SPDR ETFs Chart Pack - Key Charts to Help Navigate the Market 2020 Bear Market Edition - 2020 Bear Market Edition
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®
SPDR ETFs
Chart Pack
Key Charts to Help Navigate the Market
2020 Bear Market Edition
Please see Appendix B for more information on investment terms used in this Chart Pack.
2996117.1.1.ANZ.RTL 1Asset Class Performance
Global equities tumbled into a bear-market amid the Covid-19 pandemic, while gold gave
back most of its recent gains as investors were forced to sell winners to generate liquidity.
Major Asset Class Performance (%) Return Since 2/20/2020 YTD
10 6.8
3.0 3.8 3.7
5
0.5 0.2 1.3 1.1
0
-5 -1.0 -2.2 -1.8
-4.0 -4.5 -4.4
-10 -8.4 -7.8
-9.9 -8.8
-15 -13.2
-20 The Agg has had gains, as a result of positive returns
-18.5 -18.2
-20.6 from treasuries and mortgages. IG corps fell
-25 -22.9
-25.6 -25.3
-30 -26.4
-35 -33.0 -32.5
-40
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of
any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income. Performance returns for periods of less than one year
are not annualized. US Large Cap: S&P 500 Index; US Small Cap: Russell 2000 Index; Developed Ex-US: MSCI EAFE Index; Agg Bonds: Bloomberg Barclays US Aggregate Index; IG
Corp: Bloomberg Barclays US Corporate Index, Treasuries: Bloomberg Barclays US Treasury Index; MBS: Bloomberg Barclays Mortgage US MBS Index; High Yield: Bloomberg Barclays
US Corporate High Yield Index; Senior Loans: S&P LSTA Leveraged Loan Index; EM Debt: Bloomberg Barclays EM Hard Currency Debt Index; Gold: LBMA Gold Price: Broad
Commodities: Bloomberg Commodity Index; US Dollar: DXY Dollar Index.
2996117.1.1.ANZ.RTL 2Global Equity Performance
The selloff was widespread globally, as over 80% of MSCI ACWI constituents and
most single-county indices fell into a bear market.
Major DM and EM Countries in the MSCI ACWI Index
% of Stocks within Country Trading >20% Below 52-Week High
% Decline from the Country Index Peak Level
120% 0%
- 20% Decline
99% 100% 100%
100% 94% 94% 93% 94% 95% -10%
91% 90% 92% 91%
90% 88% 90%
86% 87% 86%
80% 77% -20%
67%
% of Stocks
% Decline
60% 54% -30%
40% -40%
20% -50%
0% -60%
Japan
Switzerland
Hong Kong
India
Sweden
Ireland
Taiwan
Germany
South Korea
Russia
UK
Italy
China
Brazil
United States
France
South Africa
Australia
Spain
Netherlands
Canada
DM EM
The sell-off has created some tax loss
harvesting opportunities, however
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results.
2996117.1.1.ANZ.RTL 3Historical Bear Markets
Given rich equity valuations to start, and the uncertainty of the economic impacts of the
pandemic, the S&P 500 fell into a bear-market in the shortest amount of time in history
Length and Losses During S&P 500 Historical Bear Markets Since 1980 Asset Class Performance During Historical Bear or Close
From Peak to Trough (Days) Days to Recover Loss to Bear Markets (Peak to Trough)
1800 1694 0
US
Peak Date US Agg Gold S&P 500
1600 Treasuries
1480
-10
10/9/2007 15% 7% 26% -57%
Changes to Price Level (%)
1400
1200 -20 -19 -19 -20 3/24/2000 31% 29% 12% -49%
Days
1000 929 -27 8/25/1987 2% 2% 6% -34%
-30
800 -34 11/28/1980 24% 22% -46% -27%
600 622
600 517 -40 9/20/2018 2% 2% 4% -20%
400 4/23/2010 15% 12% 45% -19%
-49 -50
157 143
200 101 95120 7/17/1998 3% 2% -7% -19%
-57 83 45 86
0 -60 Average 13% 11% 6% -32%
10/2007 03/2000 08/1987 11/1980 9/2018 04/2011 07/1998
Peak Date
It took only 22 days for the S&P 500 to fall Periods when the bear market followed by an
into a bear market in March economic recession
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. US Treasury: Bloomberg Barclays US Treasury Index. US Agg:
Bloomberg Barclays US Aggregate Bond Index. Gold: LBMA Gold Price PM. Fixed income
2996117.1.1.ANZ.RTL 4Sentiment
The sell-off has been swift and on par with other systemic events, with the 15 day
average of absolute day over day changes more than a 3 standard deviation event
S&P 500 15 Day Average of Absolute Day over Day Changes (%) MACD Line minus Signal Line
15 Day Average of Absolute Day over Day Changes
10% Average 30 MACD(12,26) Minus Sig…
1 Standard Deviation
2 Standard Deviation
3 Standard Deviation 20
6 Standard Deviation
8% 10
0
6% -10
5.04%
-20
4% -30
-40
-50
2%
The difference between the MACD line and
-60 Signal Line reinforces the extreme and violent
-57
bearishness expressed over the last 15 days
-70
0% 1979 1983 1988 1993 1997 2002 2006 2011 2016 2020
1927 1940 1953 1966 1979 1992 2005 2018
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. The short-term trend indicator MACD (moving average convergence
divergence) which plots a 12-day moving average less a 26-day moving average against a 9 day average. If the 12-26 (MACD) is above the 9 day, bullish sentiment. If below, bearish.
