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[Pages:8]MONTHLY PERFORMANCE SUMMARY

18%

16.8%

16%

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

U.S. Sector Dashboard

July 31, 2023

14% 12%

12.8%

12.2%

10% 8% 7.8% 6% 4% 2%

5.7% 3.0%

6.3% 4.8%

5.0% 5.1% 3.0% 3.4%

0%

-2%

Energy

Communication Financials***

Materials

Services****

3.1% 2.9%

2.9%

3.4% 2.5% 2.6%

1.1%

2.5% 1.3%1.6%

Industrials

Technology

Utilities**

4.5%4.7% 2.3%

3.1% 3.4% 2.1%

1.3%

3.6% 1.0% 0.7%

-0.03%

Consumer Discretionary

Consumer Staples

Real Estate

Health Care

Select Sectors

S&P MidCap 400 Capped Sectors

S&P SmallCap 600 Capped Sectors

S&P 500 Ex Sectors

SECTOR

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

Select Sectors

MTD

3M

12M

2.27% 17.80% 7.84%

2.12% -1.49% 4.40%

7.83% 3.72% 16.25%

4.85% 7.04% 7.09%

1.25% 2.09% -10.57%

1.02% 0.90% 3.03%

2.90% 10.89% 17.62%

3.41% 6.98% 12.16%

2.53% 18.51% 24.99%

2.47% -1.95% -6.44%

5.68% 15.04% 23.20%

S&P MidCap 400 Capped Sectors

MTD

3M

12M

4.53% 8.60% 14.57%

3.10% 5.46% 16.09%

12.77% 24.25% 10.08%

6.33% 7.34% -0.20%

0.71% 3.15% 4.95% 2.56%

2.09% 15.42% 7.96% 22.62%

-1.79% 25.97% 13.42% 20.28%

1.29% -4.74% -10.97%

S&P SmallCap 600 Capped Sectors

MTD

3M

12M

4.75% 9.21% 15.81%

3.43% 1.47% 11.02%

16.79% 22.53% 14.60%

12.23% 13.31% -7.82%

-0.03% 2.88% 5.06% 1.09%

0.54% 15.91% 10.85% 24.86%

-11.12% 18.56% 17.37% 13.70%

1.65% -0.73% -8.19%

S&P 500 Ex Sectors

MTD

3M

12M

3.03% 10.88% 12.86% 3.03% 11.31% 14.66%

3.55% 12.13% 14.70%

3.42% 7.41% 8.27%

CONTRIBUTION OF SECTORS TO S&P 500 DISPERSION* 0.6

0.5

0.4

Contribution

0.3

0.22

0.2

0.1

0

COMMENTARY

? Energy and Communication Services were the top-performing large-cap sectors in July. ? The contribution of cross-sector effects to total S&P 500? dispersion declined below its long-term average, indicating fewer relative

rewards for sector allocation decisions.

*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 MidCap and SmallCap Capped Sectors combines constitutents of the GICS? Financials and Real Estate sectors. S&P 500 Ex-Financials & Real Estate excludes members of the GICS Financials and Real Estate sectors.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of July 31, 2023.

INDEX COMPOSITION

30%

U.S. Sector Dashboard

July 31, 2023

25%

20%

Sector Weight

15%

10%

5%

0% Cons Disc

Select Sector Indices

10.6%

S&P MidCap 400 Capped Sector Indices 15.0%

S&P SmallCap 600 Capped Sector Indices 13.6%

Cons Staples

6.6% 4.3% 4.8%

Energy

4.3% 4.5% 5.1%

Financials

12.6% 14.1% 17.4%

Health Care 13.1% 9.2% 10.5%

Industrials Materials

8.5% 22.7% 17.3%

2.5% 7.4% 5.7%

Real Estate 2.5% 7.3% 7.8%

Info Tech

28.0% 10.2% 13.5%

Comm Services

8.7% 2.0% 2.4%

Utilities

2.6% 3.3% 2.0%

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

Momentum

Value Beta Dividend Quality Size

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

Fewer stocks Fewer stocks

... ...

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 sto cks 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 July 31, 2023

COMMENTARY

U.S. Sector Dashboard

July 31, 2023

ThQDSLe...HMV.........diagrams below illustrate factor exposures relative to the S&P 1500 across sectors, from large to small-caps.

Benchmark

For example, large-cap Consumer Discretionary has a tilt away from Low Volatility, which deepens at the mid and small cap levels.

FACTOR TILTS

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

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Consumer Staples Select Sector

S&P MidCap 400 Capped Consumer Staples

S&P SmallCap 600 Capped Consumer Staples

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

Energy Select Sector

S&P MidCap 400 Capped Energy

S&P SmallCap 600 Capped Energy

S&P 500 Ex-Energy

Low_Volatility

Low_Volatility

Low_Volatility

Low_Volatility

Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum

Quality

Benchmark

Value

Dividend

High_Beta

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 July 31, 2023.

