INDEX INVESTMENT STRATEGY Index Dashboard: S&P 500® …

INDEX INVESTMENT STRATEGY

Index Dashboard: S&P 500? Factor Indices

Q1, 2019

QUARTERLY AND 12M TRAILING PERFORMANCE SUMMARY

Q1 2019 Total Return

S&P 500 High Beta S&P 500 Momentum S&P 500 Pure Growth

S&P 500 Quality S&P 500 Growth S&P 500 Equal Weight S&P 500 Buyback S&P 500 Minimum Volatility S&P 500 Low Volatility S&P 500 Dividend Aristocrats S&P 500 Low Volatility High Dividend S&P 500 High Dividend

S&P 500 Value S&P 500 QVM Multi-Factor

S&P 500 Pure Value S&P 500 High Momentum Value

S&P 500 Enhanced Value

18.06% 16.61% 16.59% 16.00% 14.95% 14.91% 13.82% 13.77% 13.62% 12.48% 12.42% 12.23% 12.19% 11.80% 11.79% 9.73%

S&P 500: 13.65%

9.53%

0%

5%

10%

15%

20%

COMMENTARY

12M Total Return

S&P 500 Low Volatility S&P 500 Growth

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

S&P 500 Dividend Aristocrats S&P 500 High Dividend

S&P 500 Minimum Volatility S&P 500 Quality

S&P 500 Equal Weight S&P 500 Pure Growth

S&P 500 Buyback S&P 500 Value

S&P 500 QVM Multi-Factor S&P 500 Enhanced Value

S&P 500 Pure Value S&P 500 High Beta -0.40% S&P 500 High Momentum Value -2.46%

14.92% 12.77% 12.74% 12.52% 11.93% 10.72% 10.28% 9.74% 7.22% 6.51% 6.19% 5.93% 4.55% 2.17% 0.37%

S&P 500: 9.50%

-5%

0%

5%

10% 15% 20%

The first quarter of 2019 began with a bullish bounce back as better-than-feared earnings reports combined with a new dovish tone at the U.S. Federal Reserve to set markets on their way to recovery.

With macro concerns at the fore of sentiment, market beta was a key determinant of performance: the S&P 500 High Beta ended on top with an 18% return in Q1, followed closely by Momentum and Pure Growth. As the benchmark S&P 500 completed its best quarter since 2009, every one of our factor indices finished in the black.

The left-hand chart illustrates both the dominance of beta over the past six months, and a potential lesson in the benefits of risk management.

While High Beta, Growth and Momentum topped the charts this quarter, the compound effect of much larger declines in the previous quarter left them with some way to catch up on more defensive strategies.

It is a surprisingly streamlined picture: the ranks of the various factor indices rarely changed over the period, tracking similar paths although at differing risk levels.

Despite the broader market returning more or less to where it was six months ago, the winds have changed since September.

Along with the return of more favourable sentiment towards dividend-based strategies that grew as U.S. rate projections fell, leadership among sectors has shifted significantly.

Illustrating the point, the right-hand chart highlights the more than 90% gross change in sector exposures in the S&P 500 Momentum, from its 21 September 2018 rebalance to its next rebalance on 15 March 2019.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 29, 2019.

ANNUAL PERFORMANCE

Core factor performance by calendar year, 2004-present:

Total Return Value Low Volatility Momentum Quality

2004 15.71% 17.69% 11.05% 11.21%

2005 5.82% 2.20% 16.69% 5.07%

2006 20.80% 19.69% 9.61% 17.59%

S&P 500

10.88%

Relative to Benchmark

2004

20%

4.91% 2005

15.79% 2006

2007 1.99% 0.58% 9.89% 15.50%

5.49%

2007

Index Dashboard: S&P 500? Factor Indices

Q1, 2019

2008 -39.22% -21.41% -34.56% -34.06%

-37.00%

2008

2009 21.18% 19.22% 17.24% 30.46%

26.46%

2009

2010 15.10% 13.36% 18.72% 14.95%

15.06%

2010

2011 -0.48% 14.78% 1.60% 10.89%

2.11%

2011

Value

15%

10%

Low Volatility

5%

Momentum

0%

Quality

-5% -10%

Total Return Value Low Volatility Momentum Quality

2012 17.68% 10.30% 17.33% 14.68%

S&P 500

16.00%

Relative to Benchmark

20%

2012

Value 15%

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

2017 15.36% 17.41% 28.27% 19.51%

21.83%

2017

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

-4.38%

2018

YTD 12.19% 13.62% 16.61% 16.00%

13.65%

YTD

10% Low Volatility

5%

Momentum 0%

-5% Quality

-10%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 29, 2019.

