SPDR ETFs Chart Pack Key Charts to Help Navigate the Market and to Highlight the 20-year Evolution of ETF Investing in Australia August 2021 Edition
←
→
Page content transcription
If your browser does not render page correctly, please read the page content below
®
SPDR ETFs
Chart Pack
Key Charts to Help Navigate the Market and
to Highlight the 20-year Evolution of ETF Investing in Australia
August 2021 Edition
Please see Appendix D for more information on investment terms used in this Chart Pack.
3705134.1.1.ANZ.RTL 1Table of Contents
1. 2. 3.
20 Years and Just Getting Global Market Environment Flows, Fundamentals
Started & Factors
Australian ETP Market Capitalisation Asset Class Performance Flow Trends
ETF Trading Volume in Australia Investor Confidence Global Manufacturing and Services
Investing in Australia’s First ETFs Futures Positioning Global COVID Cases and Vaccination
Australian Equity Sector Performance Chinese Equity Selloff Global Valuation
Australian Asset Class Performance Cross-Asset Volatility Global Momentum
Global Earnings
3. 2.
Sectors Fixed Income US Factor Trends
Sector Flows & Returns Fixed Income Sector Performance
Value versus Growth
Thematic Sector Flows & Returns Yield Curve
Sector Scorecard Treasury Yield Momentum
Sector Earnings Real Yields
Bond Market Opportunities
Credit Trends
3705134.1.1.ANZ.RTL 21. Twenty Years and Just
Getting Started
Australia
3705134.1.1.ANZ.RTL 3Australian ETP Market Capitalisation
Much of the growth has happened in the past five years. In mid-2016, the total AUM of
ETFs in Australia was $22.4 billion. The market has almost quintupled since then.
Million (AUD)
250,000 If the CAGR of 25% p.a. continues for the next three
years, the ETP market will double to $220 billion.
200,000
150,000
100,000
50,000
0
2002
2003
2006
2009
2010
2012
2013
2016
2019
2020
2023
2001
2004
2005
2007
2008
2011
2014
2015
2017
2018
2021
2022
2024
CAGR is the Compound Annual Growth Rate.
Source: ASX, State Street Global Advisors as of 30 June 2021 .
The above forecast from 2022 to 2024 is an estimate based on a CAGR of Australian ETP growth maintaining 25%p.a. over the per iod forecast. This information is included for illustrative
purposes only. There is no guarantee that the estimates will be achieved.
3705134.1.1.ANZ.RTL 4ETF Trading Volume in Australia
Today, investors use ETFs for a variety of purposes including strategic or tactical asset
allocation, transition management, and portfolio hedging, to name just a few. Resulting
ETF trading volumes have grown an at annualized rate of 32% over the past ten years.
ETF Trading Volume in Australia (AUD)
$18bn
$16bn ETFs reached record trading volumes in March 2020
$14bn
$12bn
$10bn
$8bn
$6bn
$4bn
$2bn
$0bn
Source: Bloomberg Finance, L.P., State Street Global Advisors as of 31 July 2021.
3705134.1.1.ANZ.RTL 5Investing in Australia’s First ETFs
$100,000 in the SPDR® S&P® /ASX 200 Fund (STW) would have turned into $487,890.
The same investment in SPDR® S&P® /ASX 50 Fund (SFY) would be worth $462,296.
Growth of $100,000 (AUD) SPDR S&P/ASX 200 Fund SPDR S&P/ASX 50 Fund
500,000
450,000
400,000
350,000
300,000
250,000
200,000
150,000
100,000
50,000
-
Aug-02
Aug-05
Aug-08
Aug-11
Aug-12
Aug-15
Aug-18
Aug-01
Aug-03
Aug-04
Aug-06
Aug-07
Aug-09
Aug-10
Aug-13
Aug-14
Aug-16
Aug-17
Aug-19
Aug-20
Feb-04
Feb-07
Feb-10
Feb-11
Feb-13
Feb-14
Feb-17
Feb-20
Feb-02
Feb-03
Feb-05
Feb-06
Feb-08
Feb-09
Feb-12
Feb-15
Feb-16
Feb-18
Feb-19
Feb-21
Source: State Street Global Advisors as of 30 June 2021.
Past Performance is not a reliable indicator of future results. Total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any.
Cumulative total returns are reported as of the period indicated. The performance contained herein is provided on a net of fees basis, before taxes but after management and transaction
costs. Returns have been calculated assuming reinvestment of all distributions and is calculated in AUD.
3705134.1.1.ANZ.RTL 6Australian Asset Class Performance
Since the launch of the first ETF in the Australian market, a diversified and broad market
exposure to the ASX 200 would have quadrupled an investors return…
Cumulative Asset Class Returns Over 20 Years
450.0%
416.4%
311.1%
300.0%
275.6%
217.8%
199.2% 198.7%
150.0%
0.0%
ASX 200 ASX 200 Small Ords A-REITs Australian Composite Australian Government Australian Corporate
Bonds Bonds Bonds
Source: Bloomberg Finance, L.P., State Street Global Advisors as of 31 July 2021. Past Performance is not a reliable indicator of future results. Index returns reflect capital gains and
losses, income, and the reinvestment of dividends. Index returns are unmanaged and do not reflect the deduction of any fees o r expenses.
3705134.1.1.ANZ.RTL 7Australian Equity Sector Performance
…despite some ASX 200 sectors lagging.
Cumulative Sector Returns Over 20 Years
800%
600%
400%
200%
0%
-200%
Source: Bloomberg Finance, L.P., State Street Global Advisors as of 31 July 2021. Past Performance is not a reliable indicator of future results. Index returns reflect capital gains and
losses, income, and the reinvestment of dividends. Index returns are unmanaged and do not reflect the deduction of any fees o r expenses.
3705134.1.1.ANZ.RTL 82. Global Market
Environment
3705134.1.1.ANZ.RTL 9Asset Class Performance
US Large caps outperformed small caps and other developed markets in July,
as mega tech. stocks lifted markets to new highs.
Major Asset Class Performance (%) Trailing 3 Month YTD Prior Month
25 23.3
Gold prices gained on declining real yields last month,
20 18.0 18.0 while broad commodities continued to rally
15 13.3
10.1
10
6.6
5.5
5 3.8 4.0 3.3 3.3
3.0 2.4 2.5
2.2 2.0 1.5 3.6
2.4 0.2 1.4 0.9 1.0
0.4 1.1 0.4 0.6 1.4 0.4 1.8
0.8 0.1 0.0 0.1
0
-0.5 -0.5 -0.2 -0.9 -0.3
-1.5 -3.6 -1.3
-5 -3.3
-4.4 -6.7
-10
Source: Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator 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 fo r periods of less than one year
are not annualized. US Large Cap: S&P 500 Index; US Mid Cap: S&P 400 MidCap Index; US Small Cap: Russell 2000 Index; Developed E x-US: MSCI EAFE Index; Emerging Markets:
MSCI Emerging Markets 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 Lo ans: 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 Dolla r: DXY Dollar Index.
3705134.1.1.ANZ.RTL 10Investor Confidence
Global investor confidence ticked higher, supported by upbeat investor sentiment in
the US even as Asian investor confidence was a detractor.
