S&P 500 Equal Weight vs. Cap Weight Sectors - S&P Global

QUARTERLY PERFORMANCE SUMMARY

20% 15%

14.6%

17.2%

INDEX INVESTMENT STRATEGY Register to receive our dashboards at on.DashboardSignup

U.S. Equal Weight Sector Dashboard

June 30, 2023

S&P 500 Equal Weight vs. Cap Weight Sectors

13.1%

10% 5%

9.3% 6.5%

8.4%

0%

6.7%

4.0%

3.4% 1.8%

3.0% 2.4%

5.3% 2.1%

-5%

Industrials

Consumer Technology Communication Real Estate Health Care Financials

Discretionary

Services

Equal Weight Sectors Cap Weighted Sectors

TRAILING 12M PERFORMANCE SUMMARY

0.8% -0.9%

Energy

3.3% 0.4%

0.5% -1.1%

Materials

Consumer Staples

-1.8% -2.5%

Utilities*

S&P 500 Equal Weight vs. Cap Weight Sectors

45% 40% 35% 30% 25% 20% 15% 10%

5% 0% -5% -10%

30.7% 24.7%

Consumer Discretionary

29.5% 25.2%

Industrials

40.3% 25.8%

Technology

Equal Weight Sectors

18.8% 15.8%

12.4% 5.4%

Energy

Health Care

Cap Weighted Sectors

15.1% 7.2%

17.3% 5.8%

6.6% 3.9%

Materials Communication Consumer

Services

Staples

9.5%

-0.5% -3.7%

Utilities*

-1.1%

Financials

-3.3% -4.1%

Real Estate

INDEX COMPOSITION AND COMMENTARY

S&P 500 Equal Weight Sector Indices

Communication Services, 4.0%

5.8%, Utilities

10.9%, Cons Disc

13.1%, Info Tech 6.1%, Real Estate

5.8%, Materials

7.2%, Cons Staples 4.5%, Energy

14.0%, Financials

? The S&P 500? Equal Weight Index underperformed the S&P 500 by 5% in Q2.

? Most equal-weight sectors underperformed their cap-weighted counterparts.

? Consumer Discretionary was the top performer over the past 12 months for equal weighted while Information Technology was the top performer over the past 12 months for cap weighted.

15.5%, Industrials

13.1%, Health Care

*The S&P 500 Equal Weight Utilities Plus Index Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 30, 2023

U.S. Equal Weight Sector Dashboard

June 30, 2023

HISTORICAL RETURN DIFFERENTIAL - EQUAL VS. CAP WEIGHTED

40%

S&P 500 Equal Weight vs. S&P 500 Total Return Differential - Rolling 12M

30%

20%

10%

0%

-10% -20%

-5.8%

Jun-92 Jun-93 Jun-94 Jun-95 Jun-96 Jun-97 Jun-98 Jun-99 Jun-00 Jun-01 Jun-02 Jun-03 Jun-04 Jun-05 Jun-06 Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19 Jun-20 Jun-21 Jun-22 Jun-23

AVERAGE WEIGHT DIFFERENCE OVER PAST YEAR - S&P 500 EW VS. S&P 500?

8% 6% 4% 2% 0% -2% -4% -6% -8% -10% -12% -14%

-1.6%

6.5%

0.5%

-0.3%

0.05%

-3.7%

2.9%

3.0%

3.3%

1.1% -11.6%

ANNUAL TOTAL RETURN DIFFERENCE - S&P 500 EW VS. S&P 500

10% 5%

7.0%

4.6%

7.0%

0%

-5%

-2.9%

-2.9%

-10%

-15%

-13.0%

3.2%

-8.0%

0.9%

-11.6%

-12.7%

-5.8%

EQUAL VS. CAP WEIGHTED YEARLY ATTRIBUTION

12 Month Attribution - S&P 500 EW vs. S&P 500

Information Technology (-) Financials (-)

Real Estate (-) Materials (-) Utilities (-)

Communication Services (-) Consumer Staples (-) Energy (-)

Consumer Discretionary (+) Industrials (+)

Cross Sector Weighting Intra Sector Weighting

(-) Negative

Effect from Equal Weighting

(+) Positive Effect from

Equal Weighting

Health Care (+)

S&P 500 Equal Weight (-)

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

COMMENTARY

? Equal Weight's trailing twelve-month underperformance narrowed to 5.8%.

