SPDJI-CoreFactorIndices@spglobal.com Index Dashboard: …

MONTHLY AND YTD PERFORMANCE SUMMARY

March Total Return

S&P 500 Enhanced Value S&P 500 Pure Value

S&P 500 High Dividend S&P 500 Low Volatility High Dividend

S&P 500 Buyback S&P 500 Revenue-Weighted S&P 500 Dividend Aristocrats

S&P 500 Value S&P 500 Equal Weight

S&P 500 High Beta S&P 500 Momentum

S&P 500 Quality S&P 500 QVM Top 90% S&P 500 Minimum Volatility

S&P 500 Low Volatility S&P 500 Pure Growth

S&P 500 Growth

0%

8.0%

7.0%

5.7%

5.1%

5.1%

5.0%

4.7%

4.5%

4.5%

4.3%

4.2%

3.7%

3.6%

3.1%

3.1% 3.0% 2.1%

S&P 500 3.2%

5%

10%

COMMENTARY

INDEX INVESTMENT STRATEGY: FACTORS

IndexInvestmentStrategy@

Index Dashboard: S&P 500? Factor Indices

March 2024

S&P 500 Momentum S&P 500 Growth

S&P 500 QVM Top 90% S&P 500 Quality

S&P 500 Enhanced Value S&P 500 High Beta

S&P 500 Revenue-Weighted S&P 500 Buyback S&P 500 Value

S&P 500 Pure Growth S&P 500 Pure Value

S&P 500 Equal Weight S&P 500 Minimum Volatility S&P 500 Dividend Aristocrats

S&P 500 High Dividend S&P 500 Low Volatility High Dividend

S&P 500 Low Volatility

-25%

12M Total Return

49.0%

33.7%

29.8%

29.7%

28.1%

26.9%

25.9%

25.7%

25.6%

23.2%

19.8%

19.4%

18.5%

14.1%

12.3% 10.5% 8.5%

S&P 500 29.9%

-5%

15%

35%

55%

The first quarter of 2024 marked the second quarter in a row of double-digit positive performance for the S&P 500, with the benchmark rising 10.6%. All 17 of our featured factor indices exhibited positive performance for the quarter, and seven of them outperformed the S&P 500. Momentum led all other factors, rising 22.6% during Q1 and outperforming the S&P 500 by 12.0%. On the other end of the spectrum, High Dividend posted the lowest Q1 performance among our featured factor indices, rising 4.9% yet trailing the S&P 500 by 5.7% after outperforming in the previous quarter. Our first chart illustrates changes in factor leadership, showing excess performance during the last two quarters for seven major factor indices.

Q4 2023 and Q1 2024 Excess Performance

14% 12% 10%

8% 6% 4% 2% 0% -2% -4% -6% -8%

Momentum

Growth

High Beta

Quality Equal Wtd.

Value

High Div.

Q4 2023 Q1 2024

Misw eight of Mag. 7

Misweight of Mag. 7 vs. 1M Relative Performance

30%

3.0%

20%

2.0%

10%

1.0%

0%

0.0%

-10%

-1.0%

-20%

-2.0%

-30%

-3.0% Growth Momentum Quality High Beta Equal Wtd. Value High Div.

1M Relative Performance

Misweight of Mag. 7

As the price to earnings multiple for the S&P 500 increased slightly during Q1, some factors exhibited much faster increases in valuation. However, multiple expansion and outperformance were not directly related. Our third chart illustrates the absolute change in P/E ratios from the end of Q1 2023 to the end of Q1 2024 and the concurrent excess performance versus the S&P 500. Notably, the aforementioned Momentum index's P/E multiple increased at a rate only slightly higher than the S&P 500, yet outperformed significantly, while Quality and Revenue-Weighted also outperformed.

1M Relative Performance

Q1 P/E Multiple Change

Continuing to examine the impact of the Magnificent 7, we find that the contribution of these constituents to benchmark total performance remains high but has continued to wane slightly in March. At the end of February, the Magnificent 7 comprised 29.1% of S&P 500 weight yet contributed one-fifth of the index performance. Our second chart shows the collective misweight of the Magnificent 7 stocks in a selection of factor indices at the end of February 2024, and the subsequent performance of each factor relative to the S&P 500 during the month of March, 2024. In March, there appeared to be an inverse relationship between Mag. 7 weight and excess performance, indicating that the largest stocks were no longer the leading contributors.