FACTOR TILTS Financial Select Sector

S&P MidCap 400 Capped Fin

S&P SmallCap 600 Capped Fin & Real Estate*

U.S. Sector Dashboard

July 31, 2023

S&P 500 Ex-Fin & Real Estate

Low_Volatility

Low_Volatility

Low_Volatility

Low_Volatility

Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum

Quality

Benchmark

Value Quality

Benchmark

Value

Dividend

High_Beta

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Benchmark

Value

Dividend

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

S&P 500 Ex-Health Care Low_Volatility

Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Benchmark

Value

Dividend

High_Beta

Quality

Benchmark

Value

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Industrial Select Sector Low_Volatility

Small_Size

Momentum

S&P MidCap 400 Capped Industrials Low_Volatility

S&P SmallCap 600 Capped Industrials Low_Volatility

Small_Size

Momentum

Small_Size

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Materials Select Sector

Low_Volatility

Small_Size

Momentum

S&P MidCap 400 Capped Materials

Low_Volatility

Small_Size

Momentum

S&P SmallCap 600 Capped Materials

Low_Volatility

Small_Size

Momentum

Quality

Benchmark

Value

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

'*Financials & Real Estate SmallCap Capped Sector combines constitutents of the GICS Financials and Real Estate sectors. Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of July 31, 2023.

Quality

Value

Benchmark

Dividend

High_Beta

FACTOR TILTS

Real Estate Select Sector

Small_Size

Low_Volatility

Momentum

U.S. Sector Dashboard

July 31, 2023

Communication Services Select Sector

Small_Size

Low_Volatility

Momentum

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Benchmark

Value

Dividend

High_Beta

Technology Select Sector

S&P MidCap 400 Capped Info Tech

S&P SmallCap 600 Capped Info Tech

S&P 500 Ex-Info Tech

Low_Volatility

Low_Volatility

Low_Volatility

Low_Volatility

Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum Small_Size

Momentum

Quality

Benchmark

Value Quality

Benchmark

Value

Dividend

High_Beta

Dividend

High_Beta

Quality

Benchmark

Value

Dividend

High_Beta

Quality

Value

Benchmark

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

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

Quality

Value

Benchmark

Dividend

High_Beta

**Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors. Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of July 31, 2023.

