spdr monthly chart pack
TRANSCRIPT
SPDR®
ETFs
Chart Pack
For institutional / professional inv estors use only.Please see Appendix D for more information on investment terms used in this Chart Pack.
Key Charts to Help Navigate the Market
September 2021 Edition
3757641.1.1.APAC.INST 1
2
Table of Contents1.
Market
Environment
3.
Econ,
Fundamentals
& Factors
4.
Sectors
5.
Fixed Income
Asset Class Performance
Market Breadth
Gold
Cross-Asset Volatility
Global COVID Cases and Vaccination
Global Economy
Chinese Economy
US Reopening Momentum
Global Valuation
Global Momentum
Global Earnings
US Factor Trends
Sector Flows & Returns
Thematic Sector Flows
& Returns
Sector Scorecard
Sector Earnings
Fixed Income Sector Performance
Yield Curve
Inflation
Bond Market Opportunities
Credit Trends
3757641.1.1.APAC.INST
2.
Investor
Behavior
Investor Positioning
ETF Asset Class Flow Trends
Flow Trends
Option Positioning
Investor Sentiment
3757641.1.1.APAC.INST 3
1. Market Environment
8.0
0.5 1.5
-4.1
1.82.9
0.52.0 2.2 0.8 1.6
-5.3
3.0
0.4
2.8
21.6
15.8
12.0
2.8
-0.60.0 -0.3
-1.3
4.5 3.7
0.0
-4.7
2.93.8
22.3
3.02.2
1.8
2.6
-0.1 -0.1 -0.1
0.0 0.4 0.5 0.8
-1.5
0.4
0.5
-0.9
-10
-5
0
5
10
15
20
25
Trailing 3 Month YTD Prior MonthMajor Asset Class Performance (%)
Source: Bloomberg Finance, L.P., as of 08/31/2021. 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 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. All figures in USD.
3757641.1.1.APAC.INST 4
Asset Class PerformanceUS large caps extended their leadership over other equities, while rate-sensitive
bonds registered negative returns amid higher yields.
US equities have outperformed developed ex-US markets for the third
straight month thanks to strong performance of mega-cap tech. stocks
22
1816
5
77
39
4547
35
4
9
45
53
10
18
62
19
3533
53
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2007 2013 2014 2015 2016 2017 2018 2019 2020 2021
YTD
% o
f Co. A
bove
their 2
00
-Day M
ovi
ng A
vg.
No. of D
ays a
t A
TH
No. of Days at All-time Highs Avg. Of % Co. Above 200-Day MA Yearly Avg. % of Co. >200-Day MA
3757641.1.1.APAC.INST 5
Market BreadthThe S&P 500 notched 53 all-time highs year-to-date, the third-highest number in
three decades, supported by healthy market breadth.
Market Breadth During S&P 500 All-Time Highs
Source:, Bloomberg Finance L.P., as of August 31, 2021.
The percentage of S&P 500 companies trading above their 200-
day averages this year is well above its 20-year average
3757641.1.1.APAC.INST
Gold Futures Positions: Managed Money
Source: Bloomberg Finance L.P., as of 08/31/2021.
6
Returns Since Gold’s 4-month Low (August 10, 2021)
GoldGold prices have rebounded strongly since its four-month low in March amid lower real yields
and COVID-related uncertainty, outperforming US large caps and other commodities.
-
20
40
60
80
100
120
140
160
180
200
Thousands
Long Gold Futures Positions - Managed Money
Short Gold Futures Positions - Managed Money
4.6%
3.0%
2.1%
1.5%
1.6%
0.1%
-0.7%
Gold Spot Price (US$/oz
Silver Spot Price (US$/oz)
S&P 500 Index
Bloomberg Commodity Index
S&P GSCI Index
WTI Oil
LME Copper Cash Price
20%
69%
46% 40%
54%
17%
26%
66%
34%
43%37%
6%
37%
43% 49% 49%46%
29%
91%
6%
60%
69% 57%71%
Currency Rates Oil S&P 500 Index Emerging
Markets Equity
U.S. High Yield
Corporate Bonds
Aug-21 Jul-21 May-21 One-Year Ago
11%
57%
40%
77%
Cross-Asset Class Dispersion
3757641.1.1.APAC.INST 7
Cross-Asset VolatilityRate implied volatility stayed elevated, while emerging market equity implied
volatility moved higher as China’s regulatory crackdowns continues.
Cross-Asset Implied Volatility
Percentile Rank of Daily Average, Three-Year
Cross-Asset Dispersion
Percentile Rank, Three-Year
Source: Bloomberg Finance, L.P., as of August 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 Volatil ity Index. High Yield bond-implied volatility is measured by the CBOE High Yield Corporate Bond ETF Volatil ity 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.