State Street Confidence Index State Street Investor Confidence Index One-Year Moving Average
140
The global index moved above the neutral level first
time since January
120
100
80
60
Apr 01 Oct 02 Apr 04 Oct 05 Apr 07 Oct 08 Apr 10 Oct 11 Apr 13 Oct 14 Apr 16 Oct 17 Apr 19 Oct 20
Source: Bloomberg Finance, L.P., as of July 31, 2021. State Street Confidence Index Measures investor confidence or risk appe tite quantitatively by analyzing the actual buying and
selling patterns of institutional investors. The index assigns a precise meaning to changes in investor risk appetite: the great er the percentage allocation to equities, the higher risk appetite
or confidence. A reading of 100 is neutral; it is the level at which investors are neither increasing nor decreasing their lo ng-term allocations to risky assets. The results shown represent
current results generated by State Street Investor Confidence Index. The results shown were achieved by means of a mathematic al formula in addition to transactional market data and
are not indicative of actual future results, which could differ substantially.
3705134.1.1.ANZ.RTL 11Futures Positioning
US Dollar futures positions turned positive first time in more than a year last month,
while traders also covered their short positions on Treasuries.
US Dollar Futures Positioning US Treasuries Futures Positioning
Z-score of 4-week moving average net positions
Futures Net Positions Bloomberg Dollar Spot Index 5-Year Treasury Futures 10-Year Treasury Futures
200-Day MA 100-Day MA 2-Year Treasury Futures
50-Day MA
105 400 3.0
300 2.0
100
200 1.0
Positions (‘000)
Index level
95
z-score
100 0.0
0 -1.0
90
-100 -2.0
85
-200 -3.0
80 -300 -4.0
The US dollar broke above its golden cross level in July
Source: Bloomberg Finance L.P., as of 07/31/2021. z-score is calculated using 5-year average and standard deviation of 4-week moving average of net positions.
3705134.1.1.ANZ.RTL 12Chinese Equity Selloff
Onshore and offshore Chinese equities have decoupled since March, as increasing regulatory
risks and geopolitical tensions weigh on certain industries and US-listed Chinese companies.
Chinese Equity Indices’ Cumulative Performance July 2021 Return Contribution by Sectors
NASDAQ Golden Dragon China Index (US-Listed) MSCI China Index MSCI China A Onshore Index
MSCI China Index (All Listing)
MSCI China A Onshore index (Shanghai and Shenzhen Listed)
190
Consumer Discretionary -5.1
-0.8
170 2021 Max Drawdown: Communication Services -3.2
-0.2
NASDAQ Golden Dragon China Index: 48% -1.0
Financials -1.8
MSCI China Index: 31%
150
Normalized Index Level
MSCI China A Onshore index: 15% Health Care -1.0
-1.1
Real Estate -0.8
130 -0.3
Consumer Staples -0.7
-2.3
110 -0.4
Information Technology 0.6
Industrials -0.3
90 0.1
Energy -0.1
-0.0
70 Utilities 0.0
-0.1
Materials 0.1
1.2
50
The crackdown on private after-class education and
internet platforms detracted offshore equity markets
(e.g. US listed) more
Source: Bloomberg Finance L.P., FactSet, as of 07/31/2021.
3705134.1.1.ANZ.RTL 13Cross-Asset Volatility
Rate implied volatility jumped back to April levels, while volatility of other major
assets stayed below their historical median.
Cross-Asset Implied Volatility Jul-21 Jun-21 Apr-21 One-Year Ago Cross-Asset Dispersion
Percentile Rank of Daily Average, Three-Year Percentile Rank, Three-Year
89% 66%
83% 63%
71% 77%
57%
69% 69%
57% 43%
43% 43%
46% 40%
40% 40%
34% 37% 37%
31% 31%
29%
23%
17% 14% 11%
9%
Currency Rates Oil S&P 500 Index Emerging U.S. High Yield Cross-Asset Class Dispersion
Markets Equity Corporate Bonds
The selloff of Chinese equity stoked emerging markets volatility but with little impacts on
other risk assets
Source: Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a guarantee of future results. Currency-implied volatility is measured by the J.P. Morgan Global FX
Volatility Index. Rates-implied volatility is measured by the MOVE Index. Oil -implied volatility is derived from oil future contracts. Emerging markets-implied volatility is measured by the
CBOE Emerging Markets ETF Volatility Index. High Yield bond -implied volatility is measured by the CBOE High Yield Corporate Bond ETF Volatility Index. Cross-asset dispersion is
measured by standard deviation of monthly returns of S&P 500, Russell 2000, Russell 3000 Growth, Russell 3000 Value, MSCI Eme rging Markets, MSCI World ex-USA, Bloomberg
Barclays US Aggregate, US Corporate High Yield, EM USD Aggregate, EM Local Currency Government, S&P/LSTA US Leveraged Loan 10 0, Bloomberg Commodity Indices, LBMA
Gold Price PM.
3705134.1.1.ANZ.RTL 143. Flows,
Fundamentals
& Factors
3705134.1.1.ANZ.RTL 15Flow Trends
Strong flows into US equity focused ETFs lifted their assets to a record high, while
developed equity funds gained most assets on a relative basis.
Flows by Equity Regions Fixed Income Top and Bottom 3 Sectors
Jul. Month to Date (% of Start-of-Month AUM) Jul. Month to Date (% of Start-of Month-AUM)
Top 3 Bottom 3
25 2% 12,000 5%
10,513
20.6 2%
10,000 4%
% AUM Grow th from Flow s
% AUM Grow th from Flow s
20 2%
1% 8,000 3%
Flow s ($M)
Flow s ($B)
15 1% 6,000 2%
1%
9.8 4,000 3,598 1%
10 1%
2,115
1% 2,000 0%
5 0%
2.8 1.7 0 -1%
1.5 0.9 0%
0.4 0.1 -633 -415
0 0% -2,000 -1,177 -2%
High yield has been in outflows all year, as below investment
grade investors have favored loans for income in this market
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of July 31, 2021. Sectors, asset classes and flows are as o f the date indicated, are subject to change, and
should not be relied upon as current thereafter. This information should not be considered a recommendation to invest in a pa rticular sector shown. It is not known whether the sectors
shown will be profitable in the future. All figures are in USD.
3705134.1.1.ANZ.RTL 16Flow Trends (Continued)
While flows into defensive sectors outpaced cyclicals last month, bond investors
continue to position for a higher inflationary regime.
Defensive versus Cyclical Sector Flows TIPS Rolling Flows versus Inflation
$ Billions Rolling Six-month Flows Rolling Twelve-month Flows
PCE YoY Change (%)
15 35 4.0
30 3.5
10
PCE Year-over-Year Change (%)
25
3.0
5
20
Flow s ($ Billions)
2.5
0
15
2.0
-5 10
1.5
5
-10
1.0
0
-15
-5 0.5
-20 -10 0.0
Nov-04 Aug-07 May-10 Feb-13 Nov-15 Aug-18 May-21 Oct-05 Oct-08 Oct-11 Oct-14 Oct-17 Oct-20
The $5 billion into defensives and the $7 billion out of cyclicals
represents a $12 billion differential, the largest ever in favor of defensives
Source: Bloomberg Finance L.P., State Street Global Advisors, as of July 31, 2021. Past performance is not a reliable indicator of future results . All figures are in USD.
3705134.1.1.ANZ.RTL 17Global Manufacturing and Services
While US service activity lost growth momentum, the Eurozone service sector is
expanding at its fastest pace in 15 years.