15 YEAR RISK & RETURN - ABSOLUTE

13%

Index Dashboard: S&P 500? Factor Indices

Q1, 2019

15Y Total Return (Ann.)

12%

Low Volatility High Dividend QVM Multi-Factor

High Momentum Value

11%

Buyback

Dividend Aristocrats

Pure Growth

Quality

10%

Low Volatility

Growth

Equal Weight

Pure Value

Minimum Volatility

Momentum High Dividend

9%

S&P 500

8%

Enhanced Value

Value

7%

6%

5%

4%

5%

10%

TOTAL RETURN AND VOLATILITY

15%

20%

Volatility (Ann.)

TOTAL RETURN

1M QTR 1YR 3YR 5YR 10YR 15YR

S&P 500 Low Volatility High Dividend 1.5% 12.4% 12.5% 9.0% 12.0% 18.1% 11.7%

S&P 500 Buyback

-0.8% 13.8% 6.2% 13.2% 10.0% 18.8% 11.0%

S&P 500 High Momentum Value

-1.6% 9.7% -2.5% 10.6% 8.5% 19.6% 11.3%

S&P 500 Dividend Aristocrats

1.8% 12.5% 11.9% 11.8% 11.5% 17.6% 10.7%

S&P 500 Pure Growth

2.2% 16.6% 6.5% 14.4% 10.7% 19.4% 10.7%

S&P 500 Pure Value

-1.6% 11.8% 0.4% 10.2% 6.7% 21.1% 9.9%

S&P 500 Low Volatility

2.3% 13.6% 14.9% 12.0% 11.9% 15.4% 10.0%

S&P 500 Equal Weight

0.9% 14.9% 7.2% 12.0% 9.5% 17.8% 9.7%

S&P 500 Growth

2.7% 15.0% 12.8% 15.9% 13.4% 17.2% 9.6%

S&P 500 Quality

3.0% 16.0% 9.7% 11.6% 10.1% 16.0% 10.3%

S&P 500 High Dividend

1.2% 12.2% 10.7% 10.6% 11.4% 20.0% 9.3%

S&P 500 QVM Multi-Factor

1.9% 11.8% 4.6% 13.1% 10.3% 15.7% 11.4%

S&P 500 Minimum Volatility

2.3% 13.8% 10.3% 10.5% 11.4% 15.2% 9.5%

S&P 500 Momentum

2.8% 16.6% 12.7% 16.6% 13.1% 15.6% 9.6%

S&P 500 Enhanced Value

-1.5% 9.5% 2.2% 13.3% 8.2% 17.9% 8.2%

S&P 500 Value

1.1% 12.2% 5.9% 10.6% 8.0% 14.5% 7.3%

S&P 500 High Beta

0.5% 18.1% -0.4% 15.0% 7.6% 17.3% 4.4%

S&P 500

1.9% 13.6% 9.5% 13.5% 10.9% 15.9% 8.6% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 29, 2019.

VOLATILITY (ANN.) S&P 500 Low Volatility High Dividend S&P 500 Buyback S&P 500 High Momentum Value S&P 500 Dividend Aristocrats S&P 500 Pure Growth S&P 500 Pure Value S&P 500 Low Volatility S&P 500 Equal Weight S&P 500 Growth S&P 500 Quality S&P 500 High Dividend S&P 500 QVM Multi-Factor S&P 500 Minimum Volatility S&P 500 Momentum S&P 500 Enhanced Value S&P 500 Value S&P 500 High Beta S&P 500

