the US Treasury.
investment-grade 144A securities.
Bloomberg Barclays US Treasury Bill 1–3 Months Index: The Bloomberg Barclays
Bloomberg Barclays Global Aggregate Bond Index: The Bloomberg Barclays Global 1–3 Month US Treasury Bill Index (the "Index") is designed to measure the performance
Aggregate Index is a flagship measure of global investment grade debt from twenty-four of public obligations of the US Treasury that have a remaining maturity of greater than or
local currency markets. This multi-currency benchmark includes treasury, government- equal to 1 month and less than 3 months.
related, corporate and securitized fixed-rate bonds from both developed and emerging Bloomberg Barclays US FRN < 5yr Index: The Bloomberg Barclays US Dollar Floating
markets issuers. Rate Note < 5 Years Index consists of debt instruments that pay a variable coupon rate, a
Bloomberg Barclays Municipal Bond Index: Index that covers the USD-denominated majority of which are based on the 3-month LIBOR, with a fixed spread.
long-term tax-exempt bond market. The index has four main sectors: state and local Bloomberg Barclays U.S. MBS Index (the "MBS Index") measures the performance
general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. of the U.S. agency mortgage pass-through segment of the U.S. investment grade
bond market.
Bloomberg Barclays US Aggregate Index: A benchmark that provides a measure of the
performance of the US dollar denominated investment grade bond market, which includes
Breakeven Inflation Rate: It is a market based measure of expected inflation. It is the
investment grade government bonds, investment grade corporate bonds, mortgage pass
difference between the yield of a nominal bond and an inflation linked bond of the
through securities, commercial mortgage backed securities and asset backed securities
same maturity.
that are publicly for sale in the US.
1984314.73.1.AM.RTL 42Appendix D (continued)
Definitions
Bloomberg Barclays US High Yield Index: The Bloomberg USD High Yield Corporate time period.
Bond Index is a rules-based, market-value weighted index engineered to measure publicly
issued non-investment grade USD fixed-rate, taxable, corporate bonds. To be included in Global Industry Classification Standard (GICS): An industry taxonomy developed in
the index a security must have a minimum par amount of 250MM. 1999 by MSCI and Standard & Poor’s (S&P) for use by the global financial community.
The GICS structure consists of 10 sectors, 24 industry groups, 67 industries and
Bloomberg Barclays US Treasury Index: The Bloomberg US Treasury Bond Index is a 156 sub-industries [1] into which S&P has categorized all major public companies.
rules-based, market-value weighted index engineered to measure the performance and
Implied Volatility: The estimated volatility of a security’s price. In general, implied
characteristics of fixed rate coupon US Treasuries which have a maturity greater than
volatility increases when the market is bearish and decreases when the market is bullish.
12 months. To be included in the index a security must have a minimum par amount
This is due to the common belief that bearish markets are more risky than bullish markets.
of 1,000MM.
LBMA Gold Price Index: Provides the price platform and methodology as well as the
Bloomberg US Pure Value Index: The return of the top quintile less the bottom quintile overall administration and governance for the LBMA Gold Price.
value stocks.
Minimum Volatility Factor: A category of stocks that are characterized by relatively less
CBOE VIX Index: The Chicago Board Options Exchange (CBOE) Volatility Index shows movement in share price than many other equities.
the market’s expectation of 30-day volatility. It is constructed using the implied volatilities
of a wide range of S&P 500 index options. Momentum Factor: The tendency for a security to maintain a certain direction of price
trajectory. This tendency is well documented in academic research, which has made
Citigroup Economic Surprise Index: The Citi Economic Surprise Indices measure data “momentum” one of the six smart beta factors that are systematically being isolated in
surprises relative to market expectations. A positive reading means that data releases new-generation strategic indexes.
have been stronger than expected and a negative reading means that data releases have
been worse than expected. MSCI Brazil Index: An equities benchmark that captures large- and mid-cap
representation in Brazil.
Credit Spread: A credit spread is the difference in yield between a US Treasury bond and
a debt security with the same maturity but of lesser quality. MSCI Canada Index: An equities benchmark that captures large- and mid-cap
representation in Canada.
Current Short Interest (%): The percentage of tradable outstanding shares which have
been shorted. Used as a measure of investor sentiment. MSCI China Index: A benchmark that captures large and mid cap representation across
China A shares, H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs).