12 10

8 6 4 2 0 -2 -4 -6 -8 -10 -12 -12.5% -10.0%

-7.5%

S&P 500

Pure Growth Growth

Quality

Momentum

Enh. Value

QVM Top-90% Rev. Wtd.

-5.0% -2.5% 0.0% 2.5% 5.0% Q1 Relative Performance vs. S&P 500

7.5% 10.0% 12.5%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 28, 2024. Returns in U.S. dollars.

1

Index Dashboard: S&P 500? Factor Indices

March 2024

ANNUAL PERFORMANCE

Core factor performance by calendar year, 2009-present:

Total Return Value Low Volatility Momentum Quality

2009 21.18% 19.22% 17.24% 30.46%

2010 15.10% 13.36% 18.72% 14.95%

S&P 500 Relative to Benchmark

26.46% 2009

20%

15.06% 2010

Value

15%

10%

Low Volatility

5%

0%

Momentum

-5% -10%

Quality

-15% -20%

2011 -0.48% 14.78% 1.60% 10.89%

2.11%

2011

2012 17.68% 10.30% 17.33% 14.68%

16.00%

2012

2013 31.99% 23.59% 31.42% 34.24%

32.39%

2013

2014 12.36% 17.49% 11.23% 14.95%

13.69%

2014

2015 -3.13% 4.34% 5.56% 0.38%

1.38%

2015

2016 17.40% 10.37% 5.70% 9.56%

11.96%

2016

Total Return Value Low Volatility Momentum Quality

S&P 500

Relative to Benchmark

2017 15.36% 17.41% 28.27% 19.51%

21.83%

2018 -8.95% 0.27% -0.04% -6.79%

-4.38%

2017

20%

2018

Value

15%

10%

Low Volatility

5%

0%

Momentum

-5% -10%

Quality

-15%

-20%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 28, 2024. Returns in U.S. dollars.

2019 31.93% 28.26% 26.25% 33.91%

31.49%

2019

2020 1.36% -1.11% 28.32% 17.55%

18.40%

2020

2021 24.90% 24.42% 22.79% 28.16%

28.71%

2022 -5.22% -4.59% -10.51% -15.62%

-18.11%

2023 22.23% 0.72% 17.78% 24.97%

26.29%

2021

2022

2023

2024 8.05% 5.84% 22.55% 12.23% 10.56% 2024

2

15 YEAR RISK & RETURN - ABSOLUTE

18%

Buyback, 17%

17%

Growth, 17%

Momentum, 16%

Pure Growth, 16%

16%

Quality, 16%

Revenue-Weighted, 16%

QVM Top 90%, 16% S&P 500 Equal Weight, 16%

Dividend

High Dividend,

15%

Aristocrats, 15%

15%

Index Dashboard: S&P 500? Factor Indices

March 2024

Pure Value, 17%

High Beta, 18%

Enhanced Value, 16%

15Y Total Return (Ann.)

14%

Minimum Volatility, 14%

13%

Value, 14%

Low Volatility High Dividend, 14%

Low Volatility, 13%

12%

11%

10%

12%

14%

16%

18%

20%

22%

24%

26%

28%

Volatility (Ann.)