Oil implied volatility creeped higher amid weaker global demand
outlook and hurricane-induced production disruptions
Cross-asset dispersion fell to its
lowest level in almost two years
3757641.1.1.APAC.INST 8
2. Investor Behavior
97%
19%
0%
97%
94%
14%
6%
94%
92%
6%
25%
75%
36%
83%
47%50%
AAII Survey - Stock
Allocations
AAII Survey - Bond
Allocations
AAII Survey - Cash
Allocations
Hedge Fund Beta to
Equities
Aug-21 Jul-21 May-21 One-Year Ago
3757641.1.1.APAC.INST 9
Investor PositioningRetail and global macro hedge fund managers remained overweight to equities.
Meanwhile, equity ETF flows continue outpacing fixed income flows by a large margin.
Percentile Rank of Monthly Average, Three-Year
Source: Bloomberg Finance, L.P., AAII as of August 31, 2021. Past performance is not a guarantee of future results The AAII Investor Sentiment Survey offers insight into the mood of
individual investors. 30-Day Beta of HFRX Global Macro/CTA Index to the MSCI ACWI Index. All figures in USD.
The flow difference fell from its March peak but
remains near the top quintile of the past five years
Rolling 90-Day Flow Differences: Equity minus FI ETFs
$ Billions
-100
-50
0
50
100
150
200
250
Aug-16 May-17 Feb-18 Nov-18 Aug-19 May-20 Feb-21
Billio
ns
Rolling 90-Days Median
Top Quintile Bottom Quintile
43.7
8.1
1.5 0.4 0.3 0.1 0.1
-0.9 -1%
-1%
0%
1%
1%
2%
2%
-5
0
5
10
15
20
25
30
35
40
45
50
% A
UM
Gro
wth
from
Flo
ws
Flo
ws (
$B
)
Aug. Month to Date (% of Start-of-Month AUM)
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of 08/31/2021. Sectors, asset classes and flows are as of t he 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 in USD.
3757641.1.1.APAC.INST 10
ETF Asset Class Flow TrendsUS-listed ETFs took in $72 billion of inflows last month, with more than half of flows
moving into US equity funds.
Flows by Equity Regions
International developed exposures continue to attract investors’
interest, registering their 8th largest monthly flows ever
5,578
4,732
3,793
-340-111
207
-2%
-1%
0%
1%
2%
3%
4%
5%
-1,000
0
1,000
2,000
3,000
4,000
5,000
6,000
% A
UM
Gro
wth
from
Flo
ws
Flo
ws (
$M
)
Aug. Month to Date (% of Start-of Month-AUM)
Fixed Income Top and Bottom 3 Sectors
Top 3 Bottom 3
While the majority of flows went into the Agg and IG corporate
segments, TIPS ETFs had the most flows on a relative basis
-20
-15
-10
-5
0
5
10
15
Nov-04 Aug-07 May-10 Feb-13 Nov-15 Aug-18 May-21
Source: Bloomberg Finance L.P., State Street Global Advisors, as of August 31, 2021. Past performance is not a guarantee of future results . All figures in USD.
3757641.1.1.APAC.INST 11
Flow Trends (Continued)Investors continue piling into Quality-focused and defensive sector exposures amid
cautiously optimistic sentiment.
Defensive versus Cyclical Sector Flows
$ Billions
High vs. Low Quality Excess Returns and Quality ETF Flows
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
-3
-2
-1
0
1
2
3
4
5
6
Retu
rn D
iff. (%)
Flo
ws (
$B
n)
Rolling 3-Month Cumulative Flow
S&P 500 High vs. Low Excess Return.
Source: Bloomberg Finance, L.P. as of August 31, 2021.
3757641.1.1.APAC.INST 12
Option PositioningInvestors are cautiously optimistic, adding downside protections, as the equity
index put/call volume ratio rose to near its highest level since November.
Stock Put/Call Volume Ratio and Market Drawdowns
Equity Index Put/Call Ratio and SKEW Index
0.3
0.5
0.7
0.9
1.1
-40%
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21
CB
OE
Eq
uity P
ut/C
all R
atioS
&P
500 D
raw
dow
n (%
)
Market Drawdown CBOE Equity Put/Call Ratio - 20-Day Moving Average
1.0
1.2
1.4
1.6
1.8
100
110
120
130
140
150
160
170
180
Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21
Index O
ptio
n P
ut/C
all R
atio
SK
EW
Index
SKEW Index CBOE Index Put/Call Ratio - 20-Day Moving Average
Significant market drawdowns historically
coincided with a peak in stock put/call ratio
217 days without a
5% drawdown (third
longest ever)
3757641.1.1.APAC.INST 13
Investor SentimentWhile institutional investors showed higher risk appetite last month, retail investors
have become less bullish.
