U.S. Sector Dashboard

[Pages:8]QUARTERLY PERFORMANCE SUMMARY

10% 5%

8.0%7.1% 3.9%

6.3%

6.1% 4.8% 4.0%

5.5%

1.0%

0%

-5%

-2.6%

5.2% 5.0%

4.4%

7.1% 6.7% 3.6%

3.5% 1.8%

2.5%

-1.3%

-2.4% -3.0%

-3.5%

U.S. Sector Dashboard

June 28, 2019

2.2% 1.4% 1.7%

-2.7%

-10%

-15%

-20% Financials***

Materials

Technology Communication Consumer Services**** Discretionary

Consumer Staples

Select Sectors

S&P MidCap 400 Capped Sectors

Industrials

Utilities**

Real Estate

S&P SmallCap 600 Capped Sectors

Health Care

-16.2% -16.1%

Energy

HISTORICAL PERFORMANCE

Consumer Discretionary Consumer Staples Communication Services**** Energy Financials*** Health Care Industrials Materials Real Estate Technology Utilities**

Select Sectors MTD QTD YTD 7.9% 5.2% 21.4% 5.3% 4.4% 16.0% 4.7% 5.5% 19.8% 9.3% -2.7% 13.1% 6.7% 8.0% 17.2% 6.6% 1.4% 8.1% 7.8% 3.6% 21.4% 11.7% 6.3% 17.2% 1.8% 2.5% 20.4% 9.1% 6.1% 27.1% 3.3% 3.5% 14.7%

COMMENTARY AND STRENGTH OF SECTOR-LEVEL EFFECTS

55% 12M Rolling Average for the S&P 500* 50% 45% 40% 35% 30% 25% 20%

S&P MidCap 400 Capped Sectors

MTD

QTD

YTD

7.4% 5.0% 16.4%

5.0% -2.4% 8.5%

N/A

N/A

N/A

5.3% -16.2% 0.5%

6.5% 7.1% 18.8%

9.3% 1.7% 15.2%

10.9% 7.1% 24.1%

12.2% 1.0% 16.4%

N/A

N/A

N/A

10.3% 4.8% 27.1%

3.6% 1.8% 14.1%

S&P SmallCap 600 Capped Sectors

MTD

QTD YTD

7.1% -1.3% 8.7%

3.0% -3.0% 6.2%

N/A

N/A N/A

6.8% -16.1% 2.9%

4.6% 3.9% 13.3%

9.6% 2.2% 9.6%

9.4% 6.7% 20.2%

13.3% -2.6% 15.8%

N/A

N/A N/A

9.3% 4.0% 21.0%

3.1% -3.5% 6.0%

Percentage of average correlations attributable to within-sector effects Jun 90 Jun 92 Jun 94 Jun 96 Jun 98 Jun 00 Jun 02 Jun 04 Jun 06 Jun 08 Jun 10 Jun 12 Jun 14 Jun 16 Jun 18

? In the second quarter, Financials was the top performing sector in large-caps.

? Energy was the laggard across the cap spectrum and the sole sector with negative performance in large-caps.

? The twelve-month rolling average of the proportion of S&P 500 correlations that is attributable to intra-sector effects remained at 38%.

*See pages 11-13 of "Sector Effects in the S&P 500?: The Role of Sectors, in Risk, Pricing, and Active Returns" for details on the strength of sector-level effects in the S&P 500. **Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors. ***Financials & Real Estate SmallCap Capped Sector combines constitutents of the GICS Financials and Real Estate sectors.

****Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices. These indices became mutually exclusive as of Sept 24, 2018, coincident with the change in GICS methodology. Performance prior to April 30, 2018 is backtested. Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019.

