INDEX INVESTMENT STRATEGY Index Dashboard: …

[Pages:17]MONTHLY AND YTD PERFORMANCE SUMMARY

February Total Return

S&P 500 Quality S&P 500 Growth S&P 500 Dividend Aristocrats S&P 500 High Beta S&P 500 QVM Top 90%

S&P 500 Value S&P 500 Buyback S&P 500 Pure Growth S&P 500 Low Volatility S&P 500 Equal Weight S&P 500 Revenue-Weighted S&P 500 Enhanced Value S&P 500 Momentum S&P 500 Minimum Volatility S&P 500 Low Volatility High Dividend S&P 500 High Dividend S&P 500 Pure Value

-10%

-1.9% -1.9% -2.3% -2.3% -2.5% -3.0% -3.1% -3.2% -3.3% -3.3% -3.5% -3.9% -4.5% -4.6% -4.6% -4.9% -5.9%

-5%

COMMENTARY

CORE PRODUCT MANAGEMENT: FACTORS

SPDJI-CoreFactorIndices@

Index Dashboard: S&P 500? Factor Indices

February 2023

S&P 500 High Beta

S&P 500 Buyback

S&P 500 Pure Value

S&P 500 -2.4%

S&P 500 Enhanced Value S&P 500 Equal Weight

S&P 500 Value

S&P 500 Growth

S&P 500 QVM Top 90%

S&P 500 Quality

S&P 500 Revenue-Weighted

S&P 500 High Dividend

S&P 500 Dividend Aristocrats

S&P 500 Pure Growth

S&P 500 Low Volatility High Dividend

S&P 500 Minimum Volatility

S&P 500 Low Volatility

S&P 500 Momentum

0%

-25%

Year to Date

-0.9% -1.7% -3.3% -4.9%

13.5% 5.1% 5.0% 4.3% 3.8%

3.8% S&P 500 3.6% 3.7%

2.9% 2.8% 2.4% 1.2% 0.9% 0.5%

-15% -5% 5% 15% 25%

February's market action was a reversal from January's. The S&P 500 declined -2.4% in the year's second month, in sharp contrast to January's 6.3% gain. Value underperformed Growth, and value tilts, which had dominated January's league table, were at or near the bottom in February.

Our first chart shows the importance of value across our factor index family. The higher an index's value score was at the beginning of February, the worse its performance turned out to be. The correlation between value score and relative performance was -0.72, a strong fit for a single month.

With the admitted benefit of hindsight, we can home in a bit more on the distinction between the "risk on" environment early in the year and the "risk off" environment that prevailed during much of February. The inflection point came on February 2nd, the date on which the S&P 500 peaked; our second chart shows the large shifts in ValueGrowth and Low Vol-High Beta spreads before and after that date.

Our third chart compares the relative performance of each of our factor indices in January and the first two days of February to their relative performance thereafter. The regime change is striking, as the correlation between the two periods' returns is an impressive -0.81.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

1

Index Dashboard: S&P 500? Factor Indices

February 2023

ANNUAL PERFORMANCE

Core factor performance by calendar year, 2008-present:

Total Return Value Low Volatility Momentum Quality

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

2009 21.18% 19.22% 17.24% 30.46%

S&P 500 Relative to Benchmark

-37.00% 26.46%

2008

20%

2009

Value

15%

10%

Low Volatility

5%

0%

Momentum

-5% -10%

Quality

-15% -20%

2010 15.10% 13.36% 18.72% 14.95%

15.06%

2010

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

Total Return Value Low Volatility Momentum Quality

S&P 500

Relative to Benchmark

2016 17.40% 10.37% 5.70% 9.56%

11.96%

2017 15.36% 17.41% 28.27% 19.51%

21.83%

2016

20%

2017

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 February 28, 2023. Returns in U.S. dollars.

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

-4.38%

2018

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 3.81% -3.25% -4.92% 2.76%

3.69%

2021

2022

2023

2

Index Dashboard: S&P 500? Factor Indices

February 2023

15 YEAR RISK & RETURN - ABSOLUTE

13%

Buyback

12%

Dividend Aristocrats

Growth

Pure Growth

11%

Quality

Low Volatility High Dividend Equal Weight

Momentum QVM Top 90%

10%

Revenue-Weighted

Low Volatility

Minimum S&P 500

9%

Volatility

High Dividend

Pure Value

Enhanced Value

8%

Value

High Beta

15Y Total Return (Ann.)

