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

[Pages:17]INDEX INVESTMENT STRATEGY

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

QUARTERLY AND 12M TRAILING PERFORMANCE SUMMARY

Q2 2019 Total Return

12M Total Return

S&P 500 Minimum Volatility S&P 500 Low Volatility S&P 500 Buyback

S&P 500 Enhanced Value S&P 500 Growth

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

S&P 500 Pure Value S&P 500 Equal Weight

S&P 500 Quality S&P 500 High Beta S&P 500 Pure Growth S&P 500 Momentum S&P 500 Dividend Aristocrats S&P 500 High Dividend S&P 500 High Momentum Value S&P 500 Low Volatility High Dividend

1.63% 0.54% 0.29%

0%

2%

5.36% 5.20% 4.88% 4.80% 4.56% 4.09% 4.02% 3.82% 3.72% 3.52% 3.50% 3.44% 3.39% 3.08%

S&P 500: 4.30%

4%

6%

S&P 500 Low Volatility S&P 500 Dividend Aristocrats

S&P 500 Minimum Volatility S&P 500 Quality S&P 500 Growth

S&P 500 Momentum S&P 500 Buyback S&P 500 Value

S&P 500 Equal Weight S&P 500 Revenue-Weighted S&P 500 Low Volatility High Dividend

S&P 500 High Dividend S&P 500 Enhanced Value

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

S&P 500 High Momentum Value

-0.50%

19.00%

14.32%

13.08%

12.46%

12.02%

10.71%

9.11%

8.67%

8.18%

7.92%

7.35%

6.81%

6.51%

5.22%

1.79%

1.28%

S&P 500: 10.42%

-5%

0%

5%

10% 15% 20%

COMMENTARY

The S&P 500's performance in the second quarter of 2019 might be described as a low conviction rally. With smaller stocks underperforming larger this quarter, most of our factor indices lagged the cap-weighted benchmark. Despite the benchmark's 4.3% total return this quarter, Minimum Volatility and Low Volatility topped the factor charts with a 5.4% and 5.2% total return, respectively. Meanwhile Momentum and High Beta lagged.

S&P 500 Low Volatility Daily TR

Total Return, Relative to S&P 500 Jun 18 Aug 18 Oct 18 Dec 18 Feb 19 Apr 19 Jun 19

Exposure to one factor may have been better than many; High Momentum Value and Low Volatility High Dividend

both finished the quarter with less than 1% in total return.

12M Daily Returns

8%

Low Volatility's performance over the past year is particularly remarkable in light of its trailing beta to the

market return.

Slope = 0.55 4%

Regressing daily returns over the past 12 months, the

S&P 500 Low Volatility Index has moved 0.55% for every

0%

1.00% change in the benchmark (see chart).

-4%

-8%

-8%

-4%

0%

4%

8%

S&P 500 Daily TR

The second quarter completed a disappointing year for the most "traditional" of factor indices: size, value, and market beta.

The S&P SmallCap 600, S&P 500 Enhanced Value and S&P 500 High Beta indices have displayed grinding underperformance versus the S&P 500 over the past 12 months.

Followers of the original "Fama-French" factors will be hoping that a performance pickup at month end heralded a change in regime.

After adjusting for beta, Low Volatility's 19% gain since last June becomes triple its participation in market gains ? an unusually strong performance for a defensive index in a rising market.

105% 100%

95% 90% 85% 80%

S&P 500 Enhanced Value S&P 500 High Beta S&P SmallCap 600

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

4.91%

15.79%

Relative to Benchmark

2004

20%

2005

2006

Value

15%

10%

Low Volatility

5%

Momentum

0%

Quality

-5% -10%

2007 1.99% 0.58% 9.89% 15.50%

5.49%

2007

Index Dashboard: S&P 500? Factor Indices

Q2, 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

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 16.70% 19.53% 20.57% 20.08%

18.54%

YTD

10% Low Volatility

5%

Momentum 0%

-5% Quality

-10%

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

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

15 YEAR RISK & RETURN - ABSOLUTE

12%

Low Volatility High Dividend

Buyback

High Momentum Value

11%

Dividend Aristocrats

Pure Growth

10%

Low Volatility

Quality Momentum

Growth

Equal Weight

Pure Value

Minimum Volatility

Revenue-Weighted

High Dividend

9%

S&P 500

Enhanced Value

8%

Value

7%

15Y Total Return (Ann.)