Markit PMI Services Markit PMI Manufacturing
Eurozone US Emerging Markets Global Eurozone US Emerging Markets Global
80 70
Expansion
Expansion
70 65
60 60
50 55
40 50
30 45
20 40
Contraction
Contraction
10 35
0 30
Emerging markets have lagged developed peers in both
services and manufacturing activity
Source: Bloomberg Finance, L.P., as of July 31, 2021.
3705134.1.1.ANZ.RTL 18Global COVID Cases and Vaccination
The Delta variant has caused surging new cases in the US and Europe, but the
fatality rates are well below previous peaks thanks to inoculation progress.
Daily New Confirmed COVID-19 Cases Received one dose vs. full dose of COVID-19 Vaccine
Rolling seven-day average, per Million people of the population % of total population
Brazil European Union Europe have exceeded or been on Atleast One Shot
India South Africa par with the US in vaccinations People Fully Vaccinated
United Kingdom United States
69
1,000 59 57 56
49 49 49
900 27
20
5 10 8
800
700 South Africa India Brazil European United United
Union States Kingdom
600
COVID-related New Deaths
500 Rolling seven-day average, per Million people of the population
400 South Africa United Kingdom United States
20
300
15
200 10
100 5
0 0
Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21
Source: Our World in Data, L.P. as of July 31, 2021.
3705134.1.1.ANZ.RTL 19Global Valuation
Valuations of US small caps and value stocks have become even more attractive as of
late, while developed ex-US equities appear more attractive than US large caps.
Absolute & Relative Valuation Z-Score* and 15-Year Percentile Ranking Bottom 3 Expensive Valuation Top 3 Attractive Valuation
Valuation to Region History (Percentile) Absolute Valuation Relative to S&P 500 (Percentile) Relative
Valuation
Valuation
Com posite
P/E NTM P/E P/B P/S P/E NTM P/E P/B P/S Z-Score
Z-Score
S&P 500 98% 93% 100% 100% 2.82 — — — — —
S&P MidCap 400 Index 92% 74% 98% 98% 1.74 6% 0% 4% 6% -1.92
US/Style/Region
S&P Sm allCap 600 Index 79% 36% 75% 97% 0.53 0% 0% 4% 6% -2.14
S&P 500 Value 92% 93% 99% 99% 2.22 21% 3% 5% 7% -1.42
S&P 500 Grow th 98% 98% 100% 100% 3.06 77% 100% 99% 94% 2.05
MSCI EAFE 92% 90% 86% 98% 1.65 16% 0% 0% 3% -1.64
MSCI Europe 98% 90% 90% 99% 1.80 21% 1% 1% 5% -1.54
MSCI EM 89% 68% 70% 94% 0.97 1% 0% 0% 0% -1.45
MSCI Canada 79% 58% 86% 100% 1.10 0% 0% 6% 7% -1.80
MSCI Japan 87% 72% 78% 98% 0.64 10% 1% 0% 1% -1.17
Major Countries
MSCI Germ any 88% 89% 82% 99% 1.28 3% 0% 0% 1% -1.91
MSCI France 99% 93% 90% 100% 2.35 85% 13% 6% 22% -0.50
MSCI UK 86% 48% 59% 99% 0.85 25% 0% 3% 8% -1.78
MSCI China 76% 78% 63% 76% 0.39 5% 24% 0% 6% -0.87
MSCI Russia 84% 66% 76% 82% 0.41 37% 7% 16% 36% -0.72
MSCI Brazil 22% 3% 82% 86% -0.11 0% 0% 7% 7% -2.04
MSCI India 98% 97% 65% 94% 1.54 16% 54% 3% 15% -0.80
Source: State Street Global Advisors, FactSet, as of July 31, 2021. * The z-score is calculated as the average z-score of valuations based on different metrics. The z-score indicates
how many standard deviations an element is from its historical mean. A z-score can be calculated from the following formula. z =(X -μ) / σ where z is the z-score, X is the segment current
valuations and σ is the standard deviation of monthly valuations over the past 15 years.
3705134.1.1.ANZ.RTL 20Global Momentum
Chinese equities rank the worst, as regulatory uncertainty spooked investors.
Meanwhile, US large caps and growth stocks have seen improving momentum.
Momentum Scorecard Rankings Bottom 3 Rank on Mom entum Top 3 Rank on Mom entum
Price Mom entum* Technicals Continuous Mom entum
# of
% above % above % Difference # of Positive Positive # of Positive Com bined
50-Day 200-Day 50- to 200- Return Days Return Return Days Average
3 Month 6 Month 12 Month
Moving Moving Day Moving (90-Day Days (12-Month Rank
Average Average Average Lookback) (180-Day Lookback)
Lookback)
S&P 500 8.2% 14.4% 38.6% 2.7% 11.7% 8.8% 51 100 144 7
US/Style/Regions
S&P MidCap 400 Index 3.3% 16.9% 51.2% 0.5% 9.0% 8.5% 49 101 139 9
S&P Sm allCap 600 4.2% 22.9% 65.3% -1.1% 8.7% 10.0% 50 103 142 8
S&P 500 Value 4.5% 15.0% 36.2% 0.2% 8.9% 8.7% 50 101 138 10
S&P 500 Grow th 11.7% 13.9% 40.1% 4.9% 14.2% 8.8% 54 104 146 5
MSCI EAFE 4.4% 7.3% 29.4% -0.3% 5.3% 5.6% 57 115 162 9
Euro Stoxx 6.3% 10.0% 32.4% 1.5% 9.9% 8.3% 60 112 150 7
MSCI EM 4.4% 6.5% 38.1% -5.2% -3.0% 2.3% 45 100 145 13
MSCI Canada 9.3% 19.3% 42.3% 1.0% 9.8% 8.7% 53 112 148 5
MSCI Japan -0.4% 0.3% 22.4% -2.0% 2.4% 4.5% 44 104 136 15
Major Countries
MSCI Germ any 3.1% 6.7% 28.8% -0.2% 6.7% 6.9% 52 103 140 12
MSCI France 7.7% 12.3% 37.8% 1.3% 10.8% 9.4% 62 114 155 5
MSCI UK 5.0% 10.4% 26.3% -0.3% 5.3% 5.7% 53 99 136 12
MSCI China 1.5% 1.1% 25.5% -10.6% -14.1% -3.9% 41 90 134 17
MSCI Russia 12.0% 17.4% 30.3% -0.5% 10.6% 11.1% 55 107 148 6
MSCI Brazil 21.4% 7.9% 41.0% -4.6% 5.5% 10.6% 52 96 137 10
MSCI India 6.6% 11.8% 54.8% 1.1% 11.0% 9.9% 57 116 165 4
Momentum of the other major EM countries continue to strengthen
Source: State Street Global Advisors, Bloomberg, as of July 31, 2021. *Momentum is calculated by calculating the 3 -month, 6-month and 12-month price performance, not including the
most recent month. Past performance is not a reliable indicator of future results .
3705134.1.1.ANZ.RTL 21Global Earnings
While earnings growth estimates increased further globally, US large-cap
companies have led earnings sentiment (upgrades to downgrades).
2021 EPS Growth Estimates (%) 2021 EPS Revision: 3-Month Up-to-Downgrade Ratio
S&P 500 MSCI EAFE MSCI Emerging Markets S&P 600 S&P 500 Index MSCI EAFE Index
MSCI Emerging Markets Index S&P 600
100 7.0
EM earnings revisions have been lagging developed
markets since March
6.0
80
5.0
60
4.0
3.0
40
2.0
20
1.0
0 0.0
Source: FactSet, as of July 31, 2021. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. EPS growth estimates are
based on Consensus Analyst Estimates compiled by FactSet. Dotted line represents an equal ratio of upgrades and downgrades.