7%

6%

5%

10%

12%

14%

16%

18%

20%

22%

24%

26%

28%

30%

Volatility (Ann.)

TOTAL RETURN S&P 500 Buyback

1M 3M 12M 3Y 5Y 10Y 15Y -3.1% 0.0% -1.2% 15.6% 10.2% 13.4% 12.4%

S&P 500 Dividend Aristocrats

-2.3% -3.3% 1.3% 13.4% 10.3% 12.2% 11.8%

S&P 500 Pure Growth

-3.2% -6.9% -14.2% 9.4% 7.4% 12.2% 11.4%

S&P 500 Growth

-1.9% -4.3% -16.4% 10.7% 10.0% 13.4% 11.1%

S&P 500 Low Volatility High Dividend

-4.6% -4.5% -0.1% 9.2% 6.6% 9.7% 10.8%

S&P 500 Equal Weight

-3.3% -1.0% -3.0% 14.6% 9.9% 12.0% 10.7%

S&P 500 Quality

-1.9% -2.3% -7.1% 12.9% 10.1% 11.8% 10.6%

S&P 500 Momentum

-4.5% -8.1% -7.3% 12.3% 9.5% 12.9% 10.3%

S&P 500 QVM Top 90%

-2.5% -2.8% -6.4% 13.3% 10.4% 12.6% 10.2%

S&P 500 Revenue-Weighted

-3.5% -3.1% -0.8% 16.1% 10.5% 12.4% 10.1%

S&P 500 Low Volatility

-3.3% -4.9% -1.0% 6.8% 8.2% 10.3% 10.0%

S&P 500 Pure Value

-5.9% -0.7% 1.3% 16.1% 7.2% 10.9% 9.9%

S&P 500 Minimum Volatility

-4.6% -5.1% -4.8% 8.8% 8.5% 11.2% 9.4%

S&P 500 High Dividend

-4.9% -2.8% -1.5% 10.8% 7.2% 10.5% 9.1%

S&P 500 Enhanced Value

-3.9% -2.1% -1.6% 13.4% 7.1% 11.0% 8.3%

S&P 500 High Beta

-2.3% 3.8% -5.5% 22.5% 12.3% 13.6% 8.3%

S&P 500 Value

-3.0% -0.2% 1.5% 12.2% 8.7% 10.4% 8.0%

S&P 500

-2.4% -2.3% -7.7% 12.1% 9.8% 12.3% 9.8% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

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

12M 3Y 5Y 10Y 15Y 24.1% 24.1% 22.1% 17.8% 19.2% 20.0% 19.4% 17.5% 14.2% 15.3% 26.8% 25.8% 22.4% 17.7% 19.1% 25.7% 23.2% 20.2% 16.1% 16.6% 20.4% 21.4% 18.8% 15.0% 15.7% 23.2% 22.5% 20.3% 16.0% 18.5% 22.6% 19.3% 17.7% 14.4% 15.3% 22.1% 19.7% 18.0% 14.6% 15.7% 22.0% 20.1% 18.4% 14.7% 16.0% 22.4% 20.6% 19.0% 15.3% 17.3% 15.5% 16.5% 14.8% 12.3% 12.4% 26.1% 28.2% 25.5% 20.2% 24.5% 17.7% 17.6% 16.1% 12.8% 13.4% 22.6% 25.4% 22.1% 17.1% 19.7% 26.3% 27.1% 24.5% 19.6% 22.6% 35.0% 34.6% 30.5% 24.4% 28.6% 21.4% 19.9% 18.5% 14.9% 17.0% 22.7% 20.5% 18.5% 14.8% 16.2%

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

3%

3%

2%

Buyback Dividend Aristocrats

Index Dashboard: S&P 500? Factor Indices

February 2023

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

2% 1%

QVM Top 90%

1%

0% S&P 500

-1% -1% -2%

GrowthPure Growth Quality Equal Weight

Low Volatility High Dividend

Revenue-Weighted Momentum Minimum Volatility

Low Volatility

High Dividend

Pure Value

Enhanced Value

High Beta

-2%

Value

-3%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Tracking Error to S&P 500 (Ann.)