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 6.0% 0.3% 7.4% 7.7% 10.4% 16.2% 11.6%

S&P 500 Buyback

8.7% 4.9% 9.1% 15.5% 10.2% 17.1% 11.2%

S&P 500 High Momentum Value

7.6% 0.5% -0.5% 10.8% 7.7% 15.6% 11.2%

S&P 500 Dividend Aristocrats

7.2% 3.1% 14.3% 11.2% 11.2% 16.3% 10.7%

S&P 500 Pure Growth

6.5% 3.4% 5.2% 14.9% 10.1% 17.4% 10.9%

S&P 500 Pure Value

8.9% 3.8% 1.8% 11.1% 6.2% 17.1% 9.8%

S&P 500 Low Volatility

3.8% 5.2% 19.0% 11.4% 11.9% 14.9% 10.2%

S&P 500 Equal Weight

7.5% 3.7% 8.2% 12.4% 9.1% 15.6% 9.8%

S&P 500 Growth

6.2% 4.6% 12.0% 17.3% 13.1% 16.1% 9.8%

S&P 500 Quality

6.9% 3.5% 12.5% 12.3% 10.1% 14.8% 10.3%

S&P 500 High Dividend

7.4% 1.6% 6.8% 9.3% 10.0% 17.2% 9.3%

S&P 500 Revenue-Weighted

8.1% 4.1% 7.9% 12.1% 9.2% 14.9% 9.1%

S&P 500 Minimum Volatility

6.1% 5.4% 13.1% 10.3% 11.6% 14.9% 9.6%

S&P 500 Momentum

5.0% 3.4% 10.7% 17.1% 12.9% 15.3% 9.7%

S&P 500 Enhanced Value

9.0% 4.8% 6.5% 14.9% 8.3% 15.0% 8.4%

S&P 500 Value

8.1% 4.0% 8.7% 10.6% 7.9% 13.1% 7.5%

S&P 500 High Beta

10.2% 3.5% 1.3% 15.4% 6.9% 13.3% 4.7%

S&P 500

7.0% 4.3% 10.4% 14.2% 10.7% 14.7% 8.8% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 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 Revenue-Weighted 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 14.7% 10.9% 10.6% 11.1% 12.5% 20.9% 14.6% 14.3% 14.2% 16.2% 20.2% 13.9% 13.1% 14.5% 18.1% 15.7% 11.4% 11.1% 11.6% 12.7% 19.2% 13.4% 13.0% 14.8% 16.0% 22.0% 15.4% 15.1% 17.3% 21.1% 11.9% 9.4% 9.6% 9.3% 10.1% 18.9% 12.7% 12.5% 13.9% 16.0% 17.4% 12.2% 12.3% 12.7% 13.5% 17.4% 11.8% 11.8% 12.1% 13.2% 16.0% 11.4% 11.2% 12.1% 16.1% 18.4% 12.9% 12.4% 13.4% 14.9% 15.5% 10.8% 10.1% 9.9% 11.2% 17.7% 12.6% 12.2% 13.2% 14.2% 20.5% 15.4% 14.8% 15.9% 19.0% 18.1% 12.6% 12.2% 13.3% 14.8% 26.8% 19.2% 19.3% 21.7% 25.3% 17.5% 11.9% 11.8% 12.6% 13.8%

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

15 YEAR RISK & RETURN RELATIVE TO S&P 500

4%

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

3%

Low Volatility High Dividend

Buyback

High Momentum Value

2%

Pure Growth

1%

Quality Growth

Dividend Aristocrats

Equal Weight

Low Volatility

Momentum

Pure Value

Minimum

High Dividend

0% S&P 500

RevenueWeighted

Volatility

Enhanced Value

-1%

Value

-2%

-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 -1.1% -4.0% -3.1% -6.5% -0.3% 1.5% 2.8%