High Beta

25%

1YR 3YR 5YR 10YR 15YR 12.6% 10.8% 10.1% 11.8% 12.4% 17.3% 13.1% 13.1% 14.9% 15.8% 16.7% 12.2% 11.9% 16.8% 17.8% 13.8% 10.7% 10.4% 12.1% 12.5% 18.5% 13.0% 12.7% 15.4% 15.8% 18.5% 14.2% 13.9% 20.0% 20.8% 12.1% 9.6% 9.4% 9.4% 10.1% 16.6% 11.9% 11.6% 15.0% 15.8% 16.2% 11.7% 11.7% 12.8% 13.4% 15.4% 10.7% 11.0% 12.2% 13.0% 13.1% 10.8% 10.3% 13.9% 15.9% 14.8% 11.4% 11.4% 12.8% 13.8% 14.0% 10.2% 9.5% 9.7% 11.0% 17.8% 12.5% 12.1% 13.2% 14.3% 16.6% 13.9% 13.6% 17.4% 18.7% 14.8% 11.3% 11.1% 13.5% 14.5% 22.9% 18.1% 17.9% 23.8% 25.1% 15.3% 10.9% 11.0% 12.8% 13.5%

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

15 YEAR RISK & RETURN RELATIVE TO S&P 500

4% 3% 2% 1% 0% S&P 500 -1% -2%

Index Dashboard: S&P 500? Factor Indices

Q1, 2019

Low Volatility High Dividend

QVM Multi-Factor

High Momentum Value

Buyback Dividend Aristocrats

Quality

Pure Growth

Growth Equal Weight

Minimum Volatility

Low Volatility

Momentum High Dividend

Pure Value

Enhanced Value

Value

-3%

-4%

High Beta

-5%

0%

2%

RELATIVE RETURN AND TRACKING ERROR

4%

6%

8%

10%

12%

14%

16%

Tracking Error to S&P 500 (Ann.)

PERFORMANCE v S&P 500

1M QTR 1YR 3YR 5YR 10YR 15YR

S&P 500 Low Volatility High Dividend -0.4% -1.2% 3.0% -4.5% 1.1% 2.2% 3.1%

S&P 500 Buyback

-2.8% 0.2% -3.3% -0.3% -0.9% 2.9% 2.4%

S&P 500 High Momentum Value

-3.5% -3.9% -12.0% -2.9% -2.4% 3.6% 2.8%

S&P 500 Dividend Aristocrats

-0.1% -1.2% 2.4% -1.8% 0.6% 1.7% 2.1%

S&P 500 Pure Growth

0.3% 2.9% -3.0% 0.8% -0.2% 3.5% 2.2%

S&P 500 Pure Value

-3.5% -1.9% -9.1% -3.3% -4.2% 5.1% 1.3%

S&P 500 Low Volatility

0.4% 0.0% 5.4% -1.6% 1.0% -0.5% 1.4%

S&P 500 Equal Weight

-1.1% 1.3% -2.3% -1.5% -1.4% 1.8% 1.1%

S&P 500 Growth

0.8% 1.3% 3.3% 2.4% 2.5% 1.3% 1.1%

S&P 500 Quality

1.1% 2.3% 0.2% -1.9% -0.8% 0.1% 1.7%

S&P 500 High Dividend

-0.7% -1.4% 1.2% -2.9% 0.5% 4.1% 0.7%

S&P 500 QVM Multi-Factor

0.0% -1.9% -4.9% -0.4% -0.6% -0.2% 2.8%

S&P 500 Minimum Volatility

0.4% 0.1% 0.8% -3.0% 0.5% -0.7% 0.9%

S&P 500 Momentum

0.9% 3.0% 3.2% 3.1% 2.2% -0.3% 1.0%

S&P 500 Enhanced Value

-3.5% -4.1% -7.3% -0.2% -2.7% 2.0% -0.3%

S&P 500 Value

-0.9% -1.5% -3.6% -2.9% -2.9% -1.4% -1.3%

S&P 500 High Beta

-1.4% 4.4% -9.9% 1.5% -3.3% 1.4% -4.1% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 29, 2019.