3705134.1.1.ANZ.RTL 22Global Earnings (continued)
Innovative companies are expected to lead sales growth in the coming quarters,
while value and small-cap stocks show stronger earnings growth prospects.
Sales Growth Estimates Earnings Growth Estimates
S&P Kensho New Economies Composite Index S&P Kensho New Economies Composite Index
S&P 500 S&P 500
S&P 500 Value S&P 500 Value
S&P 500 Growth S&P 500 Growth
S&P 600 S&P 600
STOXX Europe STOXX Europe
35 250 European earnings growth is expected
to outpace the US in 2H 2021
30
200
25
150
20
15
100
10
50
5
0 0
Q2 Q3 2021 2022 Q2 Q3 2021 2022
Source:, FactSet, as of July 31, 2021. *Growth is measured by the growth of the median company in the subsector. Characterist ics are as of the date indicated, are subject to change, and
should not be relied upon as current thereafter. EPS growth estimates are based on Consensus Analyst Estimates compiled by Fa ctSet. The above targets are estimates based on analyst
consensus compiled by FactSet. There is no guarantee that the estimates will be achieved.
3705134.1.1.ANZ.RTL 23US Factor Trends
Quality outperformed the market-cap weighted index for the third straight month,
extending its performance leadership on a trailing 3-year basis.
MSCI USA Factor Index Versus MSCI USA Index (Three Years) Period Excess Returns Versus
MSCI USA Index (%)
Quality Size Dividend Momentum Value Min. Vol.
YTD Trailing 3 Month Prior Month
Quality’s underweight in Energy, Cons. Disc. and Financials
120 contributed more than half of its outperformance last month 3.9
Value -5.0
115 -3.1
Relative Performance (Beginning = 100)
110 -9.1
Momentum -4.4
105 -1.4
100 -3.0
Dividend Yield -2.1
95 -0.4
90 2.1
Size -1.1
-1.0
85
1.7
80 Quality 3.9
75 1.2
-4.2
70 Min. Vol. 0.6
1.2
Source: Bloomberg Finance, L.P. as of July 31, 2021. Past performance is not a reliable indicator of future results. Min. Vol = MSCI USA Minimum Volatility Index; Value = MSCI USA
Enhanced Value Index; Quality = MSCI USA Quality Index; Size = MSCI USA Equal Weighted Index; Dividend = MSCI USA High Dividend Yield Index; Momentum = MSCI USA Momentum
Index. The indexes used above were compared to the MSCI USA Index.. Index returns are unmanaged and do not reflect the deduction of any fees or expenses.
3705134.1.1.ANZ.RTL 24Value versus Growth
Return differences between value and growth have become more volatile, as the
path towards a full recovery from the pandemic has been choppy.
Rolling 1-Month Excess Returns of Value minus Growth, 1-Week Moving Step
Russell 1000 Value - Russell 1000 Growth +2 Standard Deviations -2 Standard Deviations
15.0
Recent value’s underperformance relative to growth is
around two standard deviations below historical average
10.0
Return Difference (%)
5.0
0.0
-5.0
-10.0
-15.0
Source:, Morningstar, as of July 31, 2021. Past performance is not a reliable indicator of future results.
3705134.1.1.ANZ.RTL 254. Sectors
3705134.1.1.ANZ.RTL 26Sector Flows & Returns
Defensive sectors and Technology led flows and performance in July, as increasing
Delta variant cases caused concerns about the economic recovery.
Positioning Returns
Global Equity
Trailing Three- Trailing 12- One-Month
Sector Heatm ap Prior Month Current Short Prior Month 3-Month YTD Return
Months Flow Months Flow Prior Short
Flow ($M) Interest (%) Return (%) Return (%) (%)
($M) ($M) Interest (%)
Consum er Discretionary -663 -1,746 5,277 9.4 9.1 0.50 0.36 10.82
Consum er Staples 1,548 2,591 -2,908 8.3 7.2 2.55 4.17 7.70
Energy -720 1,486 13,290 9.2 9.2 -8.27 1.49 33.57
Financial -2,867 272 21,546 9.6 9.4 -0.44 1.24 25.04
Health Care 3,123 3,930 2,044 11.4 12.4 4.90 9.38 17.33
Industrials -934 -1,802 10,217 7.8 7.5 0.89 1.75 17.44
Materials -1,476 2,389 11,762 5.1 4.9 2.04 1.67 16.83
Real Estate -594 3,050 9,614 4.5 4.3 4.64 9.28 29.01
Technology 4,095 3,740 7,397 3.2 3.1 3.86 10.07 18.15
Com m unications 567 795 1,102 1.0 0.8 3.57 6.33 23.95
Utilities 226 89 -21 15.8 17.3 4.33 -0.35 6.82
Worst-Performing Sector Best-Performing Sector
Real Estate and Technology outperformed the broad market over Least Flows in Period Most Flows in Period
the past three months on the back of falling yields
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator of future results. Under Current Short Interest, Cells
that are highlighted green have a lower Short Interest level than the Prior Month. Cells that are highlighted Red have a Shor t Interest higher than the prior month. All figures are in USD.
3705134.1.1.ANZ.RTL 27Thematic Sector Flows & Returns
Future Security led on performance and flows in the thematic space last month,
as a result of increasing cyberattacks in our more digitally connected society.
Flow Perform ance Size
% of % of YTD Category Average Return
Trailing
Thematic NextGen Prior Mo. Funds Funds Excess over the S&P 500 (%)
Prior Trailing 3-Mos.
Trends Avg. beating beating Current # of
Month 3-Mos. Avg. Intelligent Infrastructure -3.3
Return S&P 500 S&P 500 AUM Funds
($M) ($M) Return
(%) (Prior (Trailing
(%) Final Frontiers
Mo.) 3-Mos.) -5.3
Broad Innovation -713 -299 -2.3% 8% 1.2% 21% 31,439 24
Smart Mobility -7.5
Clean Energy 214 1,017 -0.2% 28% 3.6% 36% 31,227 36
Future Security -8.0
Cloud Com puting -125 -426 0.1% 22% 4.5% 33% 9,135 9
Dem ocratized Broad Innovation -9.5
-154 -382 -2.5% 0% 0.7% 0% 6,396 10
Banking
Final Frontiers -1 -64 -3.4% 0% 0.1% 0% 755 3 Robotics & AI -10.4
Future
-231 -939 -4.8% 0% -3.7% 15% 12,881 20 Human Evolution -11.3
Com munication
Future Security 343 513 3.7% 63% 10.0% 75% 8,162 8 Clean Energy -11.7
Hum an Evolution -274 -457 -3.3% 25% 0.5% 29% 10,915 24
Democratized Banking -11.9
Intelligent
7 46 1.1% 40% 4.9% 40% 1,030 5
Infrastructure Future Communication -12.5
New Consumer -125 -444 -7.1% 0% -7.5% 4% 6,269 25
New Consumer -13.3
Robotics & AI -174 -639 -1.9% 9% 1.6% 9% 8,593 11
Cloud Computing -13.8
Sm art Mobility 195 219 -0.5% 0% 4.6% 43% 2,055 7
Worst-Performing Thematic Sector Best-Performing Thematic Sector
Least Flows in Period Most Flows in Period
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator of future results. All figures are in USD.