S&P 500 Buyback

1.6% 0.6% -1.3% 1.4% -0.5% 2.4% 2.4%

S&P 500 High Momentum Value

0.5% -3.8% -10.9% -3.4% -3.0% 0.9% 2.5%

S&P 500 Dividend Aristocrats

0.1% -1.2% 3.9% -2.9% 0.5% 1.6% 1.9%

S&P 500 Pure Growth

-0.6% -0.9% -5.2% 0.7% -0.6% 2.7% 2.1%

S&P 500 Pure Value

1.8% -0.5% -8.6% -3.1% -4.5% 2.4% 1.1%

S&P 500 Low Volatility

-3.3% 0.9% 8.6% -2.8% 1.2% 0.2% 1.4%

S&P 500 Equal Weight

0.5% -0.6% -2.2% -1.8% -1.6% 0.9% 1.0%

S&P 500 Growth

-0.9% 0.3% 1.6% 3.1% 2.4% 1.4% 1.0%

S&P 500 Quality

-0.1% -0.8% 2.0% -1.9% -0.7% 0.1% 1.5%

S&P 500 High Dividend

0.3% -2.7% -3.6% -4.9% -0.7% 2.5% 0.6%

S&P 500 Revenue-Weighted

1.0% -0.2% -2.5% -2.1% -1.5% 0.2% 0.3%

S&P 500 Minimum Volatility

-1.0% 1.1% 2.7% -3.9% 0.9% 0.2% 0.8%

S&P 500 Momentum

-2.1% -0.9% 0.3% 2.9% 2.2% 0.6% 0.9%

S&P 500 Enhanced Value

1.9% 0.5% -3.9% 0.7% -2.4% 0.3% -0.4%

S&P 500 Value

1.0% -0.3% -1.7% -3.5% -2.8% -1.6% -1.2%

S&P 500 High Beta

3.2% -0.8% -9.1% 1.2% -3.8% -1.4% -4.0% Performance figures for more than one year are annualized.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 28, 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 Revenue-Weighted 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 6.9% 6.4% 7.1% 7.7% 7.2% 4.9% 4.8% 4.6% 4.4% 5.2% 5.3% 5.3% 4.8% 5.3% 7.7% 5.2% 4.7% 4.4% 4.5% 5.2% 4.5% 4.7% 4.4% 5.3% 5.3% 6.8% 6.5% 6.2% 7.9% 10.9% 8.2% 7.5% 7.0% 7.6% 7.4% 2.8% 2.8% 2.7% 3.1% 4.1% 2.7% 3.3% 3.0% 2.7% 3.0% 3.6% 2.7% 2.5% 3.0% 3.1% 6.0% 5.7% 6.7% 7.5% 8.6% 2.9% 3.0% 2.7% 2.5% 3.0% 2.7% 4.6% 4.8% 5.2% 5.2% 6.2% 5.6% 5.3% 5.0% 6.5% 7.1% 7.5% 6.5% 6.5% 8.2% 3.2% 3.8% 3.3% 3.0% 3.3% 10.2% 10.1% 10.4% 11.6% 13.8%

DEGREE OF PORTFOLIO OVERLAP AND RELATIVE RETURN CORRELATIONS

PORTFOLIO OVERLAP

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

Dividend

Value

Value

Enhanced High Beta

Equal Weight Pure Value Buyback

High Momentum Value

Revenue-Weighted

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% 28% 14% 20% 21% 9% 22% 16% 22% 17% 16% 20% 19% 11% 10% 6% 0% 23%

S&P 500 Minimum Volatility

28% 100% 11% 14% 24% 21% 32% 18% 19% 31% 12% 30% 21% 9% 11% 8% 12% 38%

S&P 500 Low Volatility High Dividend 14% 11% 100% 58% 10% 4% 5% 4% 7% 14% 13% 16% 10% 15% 3% 12% 0% 11%