Retail: AAII US Investor Sentiment Bullish and Bearish Reading
4-week Moving Average
Source: Bloomberg Finance, L.P., AAII as of August 31, 2021. Past performance is not a guarantee of future results The AAII Investor Sentiment Survey offers insight into the mood of
individual investors.
Investor confidence registered its highest reading in more than
three years
60
80
100
120
140
State Street Investor Confidence Index One-Year Moving Average
Institutions: State Street Confidence Index
10
20
30
40
50
60
AAII Bull Index AAII Bear Index
2. Econ, Fundamentals
& Factors
3757641.1.1.APAC.INST 14
15
35
61636470
1010
52
29
5863
South AfricaIndiaUnited StatesBrazilEuropean
Union
United
Kingdom
Atleast One Shot
People Fully Vaccinated
Source: Our World in Data, Bloomberg Finance L.P., as of 08/31/2021.
3757641.1.1.APAC.INST 15
Global COVID Cases and VaccinationNew cases keep surging in the US but have plateaued in continental Europe, as
the latter has surpassed the US in vaccination rates.
Daily New Confirmed COVID-19 Cases
Rolling seven-day average, per Million people of the population
Received one dose vs. full dose of COVID-19 Vaccine
% of total population
China has taken a more stringent approach in dealing with the
spread of the Delta variant than Europe and the US
0
100
200
300
400
500
600
700
800
900
1000
Jan-2020 May-2020 Sep-2020 Jan-2021 May-2021
Brazil European Union India
South Africa United Kingdom United States
0
20
40
60
80
100
Index L
eve
l
Current Past PeakGovernment Response Stringency
-400
-300
-200
-100
0
100
200
300
Index L
evels
Eurozone US Emerging Markets Global
30
34
38
42
46
50
54
58
62
Eurozone United States Global
Source: Bloomberg Finance, L.P. as of 08/31/2021. Past performance is not a guarantee of future results.
3757641.1.1.APAC.INST 16
Global EconomyEconomic sentiment continues to roll over across regions amid surging delta variant
cases, although manufacturing activity remains near historical highs.
Citigroup Economic Surprise Indices Markit Manufacturing PMI Indices
Expansio
nC
ontr
actio
n
53.0
56.3
49.2
50.3
54.9
57.8
49.2
54.9
Manufacturing Services
Caix
in C
hin
a P
MI
12/30/2020 1-Year Trough 1-Year Peak July
3757641.1.1.APAC.INST
China Economic Surprise and Credit Impulse
Source: Bloomberg Finance L.P., as of 7/31/2021, except for Citi Economic Surprise Index, and Caixin China PMIs, which are as of 8/31/2021.
17
China’s services and manufacturing PMIs fell into contractionary
territory for the first time since the recovery began
Chinese EconomyChina’s economic activity has slowed down over the summer, as a wave of local
infections sparked new restrictions on business activity.
Chinese Economic Data (1-Year)
15
17
19
21
23
25
27
29
31
33
-250
-200
-150
-100
-50
0
50
100
Chin
a C
redit Im
puls
e In
dex
Citi E
conom
ic S
urp
rise
Index
Citi Economic Surprise Index - China
Bloomberg Economics China Credit Impulse
4.6
7.3
-1.1
4.8
34.2
14.1
8.56.4
Retail Sales Industrial
Production
YoY
Gro
wth
(%
)
-120
-100
-80
-60
-40
-20
0
20
0
0.5
1
1.5
2
2.5
Feb-2020 Aug-2020 Feb-2021 Aug-2021
Open T
able
Change fro
m 2
019 L
eve
ls (%
)
TS
A T
ota
l Tra
vele
r Thro
ughput
(Mill
ions)
TSA Throughput Open Table Change from 2019
3757641.1.1.APAC.INST 18
US Reopening MomentumUS mobility, travel and dining booking trends have retreated from their recent peak
on the back of surging cases.
Mobility Trends
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results Global Mobility Report, Google as of 08/29/2021. The data shows how visits
to places, such as grocery stores and parks, are changing in each geographic region. Retail and Recreation = Mobility trends for places like restaurants, cafes, shopping centers, theme
parks, museums, l ibraries, and movie theaters. Grocery & Pharmacy = Mobility trends for places like grocery markets, food warehouses, farmers markets, specialty food shops, drug
stores, and pharmacies. ransit Stations = Mobility trends for places like public transport hubs such as subway, bus, and train stations. Data points are a roll ing seven-day average to
reduce cyclical swings.
TSA Traveler Throughput Vs. Open Table Changes vs 2019
-50
-40
-30
-20
-10
0
10
20
30
Feb-20 Jun-20 Oct-20 Feb-21 Jun-21
Baselin
e =
0
Retail & Recreation Grocery & Pharmacy Transit Stations
Source: State Street Global Advisors, FactSet, as of 08/31/2021. * 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.