Convexity: Convexity is a measure of the curvature in the relationship between bond
prices and bond yields. Bond with negative convexity, prices decrease as interest rate fall. MSCI China On Shore: A benchmark that captures large and mid cap representation
Since many high yields bonds are callable,, the price of the callable bonds might drop in across China securities listed on the Shanghai and Shenzhen exchanges
the event of falling yields because the bond could be called.
Nasdaq Golden Dragon China Index is a modified market capitalization weighted index
DXY Dollar Index: The DXY Dollar Index tracks the performance of a basket of foreign comprised of companies whose common stock is publicly traded in the United States and
currencies issued by US major trade partners, including Eurozone, Japan, U.K. Canada, the majority of whose business is conducted within the People's Republic of China.
Sweden and Switzerland, versus the US Dollar.
MSCI EAFE Index: An equities benchmark that captures large- and mid-cap
Euro STOXX 50 Index: Europe’s leading blue-chip index for the Eurozone, provides representation across developed market countries around the world, excluding the US
a blue-chip representation of super-sector leaders in the Eurozone. The index covers and Canada.
50 stocks from 12 Eurozone countries.
MSCI Emerging Market Index: The MSCI Emerging Markets Index captures large and
EBITDA: Earnings before Interest Taxes Depreciation and Amortization. mid-cap representation across 23 emerging markets countries. With 834 constituents,
the index covers approximately 85% of the free float-adjusted market capitalization in
Excess Returns: A security’s return minus the return from another security in the same each country.
1984314.73.1.AM.RTL 43Appendix D (continued)
Definitions
MSCI Europe Index: The MSCI Europe Index is a free-float weighted equity index MSCI USA Index: The MSCI World Index, which is part of The Modern Index Strategy, is
designed to measure the equity market performance of the developed markets in Europe. a broad global equity benchmark that represents large and mid-cap equity performance
across 23 developed markets countries. It covers approximately 85% of the free float-
MSCI France Index: An equities benchmark that captures large- and mid-cap adjusted market capitalization in each country and MSCI World benchmark does not offer
representation in France. exposure to emerging markets.
MSCI Germany Index: An equities benchmark that captures large- and mid-cap
MSCI USA Minimum Volatility Index: The MSCI USA Minimum Volatility (USD) Index
representation in Germany.
aims to reflect the performance characteristics of a minimum variance strategy applied
MSCI India Index: An equities benchmark that captures large- and mid-cap to the MSCI large and mid cap equity universe. The index is calculated by optimizing
representation in India. the MSCI USA Index, its parent index, for the lowest absolute risk (within a given set of
constraints). Historically, the index has shown lower beta and volatility characteristics
MSCI Japan Index: The MSCI Europe Index is a free-float weighted equity index relative to the MSCI World Index.
designed to measure the equity market performance of the developed markets in Japan.
Price-earnings ratio (P/E Ratio): The price-earnings ratio (P/E Ratio) is the ratio for
MSCI Russia Index: An equities benchmark that captures large- and mid-cap valuing a company that measures its current share price relative to its per-share earnings.
representation in Russia. The price-earnings ratio can be calculated as: Market Value per Share/Earnings
per Share.
MSCI UK Index: An equities benchmark that captures large- and mid-cap representation
in UK. Price-to-book ratio (P/B Ratio): The price-to-book ratio (P/B Ratio) is a ratio used to
compare a stock’s market value to its book value. It is calculated by dividing the current
MSCI USA Enhanced Value Weighted Index: The MSCI USA Enhanced Value closing price of the stock by the latest quarter’s book value per share. Also known as the
Weighted Index captures large and mid-cap representation across the US equity markets “price-equity ratio.
exhibiting overall value style characteristics. The index is designed to represent the
performance of securities that exhibit higher value characteristics relative to their peers Quality Factor: One of the six widely recognized, research-based smart beta factors that
within the corresponding GICS® sector. refers to “quality” equities. Companies whose stocks qualify exhibit consistent profitability,
stability of earnings, low financial leverage and other characteristics consistent with long-
MSCI USA Equal Weighted Index: The MSCI USA Equal Weighted Index represents an term reliability such as ethical corporate governance.
alternative weighting scheme to its market cap weighted parent index, the MSCI USA
Index. At each quarterly rebalance date, all index constituents are weighted equally, Quintile Spread: The spread between the top 20% of a data set and the bottom 20% of a
effectively removing the influence of each constituent’s current price (high or low). data set.