S&P 500 High Dividend

20% 14% 58% 100% 11% 5% 7% 4% 7% 18% 18% 18% 16% 27% 12% 16% 3% 13%

S&P 500 Dividend Aristocrats

21% 24% 10% 11% 100% 13% 16% 11% 6% 19% 14% 18% 11% 9% 3% 9% 3% 17%

S&P 500 Quality

9% 21% 4% 5% 13% 100% 32% 13% 28% 18% 7% 22% 19% 3% 16% 2% 14% 30%

S&P 500 Growth

22% 32% 5% 7% 16% 32% 100% 33% 34% 37% 6% 29% 38% 0% 14% 1% 21% 67%

S&P 500 Pure Growth

16% 18% 4% 4% 11% 13% 33% 100% 29% 13% 6% 0% 21% 0% 14% 2% 30% 22%

S&P 500 Momentum

22% 19% 7% 7% 6% 28% 34% 29% 100% 16% 7% 12% 19% 3% 11% 1% 14% 24%

S&P 500 Revenue-Weighted

17% 31% 14% 18% 19% 18% 37% 13% 16% 100% 26% 61% 50% 32% 22% 31% 16% 63%

S&P 500 High Momentum Value

16% 12% 13% 18% 14% 7% 6% 6% 7% 26% 100% 25% 20% 39% 24% 32% 14% 17%

S&P 500 Value

20% 30% 16% 18% 18% 22% 29% 0% 12% 61% 25% 100% 49% 26% 18% 24% 11% 62%

S&P 500 Equal Weight

19% 21% 10% 16% 11% 19% 38% 21% 19% 50% 20% 49% 100% 24% 20% 20% 20% 53%

S&P 500 Pure Value

11% 9% 15% 27% 9% 3% 0% 0% 3% 32% 39% 26% 24% 100% 24% 53% 11% 14%

S&P 500 Buyback

10% 11% 3% 12% 3% 16% 14% 14% 11% 22% 24% 18% 20% 24% 100% 23% 21% 19%

S&P 500 Enhanced Value

6% 8% 12% 16% 9% 2% 1% 2% 1% 31% 32% 24% 20% 53% 23% 100% 12% 12%

S&P 500 High Beta

0% 12% 0% 3% 3% 14% 21% 30% 14% 16% 14% 11% 20% 11% 21% 12% 100% 20%

"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

Revenue-Weighted

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 0.69 0.76 0.62 0.47 0.16 -0.02 -0.13 0.17 -0.04 -0.05 0.03 -0.06 -0.24 -0.30 -0.23 -0.66

S&P 500 Minimum Volatility

0.69 1.00 0.53 0.39 0.62 0.24 -0.07 -0.17 0.05 0.04 -0.08 0.08 0.08 -0.25 -0.26 -0.33 -0.54

S&P 500 Low Volatility High Dividend 0.76 0.53 1.00 0.91 0.37 0.04 -0.19 -0.23 -0.05 0.10 0.06 0.18 0.17 0.05 -0.11 -0.14 -0.29

S&P 500 High Dividend

0.62 0.39 0.91 1.00 0.29 -0.01 -0.28 -0.24 -0.17 0.19 0.11 0.26 0.30 0.21 0.03 -0.06 -0.05

S&P 500 Dividend Aristocrats

0.47 0.62 0.37 0.29 1.00 0.28 -0.40 -0.29 -0.19 0.34 0.18 0.41 0.37 0.08 0.11 -0.19 -0.28

S&P 500 Quality

0.16 0.24 0.04 -0.01 0.28 1.00 0.14 0.19 0.16 0.02 -0.03 -0.13 0.10 -0.12 0.12 0.10 -0.15

S&P 500 Growth

-0.02 -0.07 -0.19 -0.28 -0.40 0.14 1.00 0.69 0.52 -0.69 -0.60 -1.00 -0.52 -0.70 -0.44 0.00 -0.24

S&P 500 Pure Growth

-0.13 -0.17 -0.23 -0.24 -0.29 0.19 0.69 1.00 0.52 -0.37 -0.22 -0.69 0.01 -0.28 0.02 0.39 0.03

S&P 500 Momentum

0.17 0.05 -0.05 -0.17 -0.19 0.16 0.52 0.52 1.00 -0.35 -0.08 -0.50 -0.33 -0.36 -0.21 0.07 -0.35

S&P 500 Revenue-Weighted

-0.04 0.04 0.10 0.19 0.34 0.02 -0.69 -0.37 -0.35 1.00 0.60 0.69 0.63 0.72 0.63 0.21 0.25

S&P 500 High Momentum Value

-0.05 -0.08 0.06 0.11 0.18 -0.03 -0.60 -0.22 -0.08 0.60 1.00 0.61 0.50 0.64 0.64 0.37 0.21

S&P 500 Value

0.03 0.08 0.18 0.26 0.41 -0.13 -1.00 -0.69 -0.50 0.69 0.61 1.00 0.52 0.69 0.44 0.00 0.22

S&P 500 Equal Weight

-0.06 0.08 0.17 0.30 0.37 0.10 -0.52 0.01 -0.33 0.63 0.50 0.52 1.00 0.70 0.67 0.40 0.46

S&P 500 Pure Value

-0.24 -0.25 0.05 0.21 0.08 -0.12 -0.70 -0.28 -0.36 0.72 0.64 0.69 0.70 1.00 0.68 0.39 0.55

S&P 500 Buyback

-0.30 -0.26 -0.11 0.03 0.11 0.12 -0.44 0.02 -0.21 0.63 0.64 0.44 0.67 0.68 1.00 0.51 0.44

S&P 500 Enhanced Value

-0.23 -0.33 -0.14 -0.06 -0.19 0.10 0.00 0.39 0.07 0.21 0.37 0.00 0.40 0.39 0.51 1.00 0.29

S&P 500 High Beta

-0.66 -0.54 -0.29 -0.05 -0.28 -0.15 -0.24 0.03 -0.35 0.25 0.21 0.22 0.46 0.55 0.44 0.29 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 June 28, 2019.