3705134.1.1.ANZ.RTL 28Sector Scorecard
Tech. ranked at the top in earnings sentiment due to broad earnings beats and upgrades,
while Financials have shown strong earnings sentiment with attractive valuations.
Sector Com posite Z-Score*
Valuation Com posite Score Mom entum Com posite Score Earnings Sentim ent Com posite Score
Com m unication Services -0.12 0.65 0.10
Consum er Discretionary -1.09 -0.23 0.69
Consum er Staples 0.10 -1.14 -0.82
Energy 1.88 1.21 0.26
Financials 0.76 0.88 0.70
Health Care 0.04 -0.35 -0.13
Industrials -0.45 0.05 -0.07
Inform ation Technology -1.19 0.39 0.80
Materials 0.42 -0.07 -0.51
Real Estate -0.03 0.41 -0.02
Utilities 0.17 -1.80 -1.00
Materials’ earnings sentiment dropped to the bottom three in July driven by downbeat Q2 results relative to other sectors
Source: State Street Global Advisors, FactSet, Bloomberg Finance, L.P. as of July 31, 2021. Green shading is top 3, red shadi ng is bottom 3. * The scorecard uses z-score for each metric
to standardize numbers across sectors and show relativeness among sectors. Composite score is calculated by equally weighting each metric in the same category. Z-score indicates how
many standard deviations an element is from the mean. A z-score can be calculated from the following formula. z = (X - μ) / σ where X is the value of the sector. μ is the mean of the
eleven sectors. σ is the standard deviation of eleven sectors. S&P 500 sector indices are used to calculate sector scores. Please refer to Appendix C for the metrics used to measure
valuation, momentum and earnings sentiment. Volatility score is not available for the communication services sector due to data availability.
3705134.1.1.ANZ.RTL 29Sector Earnings
Strong earnings have driven most sectors’ performance year to date, with cyclicals
showing stronger growth and earnings sentiment.
Q2 2021 Earnings Results Growth Blended (%) Surprise (%)
450 403 35
Analysts continue underestimating the earnings rebound of Cons. Disc.
400 30
and Financials by large margins
350
25
Surprise (%)
Growth (%)
300 266
250 20
200 171 15
150 132
85 10
100 72 46
26
50 17 5
12 2
0 0
Industrials Cons. Disc. Financials Materials S&P 500 Comm Svs. Tech. Real Estate Health Care Cons. Staples Utilities
Sector YTD Return Decomposition Changes to Next Twelve Month P/E Changes to Next Twelve Month EPS YTD Return
50%
40%
30%
20%
10%
0%
-10%
-20%
-30%
Financials Real Estate Comm Svs. Industrials S&P 500 Materials Tech. Health Care Cons. Disc. Cons. Staples Utilities
Source: FactSet, as of July 31, 2021. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter. EPS growth estimates are
based on Consensus Analyst Estimates compiled by FactSet.
3705134.1.1.ANZ.RTL 305. Fixed Income
3705134.1.1.ANZ.RTL 31Fixed Income Sector Performance
Rates-sensitive segments added another month of gains, close to recouping all of
their losses from earlier this year.
Fixed Income Segment Performance (%) Trailing 3 Month YTD Prior Month
10.0 TIPS’ performance is supported by both increasing inflation and declining yields in July
7.8
8.0 7.2
6.0
4.54.4
3.8
4.0 3.3 3.3
2.2 2.4 2.5
1.8 1.7
2.0 1.4 1.9
0.9
0.10.1 0.4 0.3 0.6 0.4
0.1 0.3
0.0
-0.2 -0.2
-0.5 -0.6
-2.0 -1.3
-2.5
-4.0
-4.6 -4.1 -4.2
-6.0
US Agg US Treasury Short-Term Long-Term US TIPS US MBS US IG Corp. 1-10 Yr IG 10 Yr+ IG Municipals US High Sr. Loans Developed Developed EM Hard EM Local
Treasuries Treasuries Corp. Corp. Yield Ex-US IG Ex-US Currency Debt
Corp. Sovreign Sovereign
Source: Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator 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 fo r periods of less than one year
are not annualized. US Agg = Bloomberg Barclays US Aggregate Index | US Govies = Bloomberg Barclays US Treasury Index | Short-Term Govies = Bloomberg Barclays U.S. Treasury:
1-3 Year Index | Long-Term Govies = Bloomberg Barclays US Long Treasury Index | US TIPS = Bloomberg Barclays Global Inflation-Linked: U.S. TIPS Index | US MBS = Bloomberg
Barclays US MBS Index | US IG Corp. = Bloomberg Barclays US Corporate Index | 1 -10 Yr IG Corp. = Bloomberg Barclays Intermediate Corporate Index | 10 Yr+ IG Corp. = Bloomberg
Barclays Long U.S. Corporate Index | US High Yield = Bloomberg Barclays VLI: High Index | Sr. Loans = S&P/LSTA Leveraged Loan Index | Developed Ex-US IG Corp. = Bloomberg
Barclays Global Agg Corporate ex USD Index | Developed Ex-US Sovereign Bonds = Bloomberg Barclays Global Treasury ex-U.S. Index | EM Hard Currency Debt = J.P. Morgan EMBI
Global Core Index | EM Local Debt = Bloomberg Barclays EM Local Currency Govt Diversified Index | Municipals = Bloomberg Barc lays Municipal Bond Index.
3705134.1.1.ANZ.RTL 32Yield Curve
The yield curve has flattened further, as surging cases and weaker-than-expected
Q2 GDP growth weighed on yields.
US Treasury Curve US Treasury Active: 7/31/2021 4/30/2021 12/31/2020
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
2.5 2.3
1.9
2.0
1.6
1.3
Yield (%)
1.5 1.2
0.7 1.6
1.0
1.0 0.8
0.3
0.1 0.2 0.3 0.9
0.5 0.2
0.0 0.0 0.0 0.0 0.6
0.0 0.4
0.1 0.1 0.1 0.1 0.2
0.0
2-year and 10-year yields notched their biggest Trailing 3 Months YTD 1 Month Ago
one-month drops in over a year 33 35 31
40 25
Change in Bps
17
20 6
4 3 0 2 2 3 1
0
0 0 -3 -4 0 -4 0
-20 -6
-12 -16
-20 -19
-40 1M 3M 6M 1Y 2Y 3Y 5Y -31 7Y -24 10Y
-25
30Y
-40 -41
-60
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
Source: Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator of future results.
3705134.1.1.ANZ.RTL 33Treasury Yield Momentum
The 10-year treasury yield crossed below its 200-day moving average support level,
a potential signal that rates could fall further.
10-Year Yields US 10 Year Yield 200D Moving Average 50D Moving Average 100D Moving Average
3.5
3.0
2.5
50-day moving averages fell below 100-day
moving averages
2.0
%
1.5
1.0
0.5
0.0
Jul-18 Oct-18 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21
Source: Bloomberg Finance L.P., as of 07/31/2021. Past performance is not a reliable indicator of future results.
3705134.1.1.ANZ.RTL 34Real Yields
While inflation expectations climbed up last month, nominal yields continue
downward trends – sending real yields back to historical lows.