RELATIVE RETURN AND TRACKING ERROR

PERFORMANCE v S&P 500 S&P 500 Buyback

1M 3M 1YR 3YR 5YR 10YR 15YR -0.7% 2.2% 6.5% 3.5% 0.4% 1.1% 2.7%

S&P 500 Dividend Aristocrats

0.1% -1.0% 9.0% 1.2% 0.5% -0.1% 2.1%

S&P 500 Pure Growth

-0.7% -4.6% -6.5% -2.7% -2.4% -0.1% 1.6%

S&P 500 Growth

0.5% -2.0% -8.8% -1.4% 0.1% 1.1% 1.3%

S&P 500 Low Volatility High Dividend

-2.2% -2.2% 7.6% -3.0% -3.3% -2.5% 1.0%

S&P 500 Equal Weight

-0.9% 1.2% 4.7% 2.5% 0.1% -0.3% 0.9%

S&P 500 Quality

0.5% 0.0% 0.5% 0.8% 0.2% -0.4% 0.9%

S&P 500 Momentum

-2.0% -5.8% 0.4% 0.1% -0.3% 0.6% 0.5%

S&P 500 QVM Top 90%

0.0% -0.6% 1.3% 1.2% 0.5% 0.3% 0.4%

S&P 500 Revenue-Weighted

-1.0% -0.9% 6.9% 3.9% 0.7% 0.2% 0.4%

S&P 500 Low Volatility

-0.8% -2.6% 6.7% -5.4% -1.6% -2.0% 0.2%

S&P 500 Pure Value

-3.5% 1.6% 9.0% 4.0% -2.6% -1.3% 0.2%

S&P 500 Minimum Volatility

-2.1% -2.8% 2.9% -3.3% -1.4% -1.0% -0.3%

S&P 500 High Dividend

-2.4% -0.5% 6.2% -1.4% -2.7% -1.7% -0.6%

S&P 500 Enhanced Value

-1.5% 0.2% 6.1% 1.3% -2.8% -1.2% -1.4%

S&P 500 High Beta

0.1% 6.1% 2.2% 10.4% 2.5% 1.4% -1.5%

S&P 500 Value

-0.5% 2.0% 9.2% 0.1% -1.1% -1.8% -1.8% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

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

1YR 3YR 5YR 10YR 15YR 7.0% 8.6% 7.7% 6.3% 6.3% 7.4% 6.6% 6.0% 5.0% 5.6% 7.6% 9.6% 8.0% 6.6% 6.6% 6.5% 6.6% 5.5% 4.4% 4.1% 11.4% 12.0% 10.3% 9.0% 8.8% 3.8% 6.1% 5.2% 4.0% 4.7% 5.2% 4.6% 4.0% 3.2% 3.5% 10.2% 8.4% 7.5% 6.3% 6.9% 1.8% 1.3% 1.1% 0.8% 0.9% 4.8% 5.9% 5.2% 4.0% 3.9% 12.1% 10.3% 9.7% 8.3% 8.7% 11.3% 15.8% 13.6% 10.4% 12.8% 7.7% 6.0% 5.1% 5.0% 5.7% 10.1% 14.5% 12.2% 9.9% 10.6% 10.0% 13.9% 12.2% 9.7% 10.3% 14.6% 18.9% 16.0% 13.2% 15.4% 6.3% 7.4% 6.2% 4.9% 4.6%

4

DEGREE OF PORTFOLIO OVERLAP AND RELATIVE RETURN CORRELATIONS

PORTFOLIO OVERLAP

Index Dashboard: S&P 500? Factor Indices

February 2023

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% 28% 34% 27% 25% 19% 23% 14% 5% 6% 28% 13% 18% 7% 14% 17% 2% 21%