MSCI USA High Dividend Yield Index: The MSCI World High Dividend Yield Index is Risk on: Used to describe investment sentiment when investors’ risk tolerance increases.
based on the MSCI USA Index, its parent index, and includes large and mid cap stocks.
The index is designed to reflect the performance of equities in the parent index (excluding RSI: The relative strength index (RSI) is a momentum indicator that measures the
REITs) with higher dividend income and quality characteristics than average dividend magnitude of recent price changes to evaluate overbought or oversold conditions in the
yields that are both sustainable and persistent. The index also applies quality screens and price of a stock or other asset.
reviews 12-month past performance to omit stocks with potentially deteriorating
fundamentals that could force them to cut or reduce dividends. Russell 1000 Growth Index: The index is a style index designed to track the performance
of stocks that exhibit the strongest growth characteristics by using a style-attractiveness-
weighting scheme.
1984314.73.1.AM.RTL 44Appendix D (continued)
Definitions
Russell 1000 Value Index: The index is a style-concentrated index designed to track the S&P 500 Index: A popular benchmark for US large-cap equities that includes 500
performance of stocks that exhibit the strongest value characteristics by using a style- companies from leading industries and captures approximately 80% coverage of available
attractiveness-weighting scheme. market capitalization.
Russell 2000 Index: A benchmark that measures the performance of the small-cap S&P 500 Industrial Sector Index: The Index comprises of those companies included in
segment of the US equity universe. the S&P 500 that are classified as members of the GICS ® industrial sector.
S&P/LSTA US Leveraged Loan 100 Index: The S&P/LSTA US Leveraged Loan 100 S&P500 Information Technology Sector Index: The Index comprises of those
Index is designed to reflect the largest facilities in the leveraged loan market. companies included in the S&P 500 that are classified as members of the GICS ®
information technology sector.
S&P 400 Index: he S&P MidCap 400® provides investors with a benchmark for mid-sized
companies. The index, which is distinct from the large-cap S&P 500®, is designed to S&P 500 Low Volatility Index: The S&P 500® Low Volatility Index measures
measure the performance of 400 mid-sized companies, reflecting the distinctive risk and performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low
return characteristics of this market segment. volatility or low variance strategies for the US stock market. Constituents are weighted
relative to the inverse of their corresponding volatility, with the least volatile stocks
S&P 500 Communication Services Sector Index: The Index comprises of those receiving the highest weights.
companies included in the S&P 500 that are classified as members of the GICS ®
Communication Services sector. S&P 500 Materials Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS ® materials sector.
S&P 500 Consumer Discretionary Index: The Index comprises of those companies
included in the S&P 500 that are classified as members of the GICS ® consumer S&P 500 Pure Value Index: Style-concentrated index designed to track the performance
discretionary sector. of stocks that exhibit the strongest value characteristics by using a style-attractiveness-
weighting scheme.
S&P 500 Consumer Staples Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS ® consumer staples sector. S&P 500 Quality Index: The index is designed to track high quality stocks in the S&P 500
by quality score, which is calculated based on return on equity, accruals ratio and financial
S&P 500 Financial Sector Index: The Index comprises of those companies included in leverage ratio.
the S&P 500 that are classified as members of the GICS ® financial sector.
S&P 500 Real Estate Sector Index: The Index comprises of those companies included in
S&P 500 Health Care Sector Index: The Index comprises of those companies included in the S&P 500 that are classified as members of the GICS ® real estate sector.
the S&P 500 that are classified as members of the GICS ® health care sector.
S&P 500 Utilities Index: The Index comprises of those companies included in the S&P
S&P 500 High Dividend Index is designed to measure the performance of the top 80 500 that are classified as members of the GICS® utilities sector.
high dividend-yielding companies within the S&P 500® Index, based on dividend yield.
Size Factor: A smart beta factor based on the tendency of small-cap stocks to outperform
S&P 500 High Yield Dividend Aristocrats he S&P High Yield Dividend Aristocrats® their large-cap peers over long time periods.
index is designed to measure the performance of companies within the S&P Composite
1500® that have followed a managed-dividends policy of consistently increasing dividends Spread Changes: Changes in the spread between Treasury securities and non-Treasury
every year for at least 20 years. securities that are identical in all respects except for quality rating.
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