TOTAL RETURN S&P 500 High Beta

1M 3M 12M 3Y 5Y 10Y 15Y 4.3% 6.9% 26.9% 9.4% 18.1% 12.7% 17.6%

S&P 500 Pure Value

7.0% 8.6% 19.8% 9.0% 10.0% 8.3% 17.2%

S&P 500 Buyback

5.1% 10.2% 25.7% 10.1% 13.9% 11.9% 17.1%

S&P 500 Growth

2.1% 12.8% 33.7% 10.2% 15.8% 14.6% 16.7%

S&P 500 Pure Growth

3.0% 14.1% 23.2% 5.0% 10.8% 10.8% 16.5%

S&P 500 Momentum

4.2% 22.6% 49.0% 16.5% 17.1% 15.1% 16.1%

S&P 500 Revenue-Weighted

5.0% 10.6% 25.9% 12.7% 15.2% 12.2% 16.0%

S&P 500 Equal Weight

4.5% 7.9% 19.4% 8.2% 12.3% 10.9% 15.9%

S&P 500 Quality

3.7% 12.2% 29.7% 12.8% 15.5% 12.8% 15.8%

S&P 500 QVM Top 90%

3.6% 12.0% 29.8% 12.3% 15.6% 13.1% 15.7%

S&P 500 Enhanced Value

8.0% 13.5% 28.1% 10.9% 11.5% 9.8% 15.7%

S&P 500 Dividend Aristocrats

4.7% 7.1% 14.1% 8.1% 11.2% 11.3% 15.4%

S&P 500 High Dividend

5.7% 4.9% 12.3% 6.4% 6.5% 8.9% 15.3%

S&P 500 Value

4.5% 8.1% 25.6% 12.2% 13.3% 10.6% 14.1%

S&P 500 Minimum Volatility

3.1% 9.4% 18.5% 9.0% 11.1% 11.3% 13.9%

S&P 500 Low Volatility High Dividend

5.1% 5.8% 10.5% 5.7% 5.7% 8.8% 13.8%

S&P 500 Low Volatility

3.1% 5.8% 8.5% 6.8% 7.2% 9.5% 12.6%

S&P 500

3.2% 10.6% 29.9% 11.5% 15.0% 13.0% 15.6% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 28, 2024. Returns in U.S. dollars.

VOLATILITY (ANN.) S&P 500 High Beta S&P 500 Pure Value S&P 500 Buyback S&P 500 Growth S&P 500 Pure Growth S&P 500 Momentum S&P 500 Revenue-Weighted S&P 500 Equal Weight S&P 500 Quality S&P 500 QVM Top 90% S&P 500 Enhanced Value S&P 500 Dividend Aristocrats S&P 500 High Dividend S&P 500 Value S&P 500 Minimum Volatility S&P 500 Low Volatility High Dividend S&P 500 Low Volatility S&P 500

12M 3Y 5Y 10Y 15Y 25.4% 26.3% 30.7% 25.3% 26.4% 20.6% 20.6% 25.8% 20.8% 22.2% 16.4% 18.5% 21.8% 18.1% 17.5% 12.9% 20.1% 19.8% 16.3% 15.5% 14.2% 21.5% 21.6% 17.8% 17.8% 15.5% 18.6% 17.8% 15.3% 14.9% 12.1% 16.4% 18.4% 15.4% 15.6% 16.1% 17.9% 20.1% 16.5% 16.9% 11.5% 16.6% 17.1% 14.5% 14.1% 12.3% 16.9% 17.8% 14.9% 14.6% 17.7% 20.0% 24.5% 19.9% 20.2% 15.1% 16.8% 17.6% 14.5% 14.2% 19.1% 18.5% 22.8% 17.8% 17.5% 13.7% 16.3% 18.2% 15.2% 15.3% 11.2% 14.7% 15.6% 12.9% 12.1% 14.5% 16.5% 19.0% 15.3% 14.7% 10.4% 13.9% 14.5% 12.3% 11.4% 12.6% 17.2% 18.1% 15.0% 14.8%

3

15Y Outperformance Relative to S&P 500 (Ann.)

15 YEAR RISK & RETURN - RELATIVE TO S&P 500

3%

Index Dashboard: S&P 500? Factor Indices

March 2024

2%

Growth

1%

Revenue-Weighted QVM Top 90%

0%

S&P 500

Quality

-1%

Buyback

Pure Growth Momentum Equal Weight

Dividend Aristocrats

Pure Value

Enhanced Value High Dividend

Value Minimum Volatility

-2%

Low Volatility High Dividend

High Beta

-3%

Low Volatility

-4%

0%

2%

4%

6%

8%

10%

12%

Tracking Error to S&P 500 (Ann.)