INDEX COMPOSITION

25%

U.S. Sector Dashboard

June 28, 2019

20%

Sector Weight

15%

10%

5%

0% Cons Disc

Select Sector Indices S&P MidCap 400 Capped Sector Indices S&P SmallCap 600 Capped Sector Indices

10.18% 12.30% 13.80%

Cons Staples 7.26% 2.67% 3.36%

Energy

5.05% 3.12% 3.74%

Financials Health Care Industrials Materials Real Estate Info Tech

13.06% 16.90% 17.86%

14.19% 9.66% 11.81%

9.37% 15.91% 19.56%

2.80% 6.41% 4.27%

3.05% 10.13% 6.87%

21.47% 15.68% 14.66%

Comm Services 10.26%

2.52% 2.16%

Utilities

3.31% 4.70% 1.92%

KEY TO FACTOR SCORINGS FOR INDICES

Factor Definitions

Each constituent of the S&P 1500 index is provided with a factor "score" for each of Beta, Volatility, Momentum, Dividend, Size, Value and Quality.

Small Size Quality

Low Volatility

S&P 1500

Momentum Value

Dividend

High Beta

Factor

Measurement at single-stock level

Volatility

Trailing 12-month daily return volatility

Twelve-month price change as of one month ago ("13 minus 1 momentum"), divided by the

Momentum daily volatility during the twelve-month period that ended one month ago. For more details, see

the S&P Momentum methodology

Value

The average of (normalized) earnings to price ratio, book to price ratio and sales to price ratio. For more details, see the S&P Value methodology.

Beta

Trailing 1 year beta of stock daily returns to the benchmark's return.

Dividend Trailing 12-month dividend

Quality Size

The average of the (normalized) return on equity, the accruals ratio and the financial leverage ratio. For more details, see the S&P Quality methodology.

Free-float market capitalization

Index Factor Ranking and Factor Diagram Scaling

Index Scores Each index is provided a score in each factor from -100% to +100% based on how much of the total capitalization of the benchmark would must be excluded in order to provide a portfolio of stocks with similar exposure to that factor. This is done by examining a ranked series of hypothetical cap-weighted portfolios, including or excluding an increasing number of the stocks with the highest or lowest scores. An illustration of the process may be found at this link.

Factor Diagram Axis

Single-stock portfolio with the highest possible factor score

Fewer stocks Fewer stocks

... ...

The stocks in the benchmark are ranked in order from highest to lowest factor score, and we examine portfolios including or excluding a varying number of stocks associated to high or lower factor scores. The score in each factor (and its level on the chart) reflects the active share of a hypothetical portfolios matching the factor score of that index. The weights of stocks within the hypothetical comparison portfolios are set proportional to benchmark weights, i.e. free-float market capitalization.

...

Portfolios with a tilt against the factor begin by excluding the highest-ranked stock and end up

concentrated in the lowest-ranked stocks

Benchmark Portfolio has a factor rank defined by that of a cap-weighted average score among all stocks

Weighting matters to the ranking of the index. Each the ranked portfolios of stocks is given a factor score through the capitalization-weighted average. Factor indices can use alternative weightings, which can provide higher factor exposures with fewer stocks.

Single-stock portfolio with the lowest possible factor score

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019.

COMMENTARY

U.S. Sector Dashboard

June 28, 2019

The diagrams below illustrate factor exposures relative to the S&P 1500 across sectors, from large to smallcaps.

For example, Consumer Discretionary starts out with more volatility than the S&P 1500, and becomes relatively more volatile at the mid and small-cap levels.

Consumer Discretionary Select Sector Low_Volatility

S&P MidCap 400 Capped Consumer Discretionary Low_Volatility

S&P SmallCap 600 Capped Consumer Discretionary Low_Volatility

Small_Size

Momentum Small_Size

Momentum

Small_Size

Momentum

Quality

Benchmark

Value Quality

Benchmark

Value

Quality

Benchmark

Value

Dividend

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Consumer Staples Select Sector Low_Volatility

S&P MidCap 400 Capped Consumer Staples Low_Volatility

S&P SmallCap 600 Capped Consumer Staples Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality Dividend

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Energy Select Sector

Low_Volatility Small_Size

S&P MidCap 400 Capped Energy

Low_Volatility

S&P SmallCap 600 Capped Energy

Low_Volatility

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality Dividend

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019.