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

11%

10%

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

High Beta

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

9%

Low Volatility

8%

Low Volatility High Dividend

Enhanced Value

7%

Pure Value

6%

Momentum

High Dividend

High Momentum Value

5%

Buyback Dividend Aristocrats

Pure Growth

4%

Value

Quality

3%

Growth Revenue-

Equal Weight

Minimum Volatility

Weighted

2%

1%

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 page for factor scoring methodology)

INDEX

AVERAGE LOW VOLATILITY MOMENTUM

S&P 500 High Momentum Value

15.9%

-2.5%

-13.3%

S&P 500 Low Volatility High Dividend 14.3%

22.7%

-18.0%

S&P 500 Low Volatility

13.3%

79.7%

40.4%

S&P 500 Pure Value

12.2%

-27.5%

-56.9%

S&P 500 High Dividend

11.4%

-10.0%

-27.9%

S&P 500 Quality

10.4%

1.8%

10.1%

S&P 500 Enhanced Value

8.7%

-18.0%

-58.2%

S&P 500 Dividend Aristocrats

7.8%

27.4%

3.2%

S&P 500 Buyback

5.8%

-20.0%

-17.4%

S&P 500 Revenue-Weighted

5.7%

-3.6%

-13.6%

S&P 500 Value

4.3%

2.0%

-21.8%

S&P 500 Equal Weight

4.2%

-14.7%

-11.6%

S&P 500 Momentum

4.1%

3.0%

65.9%

S&P 500

0.0%

0.0%

0.0%

S&P 500 Minimum Volatility

-1.9%

15.7%

3.6%

S&P 500 Pure Growth

-3.5%

-28.0%

25.0%

S&P 500 Growth

-5.0%

-3.8%

15.7%

S&P 500 High Beta

-8.1%

-77.3%

-32.2%

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

VALUE

75.9% 45.9% -1.8% 83.7% 47.3% -12.3% 89.9% 9.8% 38.4% 53.2% 38.4% 22.6% -28.4%

0.0%

-2.8% -18.6% -26.6% 1.4%

HIGH BETA

-12.0% -53.4% -73.7% -4.9% -39.6% 3.8% 0.3% -30.8% 1.5% -6.3% -11.4% -6.8% -4.8%

0.0%

-30.8% 5.5% 8.3% 67.8%

DIVIDEND

22.3% 87.7% 26.4% 38.1% 85.2% 0.0% 40.0% 22.2% 0.3% 15.2% 22.2% 7.1% -9.8%

0.0%

10.5% -32.2% -16.0% -31.5%

QUALITY

-2.5% -25.0% -13.0% -5.4% -25.0% 69.7% -25.0% -5.4% 0.1% -12.0% -2.5% -10.1% 2.9%

0.0%

-15.9% -12.0% 0.2% -13.0%

SMALL SIZE

43.6% 40.6% 34.8% 58.4% 50.0% 0.0% 31.8% 28.2% 37.7% 6.7% 3.2% 43.1% 0.0%

0.0%

6.7% 35.6% -12.5% 28.2%

KEY TO FACTOR SCORINGS FOR INDICES

Index Dashboard: S&P 500? Factor Indices

Q2, 2019

Factor Definitions

Each constituent of the S&P 500 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 500

Momentum Value

Dividend

High Beta

Factor Volatility

Momentum

Value Beta Dividend Quality Size

Measurement at single-stock level

Trailing 12-month daily volatility.

Twelve-month price change as of one month ago ("13 minus 1 momentum"), divided by the daily volatility during the twelve-month period that ended one month prior. For more details, see the S&P Momentum methodology. 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. Trailing 1 year beta of daily returns to the benchmark's returns.

Trailing 12-month dividend.

The average of the (normalized) return on equity, the negative of the accruals ratio and the negative of the financial leverage ratio. For more details, see the S&P Quality methodology. Average and standard deviations for each metric follow below. Free-float market capitalization.

Index Factor Ranking and Factor Diagram Scaling

Index Scores Each index is provided score in each factor from -100% to +100% based on how much of the total capitalization of the benchmark 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 is below, further details may be found at this link.

Factor Diagram Axis

Single-stock portfolio with the highest possible factor score

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.