2996117.1.1.ANZ.RTL 5Sentiment (continued)
The swift risk-off sentiment triggered the largest percentage change for
investment grade and high yield credit spread levels over a 30 day period ever.
30 Day Percent Change in Option Adjusted Spreads 30 Day Percent Change in Option Adjusted Spreads
180% US IG Corp OAS 180% US High Yield OAS
120%
120% 120% 110%
60% 60%
0% 0%
-60% -60%
Sep-00 Dec-03 Mar-07 Jun-10 Sep-13 Dec-16 Mar-20 Sep-00 Dec-03 Mar-07 Jun-10 Sep-13 Dec-16 Mar-20
180% Euro HY OAS 180% Energy HY OAS
143%
120% 107% 120%
60% 60%
0% 0%
-60% -60%
Sep-00 Dec-03 Mar-07 Jun-10 Sep-13 Dec-16 Mar-20 Sep-00 Dec-03 Mar-07 Jun-10 Sep-13 Dec-16 Mar-20
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. This shows the percentage change of OAS levels
2996117.1.1.ANZ.RTL 6Financial Conditions
As volatility in equity, rates and currency markets spiked, financial conditions have
tightened significantly. But, have yet to reach global financial crisis levels
Financial Conditions Index Goldman Sachs US Financial Conditions Index Bloomberg United States Financial Conditions Index
Given the trend, the Fed announced an injection of $1.5 trillion in
105 short-term funding market on March 12th. -14
Tightening
Bloomberg US Financial Conditions Index (Reverse)
Goldman Sachs US Financial Conditions Index
-12
104
-10
103
-8
102 -6
101 -4
-2
100
0
99
2
Easing
98 4
Jan-90 Dec-92 Nov-95 Oct-98 Sep-01 Aug-04 Jul-07 Jun-10 May-13 Apr-16 Mar-19
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. All figures are in USD.
2996117.1.1.ANZ.RTL 7ETF Trends
Equity ETFs have had net outflows since the sell-off began on February 21st. Fixed
Income ETF trading volumes have increased as investors have sought out liquidity
US Focused ETFs Flows and Primary Market Activity FI ETF Trading Volumes versus CBOE VIX Index
as % Stock Volumes
US Focused ETF Gross Primary Activity Fixed Income ETF Trading Volume
US Focused ETF Net Primary Activity CBOE VIX Index
ETFs % of Russell 3000 Volumes
$60 80
$15 5.0%
70
Trading Volume ($ Billions)
$50
% of Russell 3000 Volumes
$10 4.0%
60
Trading Volume ($Billion)
CBOE VIX Index
$40
50
$5 3.0%
$30 40
$0 2.0% 30
$20
20
($5) 1.0%
$10
10
The primary market activity impact, however,
has been low (3% of trading is from ETFs)
($10) 0.0% $0 0
2/3
2/5
2/7
2/9
3/2
3/4
3/6
3/8
2/11
2/13
2/15
2/17
2/19
2/21
2/23
2/25
2/27
2/29
3/10
3/12
Feb Feb Feb Feb Feb Feb Mar Mar Mar Mar Mar Mar Mar Mar Mar
21 22 25 26 27 28 2 3 4 5 6 9 10 11 12
Source: State Street Global Advisors, Bloomberg Finance, L.P. as of March, 12, 2020. US focused ETFs are any ETF with geographic region of focus of the US. All figures are in USD.