Inflation Expectations Real Yields
2-Year Breakeven 5-Year Breakeven 10-Year Breakeven 5-Yr 2-Yr 10-Yr
3.5 2.0
1.5
3.0 1.0
0.5
2.5 0.0
%
%
-0.5
2.0 -1.0
-1.5
1.5 -2.0
-2.5
1.0 -3.0
Source: Bloomberg Finance L.P., as of 07/31/2021. Past performance is not a reliable indicator of future results.
3705134.1.1.ANZ.RTL 35Bond Market Opportunities
With rates still well below their historical levels, income generation remains
challenging for bond investors.
Bond Market Segments Yield to Worst Duration 36-Month Standard Deviation Yield Per Unit of Volatility
10 0.9
Yield (%), Duration (Years), Standard Deviation (%)
9 8.7 9.2 9.0 0.8 0.8
8.4
8
0.7
7.0
7 6.6
Yield-Per-Unit-of-Volatility
7.0 7.0
0.6
6 0.6
5.1 0.5
0.5
5 4.5
0.4 4.4 4.4
4.4 0.4 3.9 3.9 0.4
4 3.7
0.4
2.9 3.5 0.3
3 0.3
1.9 0.2
2 0.2 1.6 2.0
1.4
1 0.8 0.1
0.5
0 0.0
Treasuries IG Corp HY Munis Agg HY Preferreds Senior Loans MBS
Source: Bloomberg Finance, L.P., as of July 31, 2021. Past performance is not a reliable indicator 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 as applicable. Performance returns for periods of less
than one year are not annualized. Treasuries = Bloomberg Barclays US Treasury Index, IG Corporates = Bloomberg Barclays US Co rporate Index , HY Corporates = Bloomberg Barclays
US Corporate High Yield Index, Leveraged Loans = S&P/LSTA U.S. Leveraged Loan 100 Index, EM Debt = Bloomberg Barclays EM Hard Currency Aggregate Index, MBS = Bloomberg
Barclays US MBS Index, Agg = Bloomberg Barclays US Aggregate Bond Index, Preferreds = Wells Fargo Hybrid and Preferred Securi ties Aggregate Index.
3705134.1.1.ANZ.RTL 36Credit Trends
High yield spreads widened off extremely tight levels, rising by the most since last
September to the levels last seen in April.
Credit Spreads (%) Credit Spread Changes in Basis Points Trailing 3 Months July
Bloomberg Barclays US Corporate High Yield Index
High Yield CCC & Lower 4
Bloomberg Barclays US Corporate Index 71
US High Yield B Rated 23
Bloomberg Barclays High Yield Energy Index 37
US High Yield BB Rated -4
14
25
Broad High Yield 3
26
US BBB Rated -4
6
20 IG Corporate -2
5
15 Credit Spread Current vs. 20-Year Averages (bps)
20-Yr. Avg July
Broad HY and IG spreads
154 rem ain m ore than
10 IG Corporate 86 40% below their
US BBB Rated 164 long-term averages
113
5 Broad High Yield 533
294
US High Yield BB Rated 378
233
0 554
US High Yield B Rated 386
US High Yield CCC & Lower 1121
654
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of July 31, 2021. 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 U S Corporate High Yield Index. IG Corporate =
Bloomberg Barclays US Corporate Index. Past performance is not a reliable indicator of future results . Performance of an index is not illustrative of any particular investment. It is
not possible to inv est directly in an index.
3705134.1.1.ANZ.RTL 37Credit Trends (continued)
Despite widening credit spreads, credit segments produced positive total returns
last month – led by the more duration sensitive investment grade bonds.
Credit Segment Performance (1 Year) Base = 100 IG and HY Performance by Credit Rating
ICE BofA US High Yield Index 1-Month Return YTD Return
ICE BofA BB US High Yield Index
% -5 0 5 10
ICE BofA Single-B US High Yield Index
ICE BofA CCC & Lower US High Yield Index 1.6
AAA -1.4
Invesmtent Grade
ICE BofA US Corp BBB
S&P/LSTA Senior Loan Index 1.3
AA -0.5
135 1.2
A -0.6
130
1.2
BBB 0.8
125
0.7
120 BB 3.4
0.0
115 B 3.3
High Yield
110 -0.3
CCC & Lower 9.2
105
0.4
Broad High Yield 4.1
100
0.0
95 Senior Loans 3.3
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of July 31, 2021. Past performance is not a reliable indicator of future results. Performance of an index is not illustrativ e
of any particular inv estment. It is not possible to inv est directly in an index.
3705134.1.1.ANZ.RTL 38Appendix
A Fund Flow Summary
B Asset Class Forecast
C SPDR Sector Scorecard
D Definitions
E Important Disclosures
3705134.1.1.ANZ.RTL 39Appendix A
Fund Flow Summary
Asset Category Prior Month ($M) Year to Date Trailing 3 Months ($M) Trailing 12 Months ($M)
U.S. 20,620 242,132 83,357 335,369
Global 1,674 42,698 5,758 73,637
Global-Ex Them atic 2,793 16,115 7,740 21,018
International-Developed 9,833 53,812 24,107 79,247
Equity Region
International-Em erging Markets 923 25,300 6,181 35,328
International-Region 353 17,514 9,735 18,305
International-Single Country 1,476 7,120 2,608 15,055
Currency Hedged 129 538 749 -671
Broad Market 7,514 60,132 22,136 96,062
Large-Cap 14,315 107,422 48,848 127,436
Mid-Cap -470 5,739 347 7,575
US Size & Style
Sm all-Cap -974 21,410 3,677 37,011
Grow th 3,980 9,172 12,152 12,337
Value -1,807 44,457 11,974 63,194
Aggregate 10,513 58,940 23,799 101,367
Governm ent 597 4,277 4,738 -6,565
Short Term -1,718 565 -541 -6,474
Interm ediate 1,061 3,526 1,596 -956
Long Term (>10 yr) 1,255 186 3,684 865
Inflation Protected 3,598 21,005 10,348 31,026
Fixed Incom e Mortgage-Backed -633 4,847 599 12,286
Sectors IG Corporate -1,177 7,195 817 25,163
High Yield Corp. -415 -1,381 -2 -301
Bank Loans 136 7,315 2,255 8,323
EM Bond 998 4,803 2,600 9,104
Preferred 980 3,806 2,595 8,424
Convertible 88 34 -207 591
Municipals 2,115 13,391 5,882 20,771
Source: State Street Global Advisors, Bloomberg Finance, L.P. As of July 31, 2021. Segments with top 2 inflows in each catego ry 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.
3705134.1.1.ANZ.RTL 40Appendix B
Asset Class Forecast
Forecasted Return (%) as of 06/30/2021 1 Year 3-5 Year
9.6
7.9 7.3 7.7
6.8 6.8 6.3 7.0
4.9
2.1 1.7 1.2 0.7
N/A 0.2 0.1
US US Global Emerging US US US Commodities
Small Cap Large Cap Developed Market High Yield Investment Government
Ex-US Equities Grade Bonds Bonds
Forecasted Return (%) as of 03/31/2021 1 Year 3-5 Year
8.2
7.1
6.3 6.3 5.8
5.4 5.6
4.9
2.9
1.9 1.8
1 0.5 0.4
N/A 0.2
US US Global Emerging US US US Commodities
Small Cap Large Cap Developed Market High Yield Investment Government
Ex-US Equities Grade Bonds Bonds
Source: State Street Global Advisors Investment Solutions Group. The forecasted returns are based on SSGA’s Investment Soluti ons Group’s 06/30/2021. forecasted returns and long-
term standard deviations. The forecasted performance data is reported on a gross of fees basis. Additional fees, such as the adv isory fee, would reduce the return. For example, if an
annualized gross return of 10% was achieved over a 5-year period and a management fee of 1% per year was charged and deducted an nually, then the resulting return would be reduced
from 61% to 54%. The performance includes the reinvestment of dividends and other corporate earnings and is calculated in the local (or regional) currency presented. It does not take
into consideration currency effects. The forecasted performance is not necessarily indicative of future performance, w hich could differ substantially. Please reference Appendix B
(continued) for the assumptions used by SSGA Investment Solutions Group to create asset class forecasts.