Financial Select Sector Low_Volatility

S&P MidCap 400 Capped Financials Low_Volatility

U.S. Sector Dashboard

June 28, 2019

S&P SmallCap 600 Capped Financials & Real Estate Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality Dividend

Benchmark

Value

Quality

Benchmark

High_Beta

Dividend

Value

Quality

High_Beta

Benchmark

Dividend

Value High_Beta

Health Care Select Sector Low_Volatility

S&P MidCap 400 Capped Health Care Low_Volatility

S&P SmallCap 600 Capped Health Care Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

Dividend

High_Beta

Industrial Select Sector Low_Volatility

Dividend

High_Beta

S&P MidCap 400 Capped Industrials Low_Volatility

Dividend

High_Beta

S&P SmallCap 600 Capped Industrials Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

Dividend

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Materials Select Sector Low_Volatility

S&P MidCap 400 Capped Materials Low_Volatility

S&P SmallCap 600 Capped Materials Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Dividend

High_Beta

Dividend

High_Beta

Dividend

Value High_Beta

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019.

Real Estate Select Sector Low_Volatility

U.S. Sector Dashboard

June 28, 2019

S&P SmallCap 600 Capped Financials & Real Estate

Communication Services Select Sector ***

Low_Volatility

Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Small_Size

Momentum

Quality Dividend

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Technology Select Sector

S&P MidCap 400 Capped Information Technology

S&P SmallCap 600 Capped Information Technology

Small_Size

Low_Volatility

Momentum

Small_Size

Low_Volatility

Momentum

Small_Size

Low_Volatility

Momentum

Quality Dividend

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

High_Beta

Dividend

High_Beta

Dividend

High_Beta

Utilities Select Sector

S&P MidCap 400 Capped Utilities & Comm Services **

S&P SmallCap 600 Capped Utilities & Comm Services **

Small_Size

Low_Volatility

Momentum

Small_Size

Low_Volatility

Momentum

Small_Size

Low_Volatility

Momentum

Quality

Benchmark

Value

Quality

Benchmark

Value

Quality

Benchmark

Value

Dividend

High_Beta

Dividend

High_Beta

Dividend

High_Beta

**Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors.

***Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices. These indices became mutually exclusive as of Sept 24, 2018, coincident with the change in GICS methodology. Performance prior to April 30, 2018 is backtested. Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019.

SELECTED KEY METRICS - SELECT SECTOR INDICES

METRICS

Communication Services*** Consumer Discretionary

Consumer Staples

Energy

Financials Health Care Industrials Materials Real Estate Technology Utilities

DIV YIELD P/E

1.1%

28.6

1.4%

26.1

2.8%

23.8

3.4%

18.2

2.1%

13.6

1.7%

27.9

1.9%

24.8

2.4%

20.1

3.4%

37.7

1.4%

23.1

3.2%

25.0

P/B P/S

3.6 3.0 7.5 1.6

5.3 1.5

1.6 1.2

1.5 2.1 4.3 1.8 5.1 1.7 2.3 1.4 3.6 6.9 7.7 4.5 2.2 2.6

ROE (%)

12.5% 28.7%

22.3%

9.1%

11.1% 15.5% 20.6% 11.6% 9.6% 33.5% 9.0%

U.S. Sector Dashboard

June 28, 2019

FINANCIAL LEVERAGE

0.8 2.0

1.2

0.4

1.4 0.9 1.4 1.3 1.2 0.8 1.5

BETA

1.14 1.10

0.50

1.02

0.92 0.91 1.06 0.95 0.46 1.37 0.18

CONSTITUENT VOLATILITY

32.1% 27.6%

21.0%

26.8%

21.9% 25.0% 25.8% 27.4% 19.5% 29.4% 17.1%

DOMESTIC % OF SALES

72.0% 74.4%

69.8%

59.2%

77.2% 78.3% 60.6% 45.2% 80.7% 38.8% 96.0%

RSI - 30 DAY

50.0 56.1

53.4

49.7

56.4 63.8 56.2 64.7 52.4 55.6 57.1

VALUE SCORE

-0.21 -0.26

-0.21

0.24

0.38 -0.30 -0.21 -0.11 -0.33 -0.41 0.00

GROWTH SCORE

0.22 0.02

0.00

0.17

0.17 0.13 0.00 0.02 -0.05 0.06 -0.01

SELECTED KEY METRICS - S&P MIDCAP 400 CAPPED SECTORS

METRICS

Consumer Discretionary

Consumer Staples

Energy Financials Health Care Industrials Information Technology Materials Utilities & Comm Services**