2996117.1.1.ANZ.RTL 8Sector Technicals
All sectors fell below their 50-day and 200-day moving averages, although except
for Energy all still trade above their death-cross level (50 < 200)
% of Companies
Last Px % Diff. to 50- Last Px % Diff. to 200- % Diff. Between 50- % of Companies Trading
Trading Above 50
Day MVA Day MVA and 200-Day MVA Above 200 DMA
DMA
Cons. Disc. -14% -11% 3% 2% 3%
Cons. Staples -8% -5% 3% 9% 8%
Energy -37% -42% -7% 4% 0%
Financials -23% -20% 4% 0% 3%
Health Care -10% -3% 7% 5% 17%
Industrials -20% -17% 3% 3% 6%
Tech. -12% -2% 12% 3% 12%
Materials -18% -17% 1% 4% 1%
Comm Svs. -14% -8% 6% 4% 5%
Real Estate -10% -8% 2% 10% 6%
Utilities -10% -4% 6% 0% 9%
Consumer Staples and Health Care have led on technical indicators during the Weak Technical Indicators Strong Technical Indicators
recent selloff, and Tech held stronger than other cyclical sectors
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of March 12, 2020. Past performance is not a guarantee of future results.
2996117.1.1.ANZ.RTL 9Sector Flows & Returns
Flows into Health Care have picked up over the past three months, while high
growth Tech. continues to attract investors’ interest in this risk-off market
Positioning Returns
Global Equity Trailing Three Trailing Twelve
Sector Heatmap March Flow Current Short 1M Prior Short Return Since 12-Month
Months Flow Months Flow YTD Return (%)
($M) Interest (%) Interest (%) 52-Week High Return (%)
($M) ($M)
Cons. Disc. (486) (665) (169) 9.7 7.1 -26.7 -22.0 -10.4
Cons. Staples 638 1,065 3,001 6.5 5.4 -18.8 -16.7 -1.7
Energy 1,286 3,121 2,289 7.9 4.9 -54.5 -50.9 -51.8
Financials (2,044) (6,716) (9,177) 13.3 7.0 -34.6 -33.9 -20.9
Health Care 545 1,477 (4,566) 17.1 14.6 -19.0 -16.8 -4.6
Industrials (227) (823) (1,957) 8.6 4.6 -31.5 -28.4 -19.7
Materials (397) (539) (2,651) 6.6 5.7 -28.3 -29.2 -20.0
Real Estate (1,206) 387 3,393 3.7 3.6 -22.6 -16.2 -5.7
Technology 853 3,704 7,144 3.9 3.0 -26.7 -17.9 6.6
Communications (105) 796 2,432 1.7 1.4 -25.2 -20.3 -7.9
Utilities 422 1,345 4,268 12.8 13.8 -23.1 -15.6 -3.3
Worst-Performing Sector Best-Performing Sector
Real estate saw a reversal of sentiment, likely a Least Flows in Period Most Flows in Period
result of its sensitivity to economic activity
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of March 12, 2020. Past performance is not a guarantee of future results. All figures are in USD.
2996117.1.1.ANZ.RTL 10Flow Trends
Energy funds have witnessed inflows, even as the spot price of oil has fallen and
every stock within the sector is in a bear market
Financial Flows versus 10 year Energy Flows versus Spot Price of Oil
Cumulative Energy Flows Spot price of Oil
Financial Sector ETFs US 10 Year Yield
$5 3.5 $3.0 60
$2.5
$0 3.0 55
Fund Flows ($ Billions)
US 10 Year Yield (%)
Flows ($Billions)
$2.0
($5) 2.5 50
Spot Price of oil
$1.5
($10) 2.0 45
$1.0
($15) 1.5 40
$0.5
($20) The drop in rates has fueled more outflows in 1.0 35
$0.0
the financial sector – a two year trend
Inflows are likely from investors seeking to
short the sector, as short interest has climbed
($25) 0.5 ($0.5) 30
Jan-18 May-18 Sep-18 Jan-19 May-19 Sep-19 Jan-20 2/21 2/23 2/25 2/27 2/29 3/2 3/4 3/6 3/8 3/10 3/12
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of March 12, 2020. Past performance is not a guarantee of future results. All figures are in USD
2996117.1.1.ANZ.RTL 11Rates
After the market crash on March 12, futures market are almost fully pricing in another
50 basis point cut by the Fed during the meeting on March 18th
Future Implied Target Rate Probabilities for March 18th Fed Meeting Yield Curve
As of Current 1-Week Ago Last Month
Target March 11 12/31/2019 2/28/2020 3/12/2020
Range March 12 March 5 February 28
0-25 98.9% 50.2% 0.0% 0.0% 2.4
25-50 1.1% 49.8% 0.0% 0.0%
Yield (%)
1.9
1.8
50-75 0.0% 0.0% 50.9% 0.0%
1.7 1.7
1.6 1.6 1.6 1.6 1.6
75-100 0.0% 0.0% 49.1% 0.0% 1.5
1.3
150-175 0.0% 0.0% 0.0% 96.6% 1.1 1.1
1.5 1.1 1.4
1.0
175-200 0.0% 0.0% 0.0% 3.4% 0.9 0.9 0.9
0.8 0.8
Current Fed fund rate target range is 100-125
0.6 0.7
basis points 0.5
0.3 0.3 0.3 0.3
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
The yield curve steepened during the market selloff as short
term rates fell significantly
Source: CME Group, as of March 12, 2020.