RELATIVE RETURN AND TRACKING ERROR

PERFORMANCE v S&P 500 S&P 500 High Beta

1M 3M 1YR 3YR 5YR 10YR 15YR 1.1% -3.6% -2.9% -2.1% 3.0% -0.2% 2.0%

S&P 500 Pure Value

3.8% -1.9% -10.1% -2.4% -5.1% -4.7% 1.6%

S&P 500 Buyback

1.8% -0.4% -4.2% -1.4% -1.2% -1.0% 1.5%

S&P 500 Growth

-1.1% 2.2% 3.8% -1.3% 0.7% 1.6% 1.1%

S&P 500 Pure Growth

-0.2% 3.5% -6.7% -6.5% -4.2% -2.2% 0.8%

S&P 500 Momentum

0.9% 12.0% 19.2% 5.0% 2.1% 2.1% 0.5%

S&P 500 Revenue-Weighted

1.7% 0.0% -3.9% 1.2% 0.1% -0.8% 0.4%

S&P 500 Equal Weight

1.2% -2.6% -10.5% -3.3% -2.7% -2.0% 0.3%

S&P 500 Quality

0.5% 1.7% -0.1% 1.4% 0.5% -0.2% 0.2%

S&P 500 QVM Top 90%

0.4% 1.5% -0.1% 0.8% 0.5% 0.2% 0.1%

S&P 500 Enhanced Value

4.8% 2.9% -1.8% -0.6% -3.6% -3.1% 0.1%

S&P 500 Dividend Aristocrats

1.5% -3.5% -15.8% -3.3% -3.9% -1.6% -0.2%

S&P 500 High Dividend

2.5% -5.7% -17.5% -5.1% -8.5% -4.0% -0.3%

S&P 500 Value

1.3% -2.5% -4.3% 0.7% -1.8% -2.3% -1.6%

S&P 500 Minimum Volatility

-0.1% -1.1% -11.4% -2.5% -3.9% -1.7% -1.8%

S&P 500 Low Volatility High Dividend

1.9% -4.8% -19.4% -5.8% -9.3% -4.1% -1.8%

S&P 500 Low Volatility

-0.1% -4.7% -21.4% -4.6% -7.9% -3.5% -3.0% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 28, 2024. Returns in U.S. dollars.

TRACKING ERROR v S&P 500 (ANN.) S&P 500 High Beta S&P 500 Pure Value S&P 500 Buyback S&P 500 Growth S&P 500 Pure Growth S&P 500 Momentum S&P 500 Revenue-Weighted S&P 500 Equal Weight S&P 500 Quality S&P 500 QVM Top 90% S&P 500 Enhanced Value S&P 500 Dividend Aristocrats S&P 500 High Dividend S&P 500 Value S&P 500 Minimum Volatility S&P 500 Low Volatility High Dividend S&P 500 Low Volatility

14%

16%

1YR 3YR 5YR 10YR 15YR 15.3% 13.7% 16.9% 13.9% 14.8% 13.5% 13.2% 14.7% 11.3% 12.3% 9.3% 7.5% 8.7% 6.9% 6.5% 3.8% 6.1% 5.6% 4.5% 4.0% 8.1% 9.8% 8.4% 6.9% 6.7% 10.2% 9.4% 8.8% 7.1% 6.8% 5.2% 5.8% 5.6% 4.4% 4.0% 6.8% 5.8% 6.0% 4.7% 4.9% 3.8% 4.3% 4.0% 3.4% 3.4% 2.1% 1.7% 1.4% 1.1% 1.0% 12.9% 11.8% 13.2% 10.4% 10.0% 7.1% 7.5% 6.6% 5.6% 5.4% 12.3% 12.0% 13.1% 10.5% 10.4% 4.3% 6.5% 6.3% 5.1% 4.4% 5.3% 5.9% 5.6% 5.2% 5.6% 8.3% 11.2% 10.6% 9.2% 8.9% 7.2% 9.6% 9.8% 8.4% 8.5%