3757641.1.1.APAC.INST 19
Global ValuationValuations 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 Top 3 Attractive ValuationBottom 3 Expensive Valuation
Valuation to Region History (Percentile)Absolute
Valuation
Composite
Z-Score
Valuation Relative to S&P 500 (Percentile) Relative
Valuation
Z-ScoreP/E NTM P/E P/B P/S P/E NTM P/E P/B P/S
US
/Sty
le/R
eg
ion
S&P 500 94% 93% 99% 98% 2.47 — — — — —
S&P MidCap 400 Index 76% 68% 98% 97% 1.26 1% 0% 4% 4% -2.06
S&P SmallCap 600 Index 32% 27% 70% 88% 0.20 0% 0% 4% 5% -2.25
S&P 500 Value 88% 92% 98% 97% 1.82 4% 2% 4% 6% -1.58
S&P 500 Grow th 94% 99% 100% 99% 2.87 98% 100% 99% 96% 2.26
MSCI EAFE 80% 89% 88% 98% 1.25 4% 0% 1% 2% -1.80
MSCI Europe 88% 89% 91% 98% 1.50 21% 0% 2% 3% -1.57
MSCI EM 80% 70% 71% 93% 0.74 2% 0% 1% 0% -1.39
Majo
r C
ou
ntr
ies
MSCI Canada 57% 50% 86% 98% 0.81 2% 0% 6% 7% -1.76
MSCI Japan 49% 70% 79% 97% 0.53 0% 1% 1% 2% -1.20
MSCI Germany 61% 89% 82% 97% 1.01 0% 0% 1% 1% -2.01
MSCI France 92% 89% 90% 98% 1.50 28% 3% 5% 7% -1.20
MSCI UK 68% 46% 43% 93% 0.35 3% 0% 2% 4% -1.95
MSCI China 73% 78% 57% 67% 0.27 20% 22% 0% 3% -0.84
MSCI Russia 70% 67% 78% 73% 0.20 27% 6% 21% 18% -0.76
MSCI Brazil 0% 2% 69% 65% -0.88 0% 0% 2% 1% -2.30
MSCI India 93% 100% 74% 93% 1.54 38% 68% 13% 18% -0.56
Source: State Street Global Advisors, Bloomberg, as of 08/31/2021. *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 guarantee of future results .
3757641.1.1.APAC.INST 20
Global MomentumRegulator concerns and slowing economic growth weighed on Chinese equity
momentum. Meanwhile, Indian equities ranked the top amid declining cases.
Momentum Scorecard Rankings Top 3 Rank on MomentumBottom 3 Rank on Momentum
US small cap and value stocks continue to show weak momentum
Price Momentum* Technicals Continuous Momentum
Combined
Average
Rank3 Month 6 Month 12 Month
% above
50-Day
Moving
Average
% above
200-Day
Moving
Average
%
Difference
50- to
200-Day
Moving
Average
# of
Positive
Return
Days (90-
Day
Lookback)
# of
Positive
Return
Days
(180-Day
Lookback)
# of
Positive
Return
Days
(12-Month
Lookback)
US
/Sty
le/R
eg
ion
s
S&P 500 5.1% 18.3% 34.4% 3.0% 11.7% 8.4% 54 104 142 6
S&P MidCap 400 Index -0.8% 15.5% 45.1% 2.3% 7.6% 5.2% 45 98 139 10
S&P SmallCap 600 -0.3% 12.8% 55.0% 1.8% 6.9% 5.1% 47 101 139 10
S&P 500 Value 1.5% 17.8% 32.5% 1.6% 7.7% 6.1% 51 101 140 9
S&P 500 Grow th 8.5% 18.8% 35.9% 5.0% 15.9% 10.4% 55 105 144 4
MSCI EAFE 2.3% 9.3% 27.5% 1.3% 4.9% 3.6% 54 114 161 9
Euro Stoxx 4.1% 14.0% 30.3% 1.7% 9.1% 7.3% 61 117 157 5
MSCI EM -5.2% -3.9% 18.4% -1.8% -3.3% -1.5% 42 96 143 15
Majo
r C
ou
ntr
ies
MSCI Canada 4.7% 20.9% 34.7% 1.4% 8.8% 7.4% 53 105 148 6
MSCI Japan -0.2% 0.0% 23.1% 0.6% 3.2% 2.6% 43 99 136 14
MSCI Germany 0.6% 9.5% 23.4% 1.3% 6.8% 5.4% 54 105 144 10
MSCI France 3.4% 18.0% 37.4% 1.1% 9.0% 7.8% 59 117 157 5
MSCI UK 1.8% 11.7% 26.3% 0.6% 4.6% 4.0% 57 103 141 11
MSCI China -14.0% -19.2% -1.1% -7.1% -15.1% -8.6% 39 86 129 17
MSCI Russia 9.9% 18.4% 27.3% 2.2% 10.4% 8.0% 56 108 151 5
MSCI Brazil 7.5% 9.9% 15.9% -4.7% 0.0% 4.9% 49 91 139 13
MSCI India 8.4% 15.4% 41.9% 6.0% 15.6% 9.0% 61 116 164 3
0
20
40
60
80
100
S&P 500 MSCI EAFE MSCI Emerging Markets S&P 600
0.0
1.0
2.0
3.0
4.0
5.0
6.0
S&P 500 Index MSCI EAFE Index
MSCI Emerging Markets Index S&P 600
Source: FactSet, as of 08/31/2021. Characteristics are as of the date indicated, are subject to change, and should not be rel ied 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.