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

1YR 3YR 5YR 10YR 15YR 6.4% 6.4% 7.1% 7.7% 7.1% 4.2% 4.5% 4.5% 5.0% 5.2% 5.0% 5.0% 4.7% 7.8% 7.7% 5.3% 4.6% 4.3% 4.6% 5.1% 5.3% 4.8% 4.8% 5.5% 5.3% 7.1% 6.6% 6.2% 10.8% 10.8% 6.1% 6.5% 6.5% 7.7% 7.2% 2.9% 2.9% 2.7% 4.2% 4.1% 3.0% 3.4% 3.0% 2.8% 3.0% 4.0% 2.8% 2.5% 3.1% 3.2% 6.0% 5.9% 6.8% 8.5% 8.6% 2.0% 3.5% 3.2% 3.4% 4.7% 2.1% 4.4% 4.8% 5.6% 5.2% 4.0% 5.0% 4.9% 5.5% 6.5% 7.1% 7.3% 6.4% 7.9% 8.2% 3.5% 3.8% 3.4% 3.1% 3.3% 8.9% 10.5% 10.0% 13.6% 13.9%

DEGREE OF PORTFOLIO OVERLAP AND RELATIVE RETURN CORRELATIONS

PORTFOLIO OVERLAP

Index Dashboard: S&P 500? Factor Indices

Q1, 2019

Dividend

Value

Value

Enhanced High Beta

Equal Weight Pure Value Buyback

High Momentum Value

QVM Multi-Factor

Aristocrats

Pure Growth Momentum

Low Volatility High High Dividend

Minimum Volatility

S&P 500

500 500

500 500 500

500 500 500 500 500

S&P 500 Growth

Dividend Quality

Low Volatility

500 500 500 500 500 500

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 Low Volatility

100% 26% 14% 20% 21% 7% 21% 16% 22% 11% 17% 18% 20% 9% 7% 8% 0% 21%

S&P 500 Minimum Volatility

26% 100% 12% 14% 23% 18% 33% 18% 19% 18% 13% 30% 21% 9% 12% 10% 13% 38%

S&P 500 Low Volatility High Dividend 14% 12% 100% 58% 10% 6% 6% 5% 7% 10% 6% 16% 10% 14% 3% 12% 0% 11%

S&P 500 High Dividend

20% 14% 58% 100% 11% 8% 7% 4% 7% 12% 16% 18% 16% 26% 11% 17% 3% 14%

S&P 500 Dividend Aristocrats

21% 23% 10% 11% 100% 9% 16% 11% 5% 10% 11% 18% 11% 9% 5% 10% 3% 17%

S&P 500 Quality

7% 18% 6% 8% 9% 100% 29% 19% 34% 56% 7% 20% 19% 4% 16% 4% 21% 28%

S&P 500 Growth

21% 33% 6% 7% 16% 29% 100% 34% 34% 23% 7% 29% 38% 0% 14% 3% 22% 67%

S&P 500 Pure Growth

16% 18% 5% 4% 11% 19% 34% 100% 30% 18% 8% 0% 21% 0% 17% 1% 28% 22%

S&P 500 Momentum

22% 19% 7% 7% 5% 34% 34% 30% 100% 38% 8% 12% 20% 3% 10% 4% 14% 24%

S&P 500 QVM Multi-Factor

11% 18% 10% 12% 10% 56% 23% 18% 38% 100% 25% 29% 19% 16% 18% 25% 13% 27%

S&P 500 High Momentum Value

17% 13% 6% 16% 11% 7% 7% 8% 8% 25% 100% 22% 20% 41% 27% 39% 10% 16%

S&P 500 Value

18% 30% 16% 18% 18% 20% 29% 0% 12% 29% 22% 100% 48% 26% 20% 25% 12% 62%

S&P 500 Equal Weight

20% 21% 10% 16% 11% 19% 38% 21% 20% 19% 20% 48% 100% 23% 20% 19% 20% 53%

S&P 500 Pure Value

9% 9% 14% 26% 9% 4% 0% 0% 3% 16% 41% 26% 23% 100% 25% 54% 12% 14%

S&P 500 Buyback

7% 12% 3% 11% 5% 16% 14% 17% 10% 18% 27% 20% 20% 25% 100% 21% 21% 20%

S&P 500 Enhanced Value

8% 10% 12% 17% 10% 4% 3% 1% 4% 25% 39% 25% 19% 54% 21% 100% 9% 13%

S&P 500 High Beta

0% 13% 0% 3% 3% 21% 22% 28% 14% 13% 10% 12% 20% 12% 21% 9% 100% 22%

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

RELATIVE RETURN CORRELATIONS

Dividend

Value

Value

Enhanced High Beta

Equal Weight Pure Value Buyback

High Momentum Value

QVM Multi-Factor

Aristocrats

Pure Growth Momentum

Low Volatility High High Dividend

Minimum Volatility

500 500

500 500 500

500 500 500 500 500

S&P 500 Growth

Dividend Quality

Low Volatility

500 500 500 500 500 500

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 Low Volatility

1.00 0.82 0.76 0.64 0.65 0.14 -0.14 -0.27 -0.06 -0.16 -0.04 0.15 0.07 -0.28 -0.31 -0.35 -0.66