DIV YIELD

1.4%

1.3%

1.1% 2.3% 0.3% 1.2% 0.6% 2.0% 2.1%

P/E

22.0

31.1

n/m 14.8 118.9 21.6 33.2 13.8 24.7

P/B P/S

3.7 0.9

2.6 1.0

0.7 0.5 1.4 2.0 3.5 1.9 2.9 1.0 3.4 1.2 2.5 0.9 2.6 1.9

ROE (%)

16.9%

8.4%

-8.6% 9.6% 3.0% 13.6% 10.4% 17.8% 10.3%

FINANCIAL LEVERAGE

2.0

1.1

0.9 1.0 1.0 0.7 0.7 1.0 1.1

BETA

0.97

0.56

1.51 0.85 1.14 1.16 1.34 0.99 0.52

CONSTITUENT VOLATILITY

34.1%

27.8%

47.7% 24.8% 33.4% 29.8% 34.4% 28.9% 22.9%

DOMESTIC % OF SALES

79.7%

78.8%

74.3% 85.6% 83.4% 64.7% 46.3% 64.5% 87.0%

RSI - 30 DAY

56.0

43.6

39.5 53.8 61.7 58.0 56.1 60.5 50.6

VALUE SCORE

0.03

0.11

0.39 0.19 -0.23 0.09 -0.11 0.16 -0.04

GROWTH SCORE

-0.01

-0.11

0.07 -0.01 0.19 -0.06 0.08 -0.04 0.03

SELECTED KEY METRICS - S&P SMALLCAP 600 CAPPED SECTORS

METRICS

Consumer Discretionary

Consumer Staples

Energy Financials & Real Estate Health Care Industrials Information Technology Materials Utilities & Comm Services**

DIV YIELD P/E

1.5%

27.1

1.8%

n/m

0.6%

n/m

3.9%

19.4

0.1%

n/m

0.9%

26.4

0.6%

90.2

1.5%

26.1

3.2%

n/m

P/B P/S

2.2 0.5

2.0 0.3

0.7 0.7 1.4 1.9 3.6 1.2 2.5 0.9 2.6 1.2 2.1 0.7 1.7 0.7

ROE (%)

8.0%

-2.5%

-1.3% 7.4% -8.2% 9.4% 2.8% 8.0% -5.5%

FINANCIAL LEVERAGE

1.0

0.9

0.8 1.5 1.6 0.7 0.5 1.1 2.9

BETA

1.01

0.71

1.59 0.77 1.20 1.16 1.31 1.20 0.74

CONSTITUENT VOLATILITY

41.5%

34.6%

50.7% 26.0% 43.5% 35.3% 40.0% 36.2% 31.3%

DOMESTIC % OF SALES

85.0%

80.8%

86.3% 70.3% 92.9% 74.6% 49.5% 69.1% 93.8%

RSI - 30 DAY

48.7

43.2

38.9 50.3 56.2 55.3 52.6 53.2 45.5

Select Sectors, MidCap and SmallCap Capped Sectors Value vs. Growth Scores (Size Proportional to Cap)

0.40

VALUE SCORE

0.30

0.18

0.48 0.14 -0.30 0.13 -0.04 0.28 -0.01

GROWTH SCORE

0.04

0.14

0.19 0.03 0.29 -0.01 -0.09 -0.07 -0.05

Growth Score at 2018 rebalance

Sector Key

0.30

0.20

0.10

0.00

-0.10

-0.20

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

Value Score at Dec 2018 rebalance

Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Info Tech Communication Services Utilities Real Estate

Materials held the highest technical position for large caps, driven by its strong recent performance.