3757641.1.1.APAC.INST 21
Global EarningsThe earnings revision ratio of US large caps fell from its recent peak but remains
well ahead of other regions.
2021 EPS Growth Estimates (%) 2021 EPS Revision: 3-Month Up-to-Downgrade Ratio
EM earnings revisions have lagged developed
markets since March
70
75
80
85
90
95
100
105
110
115
120
Rela
tive Perf
orm
ance (
Begin
nin
g = 1
00)
Quality Size Dividend Momentum Value Min. Vol.
Source: Bloomberg Finance, L.P. as of 08/31/2021. Past performance is not a guarantee 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 Ind ex; 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.
3757641.1.1.APAC.INST 22
US Factor TrendsQuality shows steady upward trends, outperforming Value - the worst performing
factor – by 13% on a trailing three-month basis.
MSCI USA Factor Index Versus MSCI USA Index (Three Years) Period Excess Returns Versus MSCI USA Index (%)
Strong performance of Financials and high momentum stocks in Health Care
contributed more than half of Momentum’s outperformance in August
-1.0
0.2
-0.6
-1.0
1.3
-2.1
-0.8
3.7
-2.8
-5.1
-1.1
-9.7
-5.4
2.0
1.4
-4.3
-8.0
1.5
Min. Vol.
Quality
Size
Dividend Yield
Momentum
Value
YTD Trailing 3 Month Prior Month
3757641.1.1.APAC.INST 23
3. Sectors
Worst-Performing Sector
Least Flows in Period
Best-Performing Sector
Most Flows in Period
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of August 31, 2021. Past performance is not a guarantee 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 Short Int erest higher than the prior month. All figures in USD.
3757641.1.1.APAC.INST 24
Sector Flows & ReturnsSector flows followed performance, led by defensive and secular growth sectors , as
investors position towards high quality and reliable growth segments.
Technology contributed half of S&P 500 total returns over the past three
months, followed by Communication Services and Health Care
Track Sector and Industry Performance
Global Equity
Sector Heatmap
Positioning Returns
Prior Month
Flow ($M)
Trailing
Three-Months
Flow ($M)
Trailing 12-
Months Flow
($M)
Current Short
Interest (%)
One-Month
Prior Short
Interest (%)
Prior Month
Return (%)
3-Month
Return (%)
YTD Return
(%)
Consumer Discretionary -224 -2,283 3,975 9.6 9.3 2.12 6.55 13.17
Consumer Staples 269 2,260 -2,491 7.1 7.6 1.40 3.80 9.21
Energy -1,287 -742 13,268 9.5 9.0 -2.04 -6.01 30.84
Financial 2,372 -1,959 23,879 9.9 9.6 5.14 1.58 31.47
Health Care 1,701 4,667 4,078 10.4 11.0 2.38 9.90 20.12
Industrials -592 -2,585 8,663 7.4 8.1 1.15 -0.21 18.78
Materials -812 -1,102 10,332 5.6 4.9 1.92 -1.52 19.07
Real Estate 722 4,007 10,659 4.1 4.3 2.81 11.01 32.64
Technology 3,053 7,334 9,534 3.4 3.6 3.56 15.04 22.36
Communications 1,024 1,522 2,090 1.6 1.6 5.01 11.72 30.15
Utilities 1,122 1,643 211 14.6 14.5 3.98 6.13 11.07
-18.6
-13.8
-13.5
-12.8
-12.5
-11.1
-10.0
-9.7
-8.1
-6.6
-6.0
-4.0
New Consumer
Future Communication
Clean Energy
Cloud Computing
Human Evolution
Democratized Banking
Smart Mobility
Broad Innovation
Robotics & AI
Final Frontiers
Future Security
Intelligent Infrastructure
Worst-Performing Thematic Sector
Least Flows in Period
Best-Performing Thematic Sector
Most Flows in Period
Source: State Street Global Advisors, Bloomberg Finance, L.P., as of August 31, 2021. Past performance is not a guarantee of future results. All figures in USD.
3757641.1.1.APAC.INST 25
Thematic Sector Flows & ReturnsThematic ETFs had another month of outflows, as 88% of thematic ETFs have
underperformed the S&P 500 by an average of 12% year to date.