S&P 500 Growth

28% 100% 39% 26% 18% 26% 63% 15% 3% 3% 40% 28% 32% 0% 10% 5% 16% 66%

S&P 500 Quality

34% 39% 100% 16% 11% 21% 36% 17% 5% 4% 24% 22% 19% 3% 12% 11% 13% 33%

S&P 500 Pure Growth

27% 26% 16% 100% 11% 12% 17% 9% 3% 3% 14% 0% 14% 0% 22% 7% 14% 16%

S&P 500 Low Volatility

25% 18% 11% 11% 100% 29% 22% 28% 18% 17% 20% 21% 19% 9% 14% 7% 0% 21%

S&P 500 Minimum Volatility

19% 26% 21% 12% 29% 100% 29% 15% 11% 11% 24% 27% 17% 8% 6% 8% 9% 30%

S&P 500 QVM Top 90%

23% 63% 36% 17% 22% 29% 100% 17% 8% 10% 60% 59% 49% 11% 13% 15% 15% 88%

S&P 500 Dividend Aristocrats

14% 15% 17% 9% 28% 15% 17% 100% 15% 16% 16% 15% 13% 5% 10% 6% 3% 16%

S&P 500 Low Volatility High Dividend

5% 3% 5% 3% 18% 11% 8% 15% 100% 55% 9% 12% 10% 12% 5% 13% 0% 8%

S&P 500 High Dividend

6% 3% 4% 3% 17% 11% 10% 16% 55% 100% 13% 16% 16% 27% 11% 19% 6% 9%

S&P 500 Revenue-Weighted

28% 40% 24% 14% 20% 24% 60% 16% 9% 13% 100% 54% 50% 26% 22% 31% 16% 63%

S&P 500 Value

13% 28% 22% 0% 21% 27% 59% 15% 12% 16% 54% 100% 53% 17% 14% 21% 17% 63%

S&P 500 Equal Weight

18% 32% 19% 14% 19% 17% 49% 13% 10% 16% 50% 53% 100% 17% 20% 19% 21% 52%

S&P 500 Pure Value

7% 0% 3% 0% 9% 8% 11% 5% 12% 27% 26% 17% 17% 100% 25% 44% 20% 10%

S&P 500 Buyback

14% 10% 12% 22% 14% 6% 13% 10% 5% 11% 22% 14% 20% 25% 100% 26% 19% 13%

S&P 500 Enhanced Value

17% 5% 11% 7% 7% 8% 15% 6% 13% 19% 31% 21% 19% 44% 26% 100% 13% 13%

S&P 500 High Beta

2% 16% 13% 14% 0% 9% 15% 3% 0% 6% 16% 17% 21% 20% 19% 13% 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 February 28, 2023. Returns in U.S. dollars.

5

TRACKING ERROR & ACTIVE SHARE- RELATIVE TO S&P 500

16%

14%

Index Dashboard: S&P 500? Factor Indices

February 2023

High Beta

12M Tracking Error to S&P 500 (Ann.)

12% 10%

Low Volatility Low Volatility High Dividend

Pure Value

Momentum

Enhanced Value High Dividend

8%

Minimum Volatility

Pure Growth

Growth

6%

Value

Dividend Aristocrats Buyback

Revenue-Weighted

Quality

4%

Equal Weight

2%

QVM Top 90%

S&P 500

0%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Current Active Share to S&P 500

FACTOR EXPOSURE SUMMARY (See following pages for factor details)

INDEX

PAGE No. LOW VOLATILITY MOMENTUM

S&P 500 Low Volatility

7

73.0%

40.4%

S&P 500 Minimum Volatility

7

36.5%

23.2%

S&P 500 Low Volatility High Dividend

8

43.2%

-3.9%

S&P 500 High Dividend

8

8.1%

-11.3%

S&P 500 Quality

9

3.9%

26.6%

S&P 500 Dividend Aristocrats

9

24.9%

11.6%

S&P 500 Momentum

10

23.2%

71.6%

S&P 500 Revenue-Weighted

10

2.3%

23.2%

S&P 500 QVM Top 90%

11

3.9%

2.4%

S&P 500 Growth

11

-3.6%

15.0%

S&P 500 Value

12

2.3%

-7.9%

S&P 500 Pure Growth

12

-33.2%

67.6%

S&P 500 Pure Value

13

-37.2%

-11.6%

S&P 500 Buyback

13

-16.5%

33.3%

S&P 500 High Beta

14

-78.2%

-17.5%

S&P 500 Enhanced Value

14

-5.3%

17.2%

S&P 500 Equal Weight

15

-8.8%

9.0%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

VALUE

23.3% -4.0% 44.9% 59.2% 1.9% 13.5% 47.6% 55.3% 8.8% -8.8% 23.3% 49.0% 89.1% 65.9% 12.1% 88.3% 29.6%