Technology and Consumer Discretionary have the highest ROEs among large-caps.

Average constituent volatility in the Communication Services Select Sector is the highest among large-caps. Meanwhile, Energy continues to be the most volatile sector in mid and small-caps.

For details on definitions of fundamental metrics, please refer to the disclosure section. **Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors. ***Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices. Source: S&P Dow Jones Indices LLC and/or its affiliates and FactSet. Data as of June 28, 2019.

COMMENTARY

? Dispersion decreased across most sectors, especially in small-cap Communication Services.

? Correlations decreased across most sectors, especially in small-cap Utilities.

U.S. Sector Dashboard

June 28, 2019

SECTOR DISPERSION AND CORRELATION S&P 500 Sector Average Correlation and Dispersion (Trailing 12 -Month Volatility)

0.80

Average Correlation

0.70

Utilities (14.19%)

0.60

Financials E(1n7e.r2g5y%(2) 0.99%)

Real Estate (15.10%)

0.50

Communication Services (20.41%)

Materials (18.32%T)echnology (22.74%)

0.40

Industrials (18.12%) Consumer Discretionary (19.52%)

0.30

Consumer Staples (12.62%)

Health Care (16.02%)

S&P 500 (15.41%) 0.20

0.10 5%

10%

15%

20%

25%

30%

Average Dispersion

35%

40%

45%

50%

55%

Average Correlation

0.90 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10

5%

0.80

S&P MidCap 400 Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

Utilities (14.54%)

Communication Services (20.30%)

Energy (34.96%)

Real Estate (16.09%) Financials (17.39%) Industrials (19.44%)

Technology (21.52%) Materials (18.31%)

Health Care (20.53%)

Consumer Staples (14.42%)

S&P 400 (15.93%)

Consumer Discretionary (17.36%)

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

Average Dispersion

S&P SmallCap 600 Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

0.70

0.60

Average Correlation

0.50

Utilities (15.38%)

0.40

0.30

0.20

0.10 5%

Real Estate (17.15%) Financials (18.06%)

Materials (23.48%)

Energy (36.77%)

Industrials (21.04%)

Technology (22.85%)

Communication Services (23.60%) Health Care (22.73%)

Consumer Staples (15.68%) S&P 600 (18.15%)

Consumer Discretionary (19.94%)

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

Average Dispersion

NOTES

? The charts above decomposed volatility into its two main components: dispersion and correlation. The dispersion and correlati on data points are each sector's average monthly value over the trailing 12 months. Trailing annualized volatility is included in parentheses. Index dispersions shown based on calendar month stock -level index-weighted dispersion. Index correlation based on single stock daily total returns during each calendar month. See "Implications of Sector Dispersion" for more information.

? See "At the Intersection of Diversification, Volatility and Correlation" for details on the relationship between correlation and dispersion.

? See "Dispersion: Measuring Market Opportunity" for the definition of index dispersion and more information on the uses of dispers ion.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 2019. Index performance based on total return (USD). Charts and graphs are provided for illustrative purposes. Past performance is no guarantee of future results.

General Disclaimer

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Notes On Additional Index Statistics

Statistic

Notes

Price/Earnings (P/E)

Price per share as of observation date divided by earnings per share, calculated by adding the last twelve calendar months' quarterly reported earnings per share.

Price/Book (P/B) Price/Sales (P/S)

Price per share as of observation date divided by latest annual reported book value per share. Price per share as of observation date divided by sales per share, calculated by adding twelve calendar months' quarterly reported sales per share.

Return on Equity (ROE%)

Earnings per share divided by latest annual reported book value per share.

Financial Leverage Ratio

A company's total debt divided by its latest annual reported book value, calculated as book value per share multiplied by common outstanding shares. Debt, book value per share, and common outstanding shares are latest annual reported values.

RSI - 30 Day

RSI is an indicator of the speed and change of price movements and oscillates between zero and 100. RSI is considered overbought when above 70 and oversold when below 30. RS is the average gain divided by average loss over the past 30 days. Then RSI is equal to 100 minus 100 divided by 1+RS.

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