2996117.1.1.ANZ.RTL 12Rates (continued)
The steepest difference between the 10-year yield and its rolling 36-month
exponential moving average (eMVA) indicates buying duration might be expensive
US 10 Year versus Exponential Moving Average Discount to MVA US 10 Year Exponential Moving Average (36 Month)
18 60%
16
40%
Difference to Moving Average
14
US 10 Year Yield (%)
20%
12
0%
10
8 -20%
6
-40%
4
-60%
2 The discount to the eMVA is the steepest ever
at over 60%
0 -80%
Jan-62 May-68 Sep-74 Jan-81 May-87 Sep-93 Jan-00 May-06 Sep-12 Jan-19
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results. The term premium is the excess yield that investors require to commit to
holding a long-term bond instead of a series of shorter-term bonds.
2996117.1.1.ANZ.RTL 13Credit Trends
Spreads of high yield bonds jumped near January 2016 levels, and are now well
above their long-term averages
1 Year Mar
Credit Spreads (%) Credit Spread Changes in Basis Points
590
Bloomberg Barclays US Corporate High Yield Index High Yield CCC & Lower 344
Bloomberg Barclays US Corporate Index 370
US High Yield B Rated 274
Bloomberg Barclays High Yield Energy Index
286
US High Yield BB Rated 197
Energy HY spreads jumped to their
335
highest level ever Broad High Yield
227
20 150
US BBB Rated
113
18 89
IG Corporate
86
16
14 20-Yr Avg
Credit Spread Current vs. 20-Yr Averages (bps)
12 As Of 03/12/2020
IG Corporate 157
10 209
US BBB Rated 164
8 277 HY spreads are now
6 548 32% above their 20-
Broad High Yield 726 year averages
4
US High Yield BB Rated 382
2 530
0 US High Yield B Rated 568
808
US High Yield CCC & Lower 1171
1526
Source: Bloomberg Finance, L.P. BofA Merrill Lynch, as of March 12, 2020. US High Yield CCC & Lower = BofA ML US High Yield CCC & Lower Rated Index. US High Yield B Rated =
BofAML US High Yield B Rated Index. BBB Rated = BofA ML US Investment Grade BBB Rated Index. Broad high yield = Bloomberg Barclays US Corporate High Yield Index. IG Corporate =
Bloomberg Barclays US Corporate Index. Past performance is not a guarantee of future results. Performance of an index is not illustrative of any particular investment. It is not
possible to invest directly in an index. Performance of an index is not illustrative of any particular investment. It is not possible to invest directly in an index.
2996117.1.1.ANZ.RTL 14Credit Trends (Continued)
Spread widening has been prevalent across all sectors, with cyclical sectors
witnessing the most aggressive spread changes
High Yield Industry Performance (% Return, Avg. Spread Change % of High Yield Bonds Trading Below $80
Since 2/21/2020) 75%
Spread Change (Bps
Sector Total Return (%) Change)
Energy -32% 860
Transportation -15% 626
Other Industrial -12% 473
Consumer Cyclical -11% 365
Basic Industry -10% 373
33%
Banking -10% 276
25%
REITs -9% 308
Capital Goods -8% 325
12% 11%
Finance Companies -8% 292 10% 9%
7%
Communications -8% 289 3% 3%
1% 0% 0% 0% 0% 0%
Consumer Non-Cyclical -6% 269
Brokerage Asset Managers
-6% 284
Exchanges
Technology -6% 284
Other Financial -6% 297
Electric -6% 231
Insurance -5% 229
Source: Bloomberg Finance, L.P. as of March 12, 2020. Past performance is not a guarantee of future results.