SELECTED KEY METRICS - SELECT SECTOR INDICES

METRICS

DIV YIELD

P/E

P/B

P/S

Communication Services

0.9% 42.3

3.2

2.5

Consumer Discretionary

0.8% 37.7

8.9

2.2

Consumer Staples

2.6% 28.3

6.2

1.5

Energy

4.1%

8.0

2.4

1.1

Financials

2.0% 19.0

2.0

2.5

Health Care

1.7% 26.1

4.8

1.8

Industrials Materials

1.7% 23.7

5.6

2.2

2.0% 21.4

3.0

2.0

Real Estate

3.6% 33.5

3.0

6.4

Technology

1.0% 37.5

9.9

6.4

Utilities

3.3% 23.6

2.1

2.3

SELECTED KEY METRICS - S&P MIDCAP 400 CAPPED SECTORS

METRICS

DIV YIELD

P/E

P/B

P/S

Consumer Discretionary

1.5% 13.5

2.3

0.6

Consumer Staples

0.5% 26.7

3.6

0.6

Energy

3.2%

5.8

1.7

0.9

Financials

3.5% 11.9

1.5

1.8

Health Care

0.2% 57.7

3.3

2.5

Industrials

1.0% 20.5

3.4

1.3

Information Technology

0.4% 34.8

3.6

1.2

Materials

1.5% 15.6

2.4

0.9

Utilities & Comm Services** 2.5%

24.3

1.9

1.8

SELECTED KEY METRICS - S&P SMALLCAP 600 CAPPED SECTORS

METRICS

DIV YIELD

P/E

P/B

P/S

Consumer Discretionary

1.5% 13.5

2.3

0.6

Consumer Staples

1.7% 23.6

2.3

0.9

Energy

2.9%

7.1

1.6

0.9

Financials & Real Estate*

4.2% 16.6

1.2

1.8

Health Care

0.2% 384.0 2.6

1.7

Industrials

1.0% 18.5

2.3

0.9

Information Technology

0.2% 42.6

3.0

1.7

Materials

1.0% 18.5

2.3

0.8

Utilities & Comm Services** 1.8%

36.4

1.9

1.1

SELECTED KEY METRICS - S&P 500 EX SECTORS

METRICS

DIV YIELD

P/E

P/B

P/S

Ex-Energy

1.5% 29.1

4.7

2.7

Ex-Financials & Real Estate 1.5%

27.5

5.7

2.6

Ex-Health Care

1.6% 26.2

4.5

2.8

Ex-Information Technology 1.9%

23.1

3.7

2.1

BETA

1.21 1.26 0.58 0.80 0.96 0.65 0.92 1.02 0.97 1.33 0.70

CONSTITUENT VOLATILITY

38.7% 38.5% 22.1% 33.6% 27.1% 25.9% 27.4% 31.1% 28.6% 34.1% 23.5%

BETA

1.22 0.81 1.08 1.00 0.93 1.09 1.28 1.09 0.80

CONSTITUENT VOLATILITY

44.1% 32.0% 45.8% 34.5% 40.6% 33.9% 41.1% 35.4% 30.6%

BETA

1.22 0.72 1.18 1.07 0.99 1.09 1.23 1.19 0.93

CONSTITUENT VOLATILITY

44.1% 34.0% 52.1% 37.6% 44.4% 37.0% 42.8% 41.2% 38.2%

BETA

1.07 1.07 1.11 0.93

CONSTITUENT VOLATILITY

31.2% 32.0% 32.1% 29.9%

U.S. Sector Dashboard

July 31, 2023

RSI - 30 DAY

61.0 58.8 58.3 64.3 64.2 55.8 65.1 62.6 54.6 55.0 52.1

VALUE SCORE

0.08 -0.13 -0.07 0.20 0.15 -0.10 -0.10 0.03 -0.11 -0.24 0.07

GROWTH SCORE

-0.10 0.04 0.15 0.55 0.06 0.26 -0.01 0.15 -0.11 0.15 0.05

RSI - 30 DAY

62.0 65.3 71.8 61.5 54.9 64.6 57.5 61.4 57.3

VALUE SCORE

0.12 0.14 0.13 0.10 -0.20 -0.02 -0.05 0.18 -0.05

GROWTH SCORE

0.05 0.26 0.73 0.13 0.09 0.12 0.04 0.27 0.16

RSI - 30 DAY

60.9 58.7 70.3 62.2 49.4 63.0 56.8 62.7 52.7

VALUE SCORE

0.31 -0.11 0.09 0.01 -0.26 0.04 -0.19 0.02 -0.02

GROWTH SCORE

0.12 0.24 0.38 -0.01 0.13 0.17 0.22 0.21 0.00

RSI - 30 DAY

62.5 62.2 62.7 66.8

VALUE SCORE

-0.09 -0.12 -0.08 -0.01

GROWTH SCORE

0.11 0.14 0.10 0.11

12 10

8 6 4 2 0

Communication Services

Current and Average Adjusted HHI for S&P 500 GICS Sectors*** Average Current Adjusted HHI

COMMENTARY

Industrials had the highest relative strength among sectors across large-caps. Average constituent volatility in the Communication Services sector was the highest among large-caps, outpacing Consumer

Discretionary

For details on definitions of fundamental metrics, please refer to the disclosure section. Value and Growth scores are rescored for the S&P Total Market Index universe annually every December. '*Financials & Real Estate SmallCap Capped Sector combines constitutents of the GICS Financials and Real Estate sectors. **Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors. Source: S&P Dow Jones Indices LLC and/or its affiliates and FactSet. Data as of July 31, 2023.

COMMENTARY

? Dispersion Communication Services declined across most sectors, especially for large-cap Consumer Discretionary.

U.S. Sector Dashboard

July 31, 2023

? Correlations declined across most sectors, with significant decreases for large-cap Industrials and small-cap Materials.

SECTOR DISPERSION AND CORRELATION

0.80

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

Energy (29.11%)

0.70

Average Correlation

0.60 Real Estate (23.27%)

0.50

0.40 Consumer Staples (13.67%)

0.30

0.20

Technology (26.27%) Communication Services (27.01%)

Financials (20.86%) Materials (22.01%)

Industrials (18.92%)

Health Care (14.97%)

S&P 500 (18.72%)

Consumer Discretionary (25.59%)

0.10 13%

15%

17%

19%

21%

23%

25%

27%

29%

31%

33%

Average Dispersion

0.70

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

Average Correlation

0.60

0.50

0.40

Communication Services

0.30

Utilities (18.98%)

Energy (35.92%)

Materials (26.21%)

Real Estate (22.89%) Financials (24.65%) Consumer Discretionary (25.74%) Industrials (22.72%)

Communication Services (20.83%) Consumer Staples (17.65%)

S&P 400 (21.21%)

0.20

Technology (26.82%) Health Care (20.72%)

0.10

10%

15%

20%

25%

30%

35%

40%

45%

50%

Average Dispersion

0.70

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

Utilities (19.42%) 0.60

Energy (41.71%)

0.50

Real Estate (25.49%)

Financials (27.24%)

Materials (27.93%)

0.40

Industrials (23.85%)

Consumer Discretionary (27.67%)

Technology (26.18%)

0.30

Communication Services

(24.94%)

0.20

Consumer Staples (18.05%)

S&P 600 (22.63%)

Health Care (22.52%)

Average Correlation

0.10

10%

15%

20%

25%

30%

35%

40%

45%

50%

Average Dispersion

NOTES

? The charts above decomposed volatility into its two main components: dispersion and correlation. The 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 stock-level index-weighted dispersion over the calendar month. 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 dispersion.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of July 31, 2023. 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 Price/Earnings (P/E) Price/Book (P/B) Price/Sales (P/S)

RSI - 30 Day

NOTES

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 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. 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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