YTD Category Average Return
Excess over the S&P 500 (%)Thematic
NextGen
Trends
Flow Performance Size
Prior
Month
($M)
Trailing
3-Mos.
($M)
Prior Mo.
Avg.
Return
(%)
% of
Funds
beating
S&P 500 (Prior
Mo.)
Trailing
3-Mos.
Avg.
Return (%)
% of
Funds
beating
S&P 500 (Trailing
3-Mos.)
Current
AUM
# of
Funds
Broad Innovation -393 -436 3.0% 50.0% 6.2% 45.8% 31,696 24
Clean Energy 555 1,623 1.8% 22.2% 5.5% 38.9% 32,399 36
Cloud Computing -103 -240 3.9% 88.9% 12.2% 66.7% 9,437 9
Democratized
Banking-114 -188 5.1% 60.0% 8.2% 50.0% 6,678 10
Final Frontiers -22 -44 2.4% 66.7% 2.0% 0.0% 760 3
Future
Communication-258 -349 1.8% 35.0% 0.4% 15.0% 13,006 20
Future Security 214 1,007 5.3% 75.0% 14.6% 75.0% 8,786 8
Human Evolution -239 -136 2.3% 50.0% 4.6% 37.5% 10,881 24
Intelligent
Infrastructure100 129 2.0% 20.0% 5.4% 60.0% 1,159 5
New Consumer -151 -511 -1.7% 8.0% -6.9% 16.0% 5,841 25
Robotics & AI -155 -390 5.5% 81.8% 8.8% 45.5% 8,846 11
Smart Mobility -4 245 1.1% 0.0% 4.9% 28.6% 2,063 7
Source: State Street Global Advisors, FactSet, Bloomberg Finance, L .P. as of 08/31/2021. Green shading is top 3, red shading 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. Volatil ity score is not available for the communication services sector due to data availability.
3757641.1.1.APAC.INST 26
Sector ScorecardStrong earnings sentiment in Real Estate, Technology and Financials supported their
price momentum, with Financials also showing attractive valuations.
Consumer Discretionary price momentum dropped to the bottom three in August
Sector Composite Z-Score*
Valuation Composite Score Momentum Composite Score Earnings Sentiment Composite Score
Communication Serv ices -0.65 0.80 0.47
Consumer Discretionary -0.95 -0.90 0.19
Consumer Staples 0.17 -0.80 -0.68
Energy 1.93 0.19 0.43
Financials 0.72 0.64 0.80
Health Care 0.02 0.08 -0.31
Industrials -0.29 0.27 -0.26
Information Technology -1.20 0.71 0.68
Materials 0.63 -0.05 -0.91
Real Estate -0.02 0.73 0.54
Utilities 0.11 -1.67 -0.94
91%78%
28% 27% 23% 18% 14%9% 4%
0% 0%-20%
0%
20%
40%
60%
80%
100%
Materials Industrials Tech. S&P 500 Comm. Svs. Financials Real Estate Health Care Cons. Disc. Cons. Staples Utilities
20.7
16.9
8.3 7.0 6.4 5.5 5.3 4.2 3.92.0 1.3
-0.5
13.4
7.8
27.4
6.2
24.2
11.4
16.4 15.2
20.8
9.1 10.4
14.0
-5
0
5
10
15
20
25
30
Energy Real Estate Financials Materials Comm. Svs. Industrials S&P 500 Tech. Cons. Disc. Health Care Cons.
Staples
Utilities
%
Changes to 2021 EPS Est. Since 6/30/2021 Q2 EPS Surprises
Source: FactSet, as of August 31, 2021. Characteristics are as of the date indicated, are subject to change, and should not b e relied upon as current thereafter. EPS growth estimates are
based on Consensus Analyst Estimates compiled by FactSet.
3757641.1.1.APAC.INST 27
Sector EarningsDespite strong Q2 earnings beats in Consumer Discretionary, analysts are less
optimistic about its growth prospects given the spread of Delta variant.
Materials and Industrials are expected to
continue leading earnings growth in Q3
2021 EPS Revisions and Q2 EPS Surprises
S&P 500 Sector (ex-Energy): Q3 Estimated EPS Growth
4. Fixed Income
3757641.1.1.APAC.INST 28
1.6 1.8
0.0
7.7
3.1
0.4
2.7
1.0
6.0
0.7
2.0
0.8
-2.1
-1.0
2.4
-1.6
-0.7
-1.4
0.1
-4.3
4.3
-0.3-0.2
0.1
-0.3
1.5
3.8 3.7
-3.3
-4.6
0.1
-4.4
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
US Agg US Treasury Short-TermTreasuries
Long-TermTreasuries
US TIPS US MBS US IG Corp. 1-10 Yr IGCorp.