2996117.1.1.ANZ.RTL 15Appendix A
Fund Flow Summary
Asset Category Prior Month ($M) Year to Date Trailing 3 Months ($M) Trailing 12 Months ($M)
US 24,848 33,639 47,071 162,989
Global 225 343 1,542 4,493
International-Developed -294 12,687 18,874 41,432
Equity Region International-Emerging Markets -2,141 -1,404 2,228 -2,579
International-Region -511 -198 -131 -1,287
International-Single Country -1,605 -4,172 -2,521 -6,376
Currency Hedged -142 -453 -441 -3,317
Broad Market 3,288 11,005 14,130 42,848
Large-Cap 23,146 21,008 32,414 111,719
Mid-Cap -1,455 -1,211 -727 -240
US Size & Style
Small-Cap -99 -1,783 -821 5,391
Growth -1,130 2,291 2,684 9,987
Value -63 -1,185 742 13,795
Aggregate 1,105 17,558 21,966 65,122
Government 11,416 20,043 19,843 42,447
Inflation Protected -188 194 948 2,241
Mortgage-Backed -1,282 4,244 5,099 14,124
IG Corporate -3,251 -396 647 18,277
Fixed Income Sectors High Yield Corp. -202 -5,669 -4,711 7,507
Bank Loans -867 -2,309 -2,033 -2,126
EM Bond -1,253 -1,378 -441 -3,374
Preferred -636 1,191 1,475 7,371
Convertible -112 -137 -82 269
Municipals -379 2,897 3,523 13,225
Ultra Short 6,611 6,489 7,114 9,281
Government ETF Short Term 4,969 7,125 7,305 12,850
Maturity Focus Intermediate -23 3,980 3,569 11,663
Long Term (>10 yr) -310 2,156 1,590 8,556
Source: State Street Global Advisors, Bloomberg Finance, L.P. As of March 12, 2020. Segments with top 2 inflows in each category are shaded in green. Segments with bottom
2 flows in each category are shaded in orange. Sectors, asset classes and flows are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. All
figures are in USD.
2996117.1.1.ANZ.RTL 16Appendix B
Definitions
Basis Point: One hundredth of one percent, or 0.01%. Bloomberg Barclays US Treasury 1–3 Year Index: The Index is designed to measure
the performance of short term (1–3 years) public obligations of the US Treasury.
Bloomberg Barclays EM USD Aggregate Index: The index is a hard currency emerging
markets debt benchmark that includes US dollar-denominated debt from sovereign, quasi- Bloomberg Barclays US Treasury Bill 1–3 Months Index: The Bloomberg Barclays
sovereign, and corporate issuers in the developing markets. 1–3 Month US Treasury Bill Index (the "Index") is designed to measure the performance
of public obligations of the US Treasury that have a remaining maturity of greater than or
Bloomberg Barclays Global Aggregate Bond Index: A benchmark that provides a equal to 1 month and less than 3 months.
broad-based measure of the global investment-grade fixed income markets. The three
major components of this index are the US Aggregate, the Pan-European Aggregate, and Bloomberg Commodity Index: Bloomberg Commodity Index (BCOM) is calculated
the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen on an excess return basis and reflects commodity futures price movements. The index
corporate bonds, Canadian government, agency and corporate securities, and USD rebalances annually weighted 2/3 by trading volume and 1/3 by world production and
investment-grade 144A securities. weight-caps are applied at the commodity, sector and group level for diversification.
Bloomberg Barclays Global Aggregate Bond Index: The Bloomberg Barclays Global Bloomberg Barclays US High Yield Index: The Bloomberg USD High Yield Corporate
Aggregate Index is a flagship measure of global investment grade debt from twenty-four Bond Index is a rules-based, market-value weighted index engineered to measure publicly
local currency markets. This multi-currency benchmark includes treasury, government- issued non-investment grade USD fixed-rate, taxable, corporate bonds. To be included in
related, corporate and securitized fixed-rate bonds from both developed and emerging the index a security must have a minimum par amount of 250MM.
markets issuers.
Bloomberg Barclays US Aggregate Index: A benchmark that provides a measure of the Bloomberg Barclays US Treasury Index: The Bloomberg US Treasury Bond Index is
performance of the US dollar denominated investment grade bond market, which includes a rules-based, market-value weighted index engineered to measure the performance
investment grade government bonds, investment grade corporate bonds, mortgage pass and characteristics of fixed rate coupon US Treasuries which have a maturity greater
through securities, commercial mortgage backed securities and asset backed securities than 12 months. To be included in the index a security must have a minimum par amount
that are publicly for sale in the US. of 1,000MM.