4

DEGREE OF PORTFOLIO OVERLAP AND RELATIVE RETURN CORRELATIONS

PORTFOLIO OVERLAP

Index Dashboard: S&P 500? Factor Indices

March 2024

Value

Pure Growth Low Volatility Minimum Volatility QVM Top 90% LHDiiovgiwhdVeDionlvdiatidlAiertinystdoHicrgahtsDividend Revenue-Weighted Value

Enhanced High Beta

Equal Weight Pure Value Buyback

S&P 500

50 0 50 0

50 0 50 0 50 0

50 0 50 0 50 0 50 0 50 0 50 0 50 0 50 0 50 0

S&P 500 Quality

Momentum Growth

50 0 50 0

S&P S&P

S&P S&P S&P

S&P S&P S&P S&P S&P S&P S&P S&P S&P

S&P S&P

S&P 500 Momentum

100% 65% 34% 34% 14% 29% 50% 7% 3% 3% 26% 20% 20% 7% 13% 10% 17% 48%

S&P 500 Growth

65% 100% 37% 37% 13% 26% 64% 7% 3% 3% 33% 24% 29% 3% 16% 3% 19% 65%

S&P 500 Quality

34% 37% 100% 20% 19% 23% 40% 18% 7% 5% 26% 28% 20% 7% 21% 13% 14% 37%

S&P 500 Pure Growth

34% 37% 20% 100% 8% 23% 29% 8% 7% 7% 18% 7% 19% 8% 27% 10% 31% 30%

S&P 500 Low Volatility

14% 13% 19% 8% 100% 19% 23% 31% 17% 17% 22% 32% 22% 10% 18% 8% 4% 24%

S&P 500 Minimum Volatility

29% 26% 23% 23% 19% 100% 32% 11% 14% 9% 26% 23% 17% 11% 11% 11% 15% 32%

S&P 500 QVM Top 90%

50% 64% 40% 29% 23% 32% 100% 15% 9% 9% 58% 56% 47% 13% 20% 15% 19% 93%

S&P 500 Dividend Aristocrats

7% 7% 18% 8% 31% 11% 15% 100% 18% 14% 18% 24% 16% 9% 14% 9% 8% 15%

S&P 500 Low Volatility High Dividend

3% 3% 7% 7% 17% 14% 9% 18% 100% 54% 13% 17% 13% 14% 8% 13% 4% 10%

S&P 500 High Dividend

3% 3% 5% 7% 17% 9% 9% 14% 54% 100% 16% 19% 18% 29% 8% 19% 20% 10%

S&P 500 Revenue-Weighted

26% 33% 26% 18% 22% 26% 58% 18% 13% 16% 100% 62% 51% 36% 28% 36% 17% 61%

S&P 500 Value

20% 24% 28% 7% 32% 23% 56% 24% 17% 19% 62% 100% 56% 23% 20% 28% 12% 58%

S&P 500 Equal Weight

20% 29% 20% 19% 22% 17% 47% 16% 13% 18% 51% 56% 100% 23% 24% 22% 23% 50%

S&P 500 Pure Value

7% 3% 7% 8% 10% 11% 13% 9% 14% 29% 36% 23% 23% 100% 24% 50% 24% 13%

S&P 500 Buyback

13% 16% 21% 27% 18% 11% 20% 14% 8% 8% 28% 20% 24% 24% 100% 28% 21% 20%

S&P 500 Enhanced Value

10% 3% 13% 10% 8% 11% 15% 9% 13% 19% 36% 28% 22% 50% 28% 100% 15% 14%

S&P 500 High Beta

17% 19% 14% 31% 4% 15% 19% 8% 4% 20% 17% 12% 23% 24% 21% 15% 100% 19%

"Portfolio Overlap" is percentage of index weights held in common between any two indices.