3705134.1.1.ANZ.RTL 41Appendix B (continued)
Asset Class Forecast: Assumptions
Fixed Income Our return forecasts for fixed income derive from current yield conditions together with expectations
as to how real and nominal yield curves could evolve relative to historical averages. For corporate
bonds, we also analyze credit spreads and their term s tructures, with separate assessments of
investment-grade and high-yield bonds.
Equities Our long-term equity forecasts begin with expectations for developed market large capitalization stocks.
The foundation for these forecasts are estimates of real return potential, derived from current dividend
yields, forecast real earnings growth rates, and potential for expansion or contraction of valuation
multiples. Our forecasting method incorporates long run estimates of potential economic growth
based on forecast labor and capital inputs to estimate real earning growth.
Commodities Our long-term commodity forecast is based on the level of world GDP, as a proxy for consumption
demand, as well as on our inflation outlook. Additional factors affecting the returns to a commodities
investor include how commodities are held (e.g., physically, synthetically, or via futures) and the
various construction methodologies of different commodity benchmarks.
All assumptions are based upon current market conditions as of the date of this presentation and are subject to change. Past performance is not a reliable indicator of future results.
All investments involve risk including the loss of principal. All material presented herein are obtained from sources believed to be reliable, but accuracy cannot be guaranteed.
3705134.1.1.ANZ.RTL 42Appendix C
SPDR Sector Scorecard
The metrics shown are z-scores, which
Composite Score Metrics are calculated using the mean and
standard deviation of the relevant metrics
Validation Relative Valuation
(P/B, P/E, NTM P/E, P/S) within S&P 500 sectors. Using Z-scores
to standardize results across all sectors
Absolute Valuation allows for easier relative assessment.
(P/B, P/E, NTM P/E, P/S) Sectors with cheaper valuation, higher
price momentum, higher sentiment and
Earnings Sentiment Earnings Revision higher volatility will have higher z-scores.
(Changes to EPS Estimates,
Upgrade to Downgrade Ratio) We calculate a composite score by
equally weighting each metric z-score
Earnings Surprise
in the same category.
(The Magnitude and Breadth
of Earnings Surprise)
The scorecard does not represent the
Momentum Price Returns investment views of State Street. Metrics
3-Months, 6-Months, used in the scorecard have not been
12-Months backtested for any sector strategies by
State Street. These are for illustrative and
educational purposes as we seek to bring
greater transparency to the sector
investing landscape and the due diligence
required to build sophisticated portfolios
to meet specific client objectives.
Source: SPDR America Research.
3705134.1.1.ANZ.RTL 43Appendix D
Definitions
Basis Point: One hundredth of one percent, or 0.01%. Bloomberg Barclays US Corporate 1–3 Year Index: The Index includes publicly issued
US dollar denominated corporate issues that have a remaining maturity of greater than or
Bloomberg Commodity Index: Bloomberg Commodity Index (BCOM) is calculated equal to 1 year and less than 3 years, are rated investment grade.
on an excess return basis and reflects commodity futures price movements. The index
rebalances annually weighted 2/3 by trading volume and 1/3 by world production and Bloomberg Barclays US Corporate Bond Index: The Bloomberg Barclays US Corporate
weight-caps are applied at the commodity, sector and group level for diversification. 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
Bloomberg Barclays EM USD Aggregate Index: The index is a hard currency emerging Index and a non-corporate component that includes foreign agencies, sovereigns,
markets debt benchmark that includes US dollar-denominated debt from sovereign, quasi - supranationals and local authorities.
sovereign, and corporate issuers in the developing markets.
Bloomberg Barclays US Corporate High Yield Index: The index consists of fixed rate,
Bloomberg Barclays EM Hard Currency Index: The Bloomberg Barclays Emerging high yield, USD-denominated, taxable securities issued by US corporate issuers.
Markets Hard Currency Aggregate Index is a flagship hard currency Emerging Markets
debt benchmark that includes USD-denominated debt from sovereign, quasi -sovereign, Bloomberg Barclays US Mortgage Backed Securities Index: The index consists of US
and corporate EM issuers. Mortgage Backed Securities.
Bloomberg Barclays Global Aggregate Bond Index: A benchmark that provides a Bloomberg Barclays US Treasury Index: Measures US dollar-denominated, fixed-rate,
broad-based measure of the global investment-grade fixed income markets. The three nominal debt issued by the US Treasury.
major components of this index are the US Aggregate, the Pan -European Aggregate, and
the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro -Yen Bloomberg Barclays US Treasury 1–3 Year Index: The Index is designed to measure
corporate bonds, Canadian government, agency and corporate securities, and USD the performance of short term (1–3 years) public obligations of the US Treasury.
investment-grade 144A securities. Bloomberg Barclays US Treasury Bill 1–3 Months Index: The Bloomberg Barclays
Bloomberg Barclays Global Aggregate Bond Index: The Bloomberg Barclays Global 1–3 Month US Treasury Bill Index (the "Index") is designed to measure the performance
Aggregate Index is a flagship measure of global investment grade debt from twenty-four of public obligations of the US Treasury that have a remaining maturity of greater than or
local currency markets. This multi -currency benchmark includes treasury, government- equal to 1 month and less than 3 months.
related, corporate and securitized fixed-rate bonds from both developed and emerging Bloomberg Barclays US FRN < 5yr Index: The Bloomberg Barclays US Dollar Floating
markets issuers. Rate Note < 5 Years Index consists of debt instruments that pay a variable coupon rate, a
Bloomberg Barclays Municipal Bond Index: Index that covers the USD-denominated majority of which are based on the 3-month LIBOR, with a fixed spread.
long-term tax-exempt bond market. The index has four main sectors: state and local Bloomberg Barclays U.S. MBS Index (the "MBS Index") measures the performance
general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. of the U.S. agency mortgage pass-through segment of the U.S. investment grade
bond market.
Bloomberg Barclays US Aggregate Index: A benchmark that provides a measure of the
performance of the US dollar denominated investment grade bond market, which includes Breakev en Inflation Rate: It is a market based measure of expected inflation. It is the
investment grade government bonds, investment grade corporate bonds, mortgage pass
difference between the yield of a nominal bond and an inflation linked bond of the
through securities, commercial mortgage backed securities and asset backed securities same maturity.
that are publicly for sale in the US.
3705134.1.1.ANZ.RTL 44Appendix D (continued)
Definitions
Bloomberg Barclays US High Yield Index: The Bloomberg USD High Yield Corporate time period.
Bond Index is a rules-based, market-value weighted index engineered to measure publicly
issued non-investment grade USD fixed-rate, taxable, corporate bonds. To be included in Global Industry Classification Standard (GICS): An industry taxonomy developed in
the index a security must have a minimum par amount of 250MM. 1999 by MSCI and Standard & Poor’s (S&P) for use by the global financial community.