Bloomberg Barclays US Corporate 1–3 Year Index: The Index includes publicly issued Credit Spread: A credit spread is the difference in yield between a US Treasury bond and
US dollar denominated corporate issues that have a remaining maturity of greater than or a debt security with the same maturity but of lesser quality.
equal to 1 year and less than 3 years, are rated investment grade. Current Short Interest (%): The percentage of tradable outstanding shares which have
Bloomberg Barclays US Corporate Bond Index: The Bloomberg Barclays US Corporate been shorted. Used as a measure of investor sentiment.
Bond Index measures the investment grade, US dollar-denominated, fixed-rate, taxable
corporate and government related bond markets. It is composed of the US Corporate
Index and a non-corporate component that includes foreign agencies, sovereigns,
supranationals and local authorities.
Bloomberg Barclays US Corporate High Yield Index: The index consists of fixed rate,
high yield, USD-denominated, taxable securities issued by US corporate issuers.
Bloomberg Barclays US Mortgage Backed Securities Index: The index consists of US
Mortgage Backed Securities.
2996117.1.1.ANZ.RTL 17Appendix B (continued)
Definitions
DXY Dollar Index: The DXY Dollar Index tracks the performance of a basket of foreign exposure to emerging markets.
currencies issued by US major trade partners, including Eurozone, Japan, U.K. Canada,
Sweden and Switzerland, versus the US Dollar. Risk on: Used to describe investment sentiment when investors’ risk tolerance increases.
Excess Returns: A security’s return minus the return from another security in the same RSI: The relative strength index (RSI) is a momentum indicator that measures the
time period. magnitude of recent price changes to evaluate overbought or oversold conditions in the
price of a stock or other asset.
Global Industry Classification Standard (GICS): An industry taxonomy developed in
1999 by MSCI and Standard & Poor’s (S&P) for use by the global financial community. Russell 2000 Index: A benchmark that measures the performance of the small-cap
The GICS structure consists of 10 sectors, 24 industry groups, 67 industries and segment of the US equity universe.
156 sub-industries [1] into which S&P has categorized all major public companies.
S&P/LSTA US Leveraged Loan 100 Index: The S&P/LSTA US Leveraged Loan 100
Implied Volatility: The estimated volatility of a security’s price. In general, implied
Index is designed to reflect the largest facilities in the leveraged loan market.
volatility increases when the market is bearish and decreases when the market is bullish.
This is due to the common belief that bearish markets are more risky than bullish markets.
S&P 500 Communication Services Sector Index: The Index comprises of those
MSCI Canada Index: An equities benchmark that captures large- and mid-cap companies included in the S&P 500 that are classified as members of the GICS ®
representation in Canada. Communication Services sector.
MSCI Germany Index: An equities benchmark that captures large- and mid-cap S&P 500 Consumer Discretionary Index: The Index comprises of those companies
representation in Germany. included in the S&P 500 that are classified as members of the GICS ® consumer
discretionary sector.
MSCI EAFE Index: An equities benchmark that captures large- and mid-cap
representation across developed market countries around the world, excluding the S&P 500 Consumer Staples Index: The Index comprises of those companies included in
US and Canada. the S&P 500 that are classified as members of the GICS ® consumer staples sector.
MSCI Emerging Market Index: The MSCI Emerging Markets Index captures large and S&P 500 Financial Sector Index: The Index comprises of those companies included in
mid-cap representation across 23 emerging markets countries. With 834 constituents, the S&P 500 that are classified as members of the GICS ® financial sector.
the index covers approximately 85% of the free float-adjusted market capitalization in
each country. S&P 500 Health Care Sector Index: The Index comprises of those companies included in
MSCI Europe Index: The MSCI Europe Index is a free-float weighted equity index the S&P 500 that are classified as members of the GICS ® health care sector.
designed to measure the equity market performance of the developed markets in Europe.
S&P 500 Index: A popular benchmark for US large-cap equities that includes 500
MSCI Japan Index: The MSCI Europe Index is a free-float weighted equity index companies from leading industries and captures approximately 80% coverage of available
designed to measure the equity market performance of the developed markets in Japan. market capitalization.
MSCI USA Index: The MSCI World Index, which is part of The Modern Index Strategy, is
a broad global equity benchmark that represents large and mid-cap equity performance
across 23 developed markets countries. It covers approximately 85% of the free float-
adjusted market capitalization in each country and MSCI World benchmark does not offer
2996117.1.1.ANZ.RTL 18Appendix B (continued)
Definitions
S&P 500 Industrial Sector Index: The Index comprises of those companies included in A z-score can be calculated from the following formula. z = (X - μ) / σ where z is the
the S&P 500 that are classified as members of the GICS ® industrial sector. z-score, X is the sector relative performance. μ is the mean of the eleven sector relative
performance, and σ is the standard deviation of sectors’ relative performance.