10 Yr+ IGCorp.
Municipals US HighYield
Sr. Loans DevelopedEx-US IG
Corp.
DevelopedEx-US
Sovreign
EM HardCurrencySovereign
EM LocalDebt
Trailing 3 Month YTD Prior Month
3757641.1.1.APAC.INST 29
Fixed Income Sector PerformanceDeveloped ex-US segments underperformed US peers across all time periods given
a stronger US dollar, but investors favor EM hard currency debt for income.
Fixed Income Segment Performance (%)
Source: Bloomberg Finance, L.P., as of 08/31/2021. 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 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 Barclays Mu nicipal Bond Index.
EM hard currency sovereign debt has outperformed
US high yield on a trailing 3-month basis
0.0 0.0 0.1
0.10.2
0.4
0.8
1.1
1.3
1.9
0.0 0.0 0.00.1
0.2
0.3
0.7
1.0
1.2
1.8
0.00.1 0.1 0.1 0.1
0.2
0.4
0.6
0.9
1.6
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
Yie
ld (%
)
8/31/2021 7/31/2021 12/31/2020
-6 -6 -6 -5
8
26
5160 61
46
-1 -3 -3 -4
9
24
42 44 4029
-1 0
1 0 3 7 9 9 9 4
-20
0
20
40
60
80
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
Change in
Bps
1 Year Ago YTD 1 Month Ago
Source: Bloomberg Finance, L.P., as of 08/31/2021. Past performance is not a guarantee of future results.
3757641.1.1.APAC.INST 30
Yield CurveThe yield curve steepened in August, as the long-end of the curve moved higher,
while the dovish Fed anchored the short-end near zero.
US Treasury Curve US Treasury Active:
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
%
US Core PCE
US Core CPI
Atlanta Fed Sticky CPI
Dallas Fed Trimmed Mean One Year PCE Inflation
3757641.1.1.APAC.INST
Inflation Expectations
Source: Bloomberg Finance L.P., as of 8/31/2021. Data in the right chart are as of 7/31/2021
31
Inflation Measurements (YoY Changes)
Inflation CPI and PCE inflations fell from their recent peaks but stayed well above historical
norms, while inflation expectations moved sideways in August.
The Trimmed Mean PCE inflation has not gone up to an extreme
level, indicating a transitory nature of the recent inflation trends
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
%
2-Year Breakeven
5-Year Breakeven
10-Year Breakeven
0.9
2.0
2.9
1.4
3.9
4.5
3.8
1.7
7.1
8.7
5.2
6.7
3.8
5.0
0.5
4.54.4
7.0
8.4
3.5
9.2 9.0
7.0
2.00.2
0.3
0.4
0.40.4
0.5 0.6
0.8
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
0
1
2
3
4
5
6
7
8
9
10
Treasuries IG Corp HY Munis Agg HY Preferreds Senior Loans MBS
Yie
ld-P
er-U
nit-o
f-Vo
latility
Yie
ld (
%),
Du
ratio
n (Y
ea
rs),
Sta
nd
ard
De
via
tio
n (%
)
Yield to Worst Duration 36-Month Standard Deviation Yield Per Unit of Volatility
Source: Bloomberg Finance, L.P., as of 08/31/2021. 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 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 Corporate 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 Agg regate Index, MBS = Bloomberg Barclays US MBS Index, Agg = Bloomberg Barclays US Aggregate Bond Index, Preferreds = Wells Fargo Hybrid and Preferred Securities Aggregate Index.
1984314.73.1.AM.RTL 32
Bond Market OpportunitiesWith rates still well below their historical levels, income generation remains
challenging for bond investors.
Bond Market Segments
660
372
221
288
114
87
1115
552
377
531
163
154
US High Yield CCC & Lower
US High Yield B Rated
US High Yield BB Rated
Broad High Yield
US BBB Rated
IG Corporate
20-Yr. Avg August
1
1
-6
-12
-14
6
3
1
-8
-21
-5
21
IG Corporate
US BBB Rated
Broad High Yield
US High Yield BB Rated
US High Yield B Rated
High Yield CCC & Lower
Trailing 3 Months August
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of 08/31/2021.. 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 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 inv est directly in an index.
1984314.73.1.AM.RTL 33
Credit TrendsCredit spreads tightened last month after short-lived spread widening in July,
except for CCC & lower-rated high yield segments.