Fewer stocks

... ...

Fewer stocks

...

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 capweighted 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

Notes On Additional Index Statistics

Statistic Active Share (Stock)

Notes

Ranging from 0 to 100%, "active share" is a measure of how much a portfolio's composition differs from that of its benchmark, and provides the amount of trading theoretically required to switch from a position in one to a position in the other. The Active Share (Stock) for each index is calculated as the absolute sum of difference between S&P 500 stock weights and Index stock weights, divided by two.

Active Share (Sector)

The Active Share (Sector) is the absolute sum of difference between S&P 500 sector weights and Index sector weights, divided by two.

Concentration (HH Index)

The Herfindahl-Hirschman ("HH") concentration measure is equal to the index constituent's percentage weights, squared. For example, the HH measure of a single-stock portfolio is 10,000 (the maximum possible). The HH measure of a 100-stock, equally weighted index is 100.

Correlation (Stock)

Calculated as the weighted-average 1Yr trailing daily variance of current index constituents, divided by the 1Yr trailing daily Index variance. The value approximates an average stock-to-stock correlation of index constituents, weighted proportionally to both constituent weight and constituent volatility.

Benchmark Statistics for Value, Quality and Momentum (normalization variables)

S&P 500 index-weighted average S&P 500 index-weighted standard deviation

Earnings to Price

4.70% 2.67%

VALUE Book to

Price

28.6% 27.0%

Sales to Price

44.3% 47.3%

Accrual Ratio

5.06% 22.32%

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

QUALITY Return on

Equity

22.53% 31.91%

Leverage Ratio

1.40 1.52

MOMENTUM

12M - 1M Daily Price

Return

Volatility

7.06%

1.67%

15.43%

0.45%

Index Dashboard: S&P 500? Factor Indices

S&P 500 Low Volatility

Q2, 2019

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.

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

1M

3M

YTD

12M

3.8% 5.2% 19.5% 19.0%

-3.3% 0.9% 1.0% 8.6%

11.9%

8.2%

1 Yr trailing beta to benchmark = 0.55

3Y 11.4% -2.8% 9.4% 7.5%

5Y 11.9% 1.2% 9.6% 7.0%

10Y 14.9% 0.2% 9.3% 7.6%

15Y 10.2% 1.4% 10.1% 7.4%

Small Size

Low Volatility Momentum

Benchmark

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

Index 77% 49% 100.8 0.39 0.58

Bmark 0% 0% 88.8 0.36 0.05

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 18% 13% 0.33 0.04 0.37 0.49 2.6% 13% 63.6

Bmark 26% 7% 0.29 0.05 0.46 1.01 1.9% 16% 228.9

Top Sector Tilts (versus benchmark)

Sector

Index Bmark

Utilities

25%

3%

Real Estate

20%

3%

Info Tech

38% 21%

Health Care

25% 14%

Difference 21% 17% 17% 10%

Sector Tilts (Detail)

50%

25%

8% 2%

0%

-5%

-4%

-10%

-25%

Quality

Value

Dividend

High Beta

Factor Exposure Chart

17%

21%

-3%

-1%

-9%

-17%

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 Jun 28, 2019 the index comprised 112 constituents.

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

1M

3M

YTD

12M

6.1% 5.4% 19.9% 13.1%

-1.0% 1.1% 1.3% 2.7%

15.5%

2.7%

1 Yr trailing beta to benchmark = 0.83

3Y 10.3% -3.9% 10.8% 4.6%

5Y 11.6% 0.9% 10.1% 4.8%

10Y 14.9% 0.2% 9.9% 5.2%

15Y 9.6% 0.8% 11.2% 5.2%

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

Index 62% 19% 133.1 0.32 0.49

Bmark 0% 0% 88.8 0.36 0.05

Top Sector Tilts (versus benchmark)

Sector

Index Bmark

Cons. Staples

12%

7%

Utilities

8%

3%

Communications

16% 10%

Info Tech

27% 21%

Difference 5% 5% 5% 5%

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 23% 8% 0.27 0.04 0.40 0.79 2.2% 16% 155.0

Bmark 26% 7% 0.29 0.05 0.46 1.01 1.9% 16% 228.9

Sector Tilts (Detail)

50%

25%

5%

5%

0%

-4%

-2%

-1%

-25%

Small Size Quality

Low Volatility Momentum

Benchmark Value

Dividend

High Beta

Factor Exposure Chart

3%

2%

5%

-1%

-5%

-5%

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

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download