S&P500 Information Technology Sector Index: The Index comprises of those
companies included in the S&P 500 that are classified as members of the GICS ® Bloomberg Barclays US FRN < 5yr Index: The Bloomberg Barclays US Dollar Floating
information technology sector. Rate Note < 5 Years Index consists of debt instruments that pay a variable coupon rate, a
majority of which are based on the 3-month LIBOR, with a fixed spread.
S&P 500 Materials Sector Index: The Index comprises of those companies included in Bloomberg Barclays U.S. MBS Index: (the "MBS Index") measures the performance
the S&P 500 that are classified as members of the GICS ® materials sector. of the U.S. agency mortgage pass-through segment of the U.S. investment grade
bond market.
S&P 500 Real Estate Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS ® real estate sector. MSCI France Index: An equities benchmark that captures large- and mid-cap
representation in France.
S&P 500 Utilities Index: The Index comprises of those companies included in the S&P
500 that are classified as members of the GICS® utilities sector. MSCI UK Index: An equities benchmark that captures large- and mid-cap representation
in UK.
Spread Changes: Changes in the spread between Treasury securities and non-Treasury
MSCI Russia Index: An equities benchmark that captures large- and mid-cap
securities that are identical in all respects except for quality rating.
representation in Russia.
Standard Deviation: Measures the historical dispersion of a security, fund or index MSCI Brazil Index: An equities benchmark that captures large- and mid-cap
around an average. Investors use standard deviation to measure expected risk or representation in Brazil.
volatility, and a higher standard deviation means the security has tended to show higher
volatility or price swings in the past. MSCI India Index: An equities benchmark that captures large- and mid-cap
representation in India.
Yield: The income produced by an investment, typically calculated as the interest received
annually divided by the investment’s price.
Yield Curve: A graph or line that plots the interest rates or yields of bonds with similar
credit quality but different durations, typically from shortest to longest duration. When the
yield curve is said to be flat, it means the difference in yields between bonds with shorter
and longer durations is relatively narrow. When the yield curve is said to be steepened, it
means the difference in yields between short term and long term bonds increases.yield
relative to the broad market, and which have demonstrated dividend sustainability and
persistence.
Yield to Worst: Yield to worst is an estimate of the lowest yield that you can expect to
earn from a bond when holding to maturity, absent a default. It is a measure that is used in
place of yield to maturity with callable bonds.
Z-score: It indicates how many standard deviations an element is from the mean.
2996117.1.1.ANZ.RTL 19Appendix C
Important Disclosures
Issued by State Street Global Advisors, Australia Services Limited (AFSL Number 274900, Companies with large market capitalizations go in and out of favor based on market
ABN 16 108 671 441) ("SSGA, ASL"). Registered office: Level 15, 420 George Street, and economic conditions. Larger companies tend to be less volatile than companies
Sydney, NSW 2000, Australia · Telephone: 612 9240-7600 · Web: www.ssga.com. with smaller market capitalizations. In exchange for this potentially lower risk, the value
of the security may not rise as much as companies with smaller market capitalizations.
SSGA, ASL is the issuer of interests and the Responsible Entity for the ETFs which are
Australian registered managed investment schemes quoted on the AQUA market of the Value stocks can perform differently from the market as a whole. They can remain
ASX or listed on the ASX. undervalued by the market for long periods of time.
This material is general information only and does not take into account your individual Foreign investments involve greater risks than US investments, including political and
objectives, financial situation or needs and you should consider whether it is appropriate economic risks and the risk of currency fluctuations, all of which may be magnified in
for you. emerging markets.
The views expressed in this material are the views of SPDR Americas Research Team Because of their narrow focus, sector funds tend to be more volatile.
and are subject to change based on market and other conditions. This document contains
certain statements that may be deemed forward-looking statements. Please note that any Commodities investing entail significant risk as commodity prices can be extremely
such statements are not guarantees of any future performance and actual results or volatile due to wide range of factors Bond funds contain interest rate risk (as interest rates
developments may differ materially from those projected. Past performance is not a rise bond prices usually fall); the risk of issuer default; issuer credit risk; liquidity risk; and
reliable indicator of future performance. inflation risk.
All the index performance results referred to are provided exclusively for comparison Asset Allocation is a method of diversification which positions assets among major
purposes only. It should not be assumed that they represent the performance of any investment categories. Asset Allocation may be used in an effort to manage risk and
particular investment. enhance returns. It does not, however, guarantee a profit or protect against loss.