HIGH BETA

-66.0% -38.3% -42.4% -16.2% -11.1% -25.3% -60.3% -12.3% -4.9% 1.0% -1.9% -13.5% 10.3% -5.7% 81.4% -12.6% -1.9%

DIVIDEND

36.3% 14.3% 86.1% 86.1% 10.9% 33.7% 36.3% 19.0% 6.7% -7.0% 16.1% 15.1% 52.5% 12.8% -29.1% 55.5% 12.9%

QUALITY

0.6% -0.2% -37.6% -37.9% 23.8% -0.3% 8.4% 2.3% -0.1% 10.0% -14.7% -4.6% -24.4% -1.1% -33.8% -13.6% -13.4%

SMALL SIZE

42.8% 12.2% 57.0% 66.8% 6.6% 40.9% 12.2% 12.2% -2.8% -31.0% 12.2% 36.8% 65.4% 62.9% 30.9% 29.2% 47.6%

6

S&P 500 Low Volatility

Index Dashboard: S&P 500? Factor Indices

February 2023

Description

The S&P 500 Low Volatility is designed to measure the performance of the 100 stocks in the S&P 500 with the lowest volatility, measured on a 1-year trailing basis. The weighting of

each stock is in inverse proportion to its volatility. As of February 28, 2023 the index comprised 100 constituents.

Index Statistics Total Return (Ann) Relative to Benchmark Index Volatility Tracking Error Benchmark: S&P 500.

1M

3M YTD 12M

-3.3% -4.9% -3.3% -1.0%

-0.8% -2.6% -6.9% 6.7%

15.5%

12.1%

1 Yr trailing beta to benchmark = 0.58

3Y 6.8% -5.4% 16.5% 10.3%

5Y 8.2% -1.6% 14.8% 9.7%

10Y 10.3% -2.0% 12.3% 8.3%

15Y 10.0% 0.2% 12.4% 8.7%

Small Size

Low Volatility

Momentum

Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)

Index 79% 47% 100.8 0.52 0.64

Bmark 0% 0%

126.7 0.47 0.04

Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)

Index 24% 8% 0.32 0.04 0.54 0.60 2.6% 22% 78.6

Bmark 35% -4% 0.24 0.04 0.43 1.01 1.7% 33% 442.1

Top Sector Tilts (versus benchmark)

Sector

Index Bmark Difference

Utilities

23% 3% 20%

Cons. Staples

22% 7% 15%

IT

2% 26% 24%

Cons. Disc.

3% 10% 7%

Sector Tilts (Detail)

50%

25%

15%

0%

3%

5%

-7%

-5%

-25%

-50%

Quality

Value Benchmark

Dividend

High Beta

Factor Exposure Chart

20% 3%

-3%

-2%

-6%

-24%

S&P 500 Minimum Volatility

Description The S&P 500 Minimum Volatility uses an optimization process to find the portfolio of S&P 500 stocks, and weights, that would have demonstrated the lowest volatility on a historical basis, subject to constraints maintaining limiting sector and factor exposures. As of February 28, 2023 the index comprised 92 constituents.

Index Statistics Total Return (Ann) Relative to Benchmark Index Volatility Tracking Error Benchmark: S&P 500.