The GICS structure consists of 10 sectors, 24 industry groups, 67 industries and
Bloomberg Barclays US Treasury Index: The Bloomberg US Treasury Bond Index is a 156 sub-industries [1] into which S&P has categorized all major public companies.
rules-based, market-value weighted index engineered to measure the performance and
Implied Volatility: The estimated volatility of a security’s price. In general, implied
characteristics of fixed rate coupon US Treasuries which have a maturity greater than
volatility increases when the market is bearish and decreases when the market is bullish.
12 months. To be included in the index a security must have a minimum par amount
This is due to the common belief that bearish markets are more risky than bullish markets.
of 1,000MM.
LBMA Gold Price Index: Provides the price platform and methodology as well as the
Bloomberg US Pure Value Index: The return of the top quintile less the bottom quintile overall administration and governance for the LBMA Gold Price.
value stocks.
Minimum Volatility Factor: A category of stocks that are characterized by relatively less
CBOE VIX Index: The Chicago Board Options Exchange (CBOE) Volatility Index shows movement in share price than many other equities.
the market’s expectation of 30-day volatility. It is constructed using the implied volatilities
of a wide range of S&P 500 index options. Momentum Factor: The tendency for a security to maintain a certain direction of price
trajectory. This tendency is well documented in academic research, which has made
Citigroup Economic Surprise Index: The Citi Economic Surprise Indices measure data “momentum” one of the six smart beta factors that are systematically being isolated in
surprises relative to market expectations. A positive reading means that data releases new-generation strategic indexes.
have been stronger than expected and a negative reading means that data releases have
been worse than expected. MSCI Brazil Index: An equities benchmark that captures large- and mid-cap
representation in Brazil.
Credit Spread: A credit spread is the difference in yield between a US Treasury bond and
a debt security with the same maturity but of lesser quality. MSCI Canada Index: An equities benchmark that captures large- and mid-cap
representation in Canada.
Current Short Interest (%): The percentage of tradable outstanding shares which have
been shorted. Used as a measure of investor sentiment. MSCI China Index: A benchmark that captures large and mid cap representation across
China A shares, H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs).
Conv exity: Convexity is a measure of the curvature in the relationship between bond
prices and bond yields. Bond with negative convexity, prices decrease as interest rate fall. MSCI China On Shore: A benchmark that captures large and mid cap representation
Since many high yields bonds are callable,, the price of the callable bonds might drop in across China securities listed on the Shanghai and Shenzhen exchanges
the event of falling yields because the bond could be called.
Nasdaq Golden Dragon China Index is a modified market capitalization weighted index
DXY Dollar Index: The DXY Dollar Index tracks the performance of a basket of foreign comprised of companies whose common stock is publicly traded in the United States and
currencies issued by US major trade partners, including Eurozone, Japan, U.K. Canada, the majority of whose business is conducted within the People's Republic of China.
Sweden and Switzerland, versus the US Dollar.
MSCI EAFE Index: An equities benchmark that captures large- and mid-cap
Euro STOXX 50 Index: Europe’s leading blue-chip index for the Eurozone, provides representation across developed market countries around the world, excluding the US
a blue-chip representation of super-sector leaders in the Eurozone. The index covers and Canada.
50 stocks from 12 Eurozone countries.
MSCI Emerging Market Index: The MSCI Emerging Markets Index captures large and
EBITDA: Earnings before Interest Taxes Depreciation and Amortization. mid-cap representation across 23 emerging markets countries. With 834 constituents,
the index covers approximately 85% of the free float-adjusted market capitalization in
Excess Returns: A security’s return minus the return from another security in the same each country.
3705134.1.1.ANZ.RTL 45Appendix D (continued)
Definitions
MSCI Europe Index: The MSCI Europe Index is a free-float weighted equity index MSCI USA Index: The MSCI World Index, which is part of The Modern Index Strategy, is
designed to measure the equity market performance of the developed markets in Europe. 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 -
MSCI France Index: An equities benchmark that captures large- and mid-cap adjusted market capitalization in each country and MSCI World benchmark does not offer
representation in France. exposure to emerging markets.
MSCI Germany Index: An equities benchmark that captures large- and mid-cap
MSCI USA Minimum Volatility Index: The MSCI USA Minimum Volatility (USD) Index
representation in Germany.
aims to reflect the performance characteristics of a minimum variance strategy applied
MSCI India Index: An equities benchmark that captures large- and mid-cap to the MSCI large and mid cap equity universe. The index is calculated by optimizing
representation in India. the MSCI USA Index, its parent index, for the lowest absolute risk (within a given set of
constraints). Historically, the index has shown lower beta and volatility characteristics
MSCI Japan Index: The MSCI Europe Index is a free-float weighted equity index relative to the MSCI World Index.
designed to measure the equity market performance of the developed markets in Japan.
Price-earnings ratio (P/E Ratio): The price-earnings ratio (P/E Ratio) is the ratio for
MSCI Russia Index: An equities benchmark that captures large- and mid-cap valuing a company that measures its current share price relative to its per-share earnings.
representation in Russia. The price-earnings ratio can be calculated as: Market Value per Share/Earnings
per Share.
MSCI UK Index: An equities benchmark that captures large- and mid-cap representation
in UK. Price-to-book ratio (P/B Ratio): The price-to-book ratio (P/B Ratio) is a ratio used to
compare a stock’s market value to its book value. It is calculated by dividing the current
MSCI USA Enhanced Value Weighted Index: The MSCI USA Enhanced Value closing price of the stock by the latest quarter’s book value per share. Also known as the
Weighted Index captures large and mid-cap representation across the US equity markets “price-equity ratio.
exhibiting overall value style characteristics. The index is designed to represent the
performance of securities that exhibit higher value characteristics relative to their peers Quality Factor: One of the six widely recognized, research-based smart beta factors that
within the corresponding GICS ® sector. refers to “quality” equities. Companies whose stocks qualify exhibit consistent profitability,
stability of earnings, low financial leverage and other characteristics consistent with long -
MSCI USA Equal Weighted Index: The MSCI USA Equal Weighted Index represents an term reliability such as ethical corporate governance.
alternative weighting scheme to its market cap weighted parent index, the MSCI USA
Index. At each quarterly rebalance date, all index constituents are weighted equally, Quintile Spread: The spread between the top 20% of a data set and the bottom 20% of a
effectively removing the influence of each constituent’s current price (high or low). data set.
MSCI USA High Div idend Yield Index: The MSCI World High Dividend Yield Index is Risk on: Used to describe investment sentiment when investors’ risk tolerance increases.
based on the MSCI USA Index, its parent index, and includes large and mid cap stocks.
The index is designed to reflect the performance of equities in the parent index (excluding RSI: The relative strength index (RSI) is a momentum indicator that measures the
REITs) with higher dividend income and quality characteristics than average dividend magnitude of recent price changes to evaluate overbought or oversold conditions in the
yields that are both sustainable and persistent. The index also applies quality screens and price of a stock or other asset.
reviews 12-month past performance to omit stocks with potentially deteriorating
fundamentals that could force them to cut or reduce dividends. Russell 1000 Grow th Index: The index is a style index designed to track the performance
of stocks that exhibit the strongest growth characteristics by using a style -attractiveness-
weighting scheme.
3705134.1.1.ANZ.RTL 46You can also read