S&P 500 Minimum Volatility

0.82 1.00 0.71 0.61 0.62 0.24 -0.07 -0.17 0.05 -0.14 -0.08 0.08 0.08 -0.25 -0.26 -0.38 -0.61

S&P 500 Low Volatility High Dividend 0.76 0.71 1.00 0.91 0.58 0.03 -0.34 -0.40 -0.29 -0.22 0.07 0.34 0.34 0.05 -0.12 -0.12 -0.35

S&P 500 High Dividend

0.64 0.61 0.91 1.00 0.52 0.02 -0.41 -0.40 -0.37 -0.20 0.12 0.40 0.49 0.23 0.03 0.03 -0.14

S&P 500 Dividend Aristocrats

0.65 0.62 0.58 0.52 1.00 0.28 -0.40 -0.29 -0.19 0.02 0.18 0.41 0.37 0.08 0.11 -0.01 -0.32

S&P 500 Quality

0.14 0.24 0.03 0.02 0.28 1.00 0.14 0.19 0.16 0.31 -0.03 -0.13 0.10 -0.12 0.12 -0.23 -0.10

S&P 500 Growth

-0.14 -0.07 -0.34 -0.41 -0.40 0.14 1.00 0.69 0.52 -0.18 -0.60 -1.00 -0.52 -0.70 -0.44 -0.73 -0.25

S&P 500 Pure Growth

-0.27 -0.17 -0.40 -0.40 -0.29 0.19 0.69 1.00 0.52 0.08 -0.22 -0.69 0.01 -0.28 0.02 -0.34 0.16

S&P 500 Momentum

-0.06 0.05 -0.29 -0.37 -0.19 0.16 0.52 0.52 1.00 0.25 -0.08 -0.50 -0.33 -0.36 -0.21 -0.39 -0.18

S&P 500 QVM Multi-Factor

-0.16 -0.14 -0.22 -0.20 0.02 0.31 -0.18 0.08 0.25 1.00 0.55 0.18 0.09 0.20 0.40 0.32 0.17

S&P 500 High Momentum Value

-0.04 -0.08 0.07 0.12 0.18 -0.03 -0.60 -0.22 -0.08 0.55 1.00 0.61 0.50 0.64 0.64 0.72 0.32

S&P 500 Value

0.15 0.08 0.34 0.40 0.41 -0.13 -1.00 -0.69 -0.50 0.18 0.61 1.00 0.52 0.69 0.44 0.73 0.24

S&P 500 Equal Weight

0.07 0.08 0.34 0.49 0.37 0.10 -0.52 0.01 -0.33 0.09 0.50 0.52 1.00 0.70 0.67 0.50 0.51

S&P 500 Pure Value

-0.28 -0.25 0.05 0.23 0.08 -0.12 -0.70 -0.28 -0.36 0.20 0.64 0.69 0.70 1.00 0.68 0.85 0.64

S&P 500 Buyback

-0.31 -0.26 -0.12 0.03 0.11 0.12 -0.44 0.02 -0.21 0.40 0.64 0.44 0.67 0.68 1.00 0.67 0.55

S&P 500 Enhanced Value

-0.35 -0.38 -0.12 0.03 -0.01 -0.23 -0.73 -0.34 -0.39 0.32 0.72 0.73 0.50 0.85 0.67 1.00 0.57

S&P 500 High Beta

-0.66 -0.61 -0.35 -0.14 -0.32 -0.10 -0.25 0.16 -0.18 0.17 0.32 0.24 0.51 0.64 0.55 0.57 1.00

Correlation of weekly excess total returns (versus S&P 500), three years to Mar 29, 2019

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of March 29, 2019.

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