1M

3M YTD 12M

-4.6% -5.1% -1.7% -4.8%

-2.1% -2.8% -5.4% 2.9%

17.7%

7.7%

1 Yr trailing beta to benchmark = 0.78

3Y 8.8% -3.3% 17.6% 6.0%

5Y 8.5% -1.4% 16.1% 5.1%

10Y 11.2% -1.0% 12.8% 5.0%

15Y 9.4% -0.3% 13.4% 5.7%

Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)

Index 70% 19% 158.2 0.43 0.28

Bmark 0% 0%

126.7 0.47 0.04

Top Sector Tilts (versus benchmark)

Sector

Index Bmark

Cons. Staples

13% 7%

Health Care

20% 15%

IT

22% 26%

Energy

1%

5%

Difference 6% 5% 4% 4%

Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)

Index 29% 2% 0.26 0.04 0.37 0.80 2.0% 28% 223.8

Bmark 35% -4% 0.24 0.04 0.43 1.01 1.7% 33% 442.1

Sector Tilts (Detail)

50%

25%

6%

3%

5%

0%

-3%

-4%

-25%

-50%

Small Size

Low Volatility

Momentum

Quality

Value Benchmark

Dividend

High Beta

Factor Exposure Chart

0%

1%

4%

-4%

-4%

-3%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

7

Index Dashboard: S&P 500? Factor Indices

S&P 500 Low Volatility High Dividend

February 2023

Description

The S&P 500 Low Volatility High Dividend measures the performance of the 50 least-volatile high dividend-yielding stocks in the S&P 500. Each component is weighted proportionally to

its dividend yield, subject to single stock and sector constraints. As of February 28, 2023 the index comprised 50 constituents.

Index Statistics Total Return (Ann)

1M

3M YTD 12M

-4.6% -4.5% -0.9% -0.1%

Relative to Benchmark

-2.2% -2.2% -4.6% 7.6%

Index Volatility

20.4%

Tracking Error

11.4%

Benchmark: S&P 500. 1 Yr trailing beta to benchmark = 0.63

3Y 9.2% -3.0% 21.4% 12.0%

5Y 6.6% -3.3% 18.8% 10.3%

10Y 9.7% -2.5% 15.0% 9.0%

15Y 10.8% 1.0% 15.7% 8.8%

Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)

Index 92% 43% 208.7 0.41 0.66

Bmark 0% 0%

126.7 0.47 0.04

Top Sector Tilts (versus benchmark)

Sector

Index Bmark Diff.

Real Estate

19% 3% 17%

Utilities

16% 3% 13%

IT

4% 26% 22%

Health Care

7% 15% 8%

Small Size Quality

Low Volatility Momentum

Benchmark Value

Dividend

High Beta

Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)

Index 28% -4% 0.42 0.05 0.60 0.76 4.7% 21% 53.6

Bmark 35% -4% 0.24 0.04 0.43 1.01 1.7% 33% 442.1

Sector Tilts (Detail)

50%

Factor Exposure Chart

25% 6% 0%

17%

13%

6%

2%

0%

-7%

-1%

-8%

-5%

-25%

-22%

-50%

S&P 500 High Dividend

Description The S&P 500 High Dividend is constructed from the 80 constituents of the S&P 500 with the highest indicated dividend yield. The index is equal weighted. As of February 28, 2023 the index comprised 80 constituents.

Index Statistics Total Return (Ann) Relative to Benchmark Index Volatility Tracking Error Benchmark: S&P 500.

1M

3M YTD 12M

-4.9% -2.8% 1.2% -1.5%

-2.4% -0.5% -2.5% 6.2%

22.6%

10.1%

1 Yr trailing beta to benchmark = 0.75

3Y 10.8% -1.4% 25.4% 14.5%

5Y 7.2% -2.7% 22.1% 12.2%

10Y 10.5% -1.7% 17.1% 9.9%

15Y 9.1% -0.6% 19.7% 10.6%

Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)

Index 91% 43% 125.4 0.38 0.44

Bmark 0% 0%

126.7 0.47 0.04

Top Sector Tilts (versus benchmark)

Sector

Index Bmark Diff.

Real Estate

21% 3% 19%

Utilities

13% 3% 10%

IT

3% 26% 24%

Health Care

4% 15% 11%

Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)

Index 32% -8% 0.48 0.05 0.79 0.90 4.6% 19% 38.9

Bmark 35% -4% 0.24 0.04 0.43 1.01 1.7% 33% 442.1

Sector Tilts (Detail)

50%

25%

9%

1%

0%

0%

-1%

-11% -25%

-50%

Small Size

Low Volatility Benchmark Momentum

Quality

Value

Dividend

High Beta

Factor Exposure Chart

19%

5%

10%

-6%

-1%

-24%

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of February 28, 2023. Returns in U.S. dollars.

8

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