Bonds generally present less short-term risk and volatility than stocks, but contain interest Investing in foreign domiciled securities may involve risk of capital loss from unfavorable
rate risk (as interest rates rise, bond prices usually fall); issuer default risk; issuer credit fluctuation in currency values, withholding taxes, from differences in generally accepted
risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term accounting principles or from economic or political instability in other nations.
securities. Any fixed income security sold or redeemed prior to maturity may be subject to
a substantial gain or loss. Investments in emerging or developing markets may be more volatile and less liquid than
investing in developed markets and may involve exposure to economic structures that are
The values of debt securities may decrease as a result of many factors, including, by generally less diverse and mature and to political systems which have less stability than
way of example, general market fluctuations; increases in interest rates; actual or those of more developed countries.
perceived inability or unwillingness of issuers, guarantors or liquidity providers to make
scheduled principal or interest payments; illiquidity in debt securities markets; and Currency Risk is a form of risk that arises from the change in price of one currency against
prepayments of principal, which often must be reinvested in obligations paying interest at another. Whenever investors or companies have assets or business operations across
lower rates. national borders, they face currency risk if their positions are not hedged.
Equity securities may fluctuate in value in response to the activities of individual
companies and general market and economic conditions.
Investments in small-sized companies may involve greater risks than in those of larger,
better known companies.
Investments in mid-sized companies may involve greater risks than in those of larger,
better known companies, but may be less volatile than investments in smaller companies.
2996117.1.1.ANZ.RTL 20Appendix C
Important Disclosures
There are risks associated with investing in Real Assets and the Real Assets sector, circumstances may any person or entity claim any affiliation with MSCI without the prior
including real estate, precious metals and natural resources. Investments can be written permission of MSCI.
significantly affected by events relating to these industries.
BLOOMBERG and BLOOMBERG INDEXES are trademarks or service marks of
Exchange traded funds (ETFs) trade like stocks, are subject to investment risk and will Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively,
fluctuate in market value. The value of the investment can go down as well as up and the "Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG
return upon the investment will therefore be variable. Changes in exchange rates may INDEXES. Bloomberg Finance L.P. and its affiliates (collectively, "Bloomberg") do not
have an adverse effect on the value, price or income of an investment. Further, there is no approve or endorse this material and disclaim all liability for any loss or damage of any
guarantee an ETF will achieve its investment objective. kind arising out of the use of all or any part of this material.
Investing involves risk including the risk of loss of principal. Source: Barclays POINT/Global Family of Indices ® 2019 Barclays Inc. Used with
permission.
The information provided does not constitute investment advice and it should not be relied
on as such. It should not be considered a solicitation to buy or an offer to sell a security. It Russell Investment Group is the source and owner of the trademarks, service marks and
does not take into account any investor's particular investment objectives, strategies, tax copyrights related to the Russell Indexes. Russell Indices are trademarks of Russell
status or investment horizon. You should consult your tax and financial advisor. All Investment Group.
material has been obtained from sources believed to be reliable. There is no
representation or warranty as to the accuracy of the information and State Street shall The whole or any part of this work may not be reproduced, copied or transmitted or any of
have no liability for decisions based on such information. its contents disclosed to third parties without SSGA ASL’s express written consent.
The trademarks and service marks referenced herein are the property of their respective © 2020 State Street Corporation — All Rights Reserved.
owners. Third party data providers make no warranties or representations of any kind Tracking Code: 2996117.1.1.ANZ.RTL
relating to the accuracy, completeness or timeliness of the data and have no liability for Expiration Date: 31/03/2021
damages of any kind relating to the use of such data.
Standard & Poor’s, S&P and SPDR are registered trademarks of Standard & Poor/s
Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones
Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use
by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State
Street Corporation. State Street Corporation’s financial products are not sponsored,
endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and
third party licensors and none of such parties make any representation regarding the
advisability of investing in such product(s) nor do they have any liability in relation thereto,
including for any errors, omissions, or interruptions of any index.
MSCI indices are the exclusive property of MSCI Inc. ("MSCI"). MSCI and the MSCI index
names are service mark(s) of MSCI or its affiliates and have been licensed for use for
certain purposes by State Street Global Advisors ("SSGA"). The financial securities
referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no
liability with respect to any such financial securities. No purchaser, seller or holder of this
product, or any other person or entity, should use or refer to any MSCI trade name,
trademark or service mark to sponsor, endorse, market or promote this product without
first contacting MSCI to determine whether MSCI's permission is required. Under no
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