? Key performance detractors for Equal Weight were the underweight to Info Tech and the overweight to smaller-caps within Info Tech and Financials.

Source: S&P Dow Jones Indices LLC and/or its affiliates and FactSet. Data as of June 30, 2023.

KEY TO FACTOR SCORINGS FOR INDICES

U.S. Equal Weight Sector Dashboard

June 30, 2023

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.

Low Volatility

Small Size

Momentum

Quality

S&P 500

Value

Dividend

High Beta

Factor Volatility

Momentum

Value Beta Dividend Quality Size

Measurement at single-stock level

Trailing 12-month daily return volatility

Twelve-month price change as of one month ago ("13 minus 1 momentum"), divided by the daily volatility during the twelvemonth period that ended one month ago. 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 stock daily returns to the benchmark's return. 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. 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 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

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 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

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 per share as of observation date divided by latest annual reported book value per share.

Price/Sales (P/S)

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%)

Financial Leverage Ratio

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

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.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 30, 2023.

COMMENTARY

The diagrams below illustrate factor exposures relative to the S&P 500 across sectors.

U.S. Equal Weight Sector Dashboard

June 30, 2023

For example, S&P 500 Equal Weighted Consumer Discretionary has a tilt away from Low Volatility, compared to S&P Equal Weighted Consumer Staples, which has a tilt towards Low Volatility.

FACTOR TILTS S&P 500 EQUAL WEIGHTED

S&P 500 EQUAL WEIGHTED Communication Services

S&P 500 EQUAL WEIGHTED Consumer Discretionary

Small_Size

Low_Volatility

Momentum Small_Size

Low_Volatility

Momentum Small_Size

Low_Volatility

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

S&P 500 EQUAL WEIGHTED Consumer Staples

S&P 500 EQUAL WEIGHTED Energy

S&P 500 EQUAL WEIGHTED Financials

Small_Size

Low_Volatility

Momentum

Small_Size

Low_Volatility

Momentum

Low_Volatility

Small_Size

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

S&P 500 EQUAL WEIGHTED Health Care

S&P 500 EQUAL WEIGHTED Industrials

S&P 500 EQUAL WEIGHTED Information Technology

Small_Size

Low_Volatility

Momentum Small_Size

Low_Volatility

Momentum Small_Size

Low_Volatility

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of June 30, 2023.

FACTOR TILTS S&P 500 EQUAL WEIGHTED Materials Low_Volatility

S&P 500 EQUAL WEIGHTED Real Estate

Low_Volatility

U.S. Equal Weight Sector Dashboard

June 30, 2023

S&P 500 EQUAL WEIGHTED Utilities Plus

Low_Volatility

Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum

Average Correlation Jun07 Jun08 Jun09 Jun10 Jun11 Jun12 Jun13 Jun14 Jun15 Jun16 Jun17 Jun18 Jun19 Jun20 Jun21 Jun22 Jun23

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

COMMENTARY ? Dispersion changes were mixed and correlations increased across most equal weighted sectors.

Quality

Value

Benchmark

Dividend

High_Beta

EQUAL WEIGHT SECTOR DISPERSION AND CORRELATION

0.75

S&P 500 Equal Weight Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

Energy (32.57%)

0.65

Utilities (20.58%) Real Estate (23.50%)

0.55 0.45

Industrials (20.83%)

Technology (26.00%) Financials (23.45%) Materials (23.34%)

Consumer Discretionary (24.38%)

0.35 0.25

Consumer Staples (13.43%)

S&P 500 Equal Weight (19.49%) Health Care (17.97%)

Communication Services (24.14%)

0.15

13%

15%

17%

19%

21%

23%

25%

27%

29%

31%

33%

Average Dispersion

EQUAL WEIGHT VS. CAP WEIGHT CORRELATION

Weight hist disp

50%

S&P 500 Equal Weight vs. S&P 500 Correlation - Rolling 12M average

45%

40%

35%

30%

25%

20% 15%

S&P 500 Equal Weight (TR)

S&P 500 (TR)

10%

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 30, 2023. Index performance based on total return (USD). Charts and graphs are provided for illustrative purposes. Past performance is no guarantee of future results.

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