RELATIVE RETURN CORRELATIONS

Value

Pure Growth Low Volatility Minimum Volatility QVM Top 90% LHDiiovgiwhdVeDionlvdiatidlAiertinystdoHicrgahtsDividend Revenue-Weighted Value

Enhanced High Beta

Equal Weight Pure Value Buyback

50 0 50 0

50 0 50 0 50 0

50 0 50 0 50 0 50 0 50 0 50 0 50 0 50 0 50 0

S&P 500 Quality

Momentum Growth

50 0 50 0

S&P S&P

S&P S&P S&P

S&P S&P S&P S&P S&P S&P S&P S&P S&P

S&P S&P

S&P 500 Momentum

1.00 0.21 0.37 0.34 0.16 0.10 0.12 -0.30 -0.30 -0.38 -0.22 -0.29 -0.38 -0.37 -0.31 -0.35 -0.54

S&P 500 Growth

0.21 1.00 -0.10 0.47 -0.52 -0.43 -0.38 -0.81 -0.86 -0.82 -0.86 -0.98 -0.75 -0.78 -0.63 -0.76 -0.32

S&P 500 Quality

0.37 -0.10 1.00 0.03 -0.02 0.07 0.04 0.03 -0.15 -0.20 0.03 0.06 -0.15 -0.18 -0.12 -0.15 -0.29

S&P 500 Pure Growth

0.34 0.47 0.03 1.00 -0.31 -0.26 0.08 -0.44 -0.41 -0.27 -0.42 -0.46 -0.03 -0.20 0.06 -0.16 0.15

S&P 500 Low Volatility

0.16 -0.52 -0.02 -0.31 1.00 0.82 0.38 0.60 0.60 0.37 0.34 0.48 0.24 0.16 0.15 0.18 -0.36

S&P 500 Minimum Volatility

0.10 -0.43 0.07 -0.26 0.82 1.00 0.29 0.54 0.50 0.25 0.28 0.40 0.16 0.05 0.03 0.06 -0.38

S&P 500 QVM Top 90%

0.12 -0.38 0.04 0.08 0.38 0.29 1.00 0.32 0.45 0.44 0.23 0.36 0.45 0.43 0.52 0.46 0.17

S&P 500 Dividend Aristocrats

-0.30 -0.81 0.03 -0.44 0.60 0.54 0.32 1.00 0.82 0.70 0.76 0.83 0.69 0.59 0.54 0.59 0.22

S&P 500 Low Volatility High Dividend -0.30 -0.86 -0.15 -0.41 0.60 0.50 0.45 0.82 1.00 0.92 0.79 0.88 0.79 0.78 0.69 0.78 0.36

S&P 500 High Dividend

-0.38 -0.82 -0.20 -0.27 0.37 0.25 0.44 0.70 0.92 1.00 0.79 0.86 0.88 0.92 0.81 0.91 0.60

S&P 500 Revenue-Weighted

-0.22 -0.86 0.03 -0.42 0.34 0.28 0.23 0.76 0.79 0.79 1.00 0.88 0.73 0.79 0.64 0.80 0.40

S&P 500 Value

-0.29 -0.98 0.06 -0.46 0.48 0.40 0.36 0.83 0.88 0.86 0.88 1.00 0.81 0.81 0.67 0.80 0.41

S&P 500 Equal Weight

-0.38 -0.75 -0.15 -0.03 0.24 0.16 0.45 0.69 0.79 0.88 0.73 0.81 1.00 0.90 0.91 0.89 0.75

S&P 500 Pure Value

-0.37 -0.78 -0.18 -0.20 0.16 0.05 0.43 0.59 0.78 0.92 0.79 0.81 0.90 1.00 0.87 0.96 0.73

S&P 500 Buyback

-0.31 -0.63 -0.12 0.06 0.15 0.03 0.52 0.54 0.69 0.81 0.64 0.67 0.91 0.87 1.00 0.89 0.72

S&P 500 Enhanced Value

-0.35 -0.76 -0.15 -0.16 0.18 0.06 0.46 0.59 0.78 0.91 0.80 0.80 0.89 0.96 0.89 1.00 0.71

S&P 500 High Beta

-0.54 -0.32 -0.29 0.15 -0.36 -0.38 0.17 0.22 0.36 0.60 0.40 0.41 0.75 0.73 0.72 0.71 1.00

Correlation of weekly excess total returns (versus S&P 500), last three years

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 28, 2024. Returns in U.S. dollars.

5

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