0
5
10
15
20
25
Bloomberg Barclays US Corporate High Yield Index
Bloomberg Barclays US Corporate Index
Bloomberg Barclays High Yield Energy Index
Credit Spreads (%) Credit Spread Changes in Basis Points
Credit Spread Current vs. 20-Year Averages (bps)
Broad HY and IG spreads
remain more than
40% below their
long-term averages
95
100
105
110
115
120
125
130
ICE BofA US High Yield Index
ICE BofA BB US High Yield Index
ICE BofA Single-B US High Yield Index
ICE BofA CCC & Lower US High Yield Index
ICE BofA US Corp BBB
S&P/LSTA Senior Loan Index
0.1
0.0
-0.1
0.0
0.5
0.4
0.5
0.5
0.4
-1.3
-0.5
-0.6
0.8
3.9
3.7
9.8
4.6
3.7
-5 0 5 10 15
AAA
AA
A
BBB
BB
B
CCC & Lower
Broad High Yield
Senior Loans
Invesm
tent G
rade
Hig
h Y
ield
%
1-Month Return YTD Return
Source: Bloomberg Finance, L.P., BofA Merrill Lynch, as of 08/31/2021. Past performance is not a guarantee 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.
1984314.73.1.AM.RTL 34
Credit Trends (continued)Credit segments modestly moved higher last month, led by high yield bonds,
underscoring the stable economic outlook.
Credit Segment Performance (1 Year) Base = 100 IG and HY Performance by Credit Rating
Source: Bloomberg Finance, L.P., as of 08/31/2021 Past performance is not a guarantee of future results. Performance of an index is not illustrative of any particular investme nt. It is not possible to inv est directly in an index.
1984314.73.1.AM.RTL 35
Credit Trends (continued)The upgrade-to-downgrade ratio for below investment grade debt has surged to
record highs, reflecting upbeat optimism on the health of the credit market.
Rating Changes for High Yield Bonds % of Distressed Bonds within the ICE BoFA ML High Yield Index
0.0
0.5
1.0
1.5
2.0
2.5
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
Ratio
Ratings A
ctions
Upgrades Downgrades Upgrade/Downgrade Ratio
0%
5%
10%
15%
20%
25%
Sep-11 Jan-14 May-16 Sep-18 Jan-21
The percent of high yield bonds trading over
1,000 basis points is at an all-time low
Appendix
3757641.1.1.APAC.INST 36
A Fund Flow Summary
B Asset Class Forecast
C SPDR Sector Scorecard
D Definitions
E Important Disclosures
Source: State Street Global Advisors, Bloomberg Finance, L.P. As of August 31, 2021. Segments with top 2 inflows in each cate gory 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 in USD.
3757641.1.1.APAC.INST 37
Appendix A
Fund Flow SummaryAsset Category Prior Month ($M) Year to Date Trailing 3 Months ($M) Trailing 12 Months ($M)
Equity Region
U.S. 43,696 285,828 103,183 378,425
Global -905 41,995 4,762 69,454
Global-Ex Thematic 116 16,262 5,133 20,688
International-Developed 8,131 61,943 24,863 81,772
International-Emerging Markets 330 25,630 4,177 35,820
International-Region 372 17,886 4,613 18,290
International-Single Country 1,533 8,653 3,119 16,548
Currency Hedged 137 675 325 -99
US Size & Style
Broad Market 8,558 68,694 22,848 100,590
Large-Cap 29,245 136,665 71,813 163,833
Mid-Cap 2 5,739 -1,243 7,595
Small-Cap 164 21,575 2,574 36,256
Grow th 6,939 16,111 20,313 19,573
Value 2,548 47,005 3,633 64,506
Fixed Income
Sectors
Aggregate 5,578 64,521 22,855 99,798
Government 2,791 7,076 6,040 1,998
Short Term 267 832 -2,132 -3,084
Intermediate 1,549 5,075 3,287 1,869
Long Term (>10 yr) 975 1,169 4,886 3,212
Inflation Protected 3,793 24,798 10,413 31,615
Mortgage-Backed -340 4,507 -382 10,715
IG Corporate 4,732 11,879 5,217 24,596
High Yield Corp. 207 -1,194 -742 -2,343
Bank Loans 720 8,083 2,128 8,862
EM Bond 373 5,176 2,244 8,920
Preferred 1,161 4,964 3,203 8,598
Convertible -111 -77 103 312
Municipals 1,345 14,736 6,191 21,010
7.9 7.76.8
N/A
2.11.2 0.7
9.6
7.3 6.8 6.37.0
1.70.2 0.1
4.9
US
Small Cap
US
Large Cap
Global
Developed
Ex-US
Emerging
Market
Equities
US
High Yield
US
Investment
Grade Bonds
US
Government
Bonds
Commodities
1 Year 3-5 Year
6.3 6.3 5.8
N/A
1.91 0.4
7.1
5.4 4.95.6
8.2
1.80.5 0.2
2.9
US
Small CapUS
Large CapGlobal
Developed
Ex-US
Emerging
Market
Equities
US
High YieldUS
Investment
Grade Bonds
US
Government
Bonds
Commodities
1 Year 3-5 Year
Source: State Street Global Advisors Investment Solutions Group. The forecasted returns are based on SSGA’s Investment Solutions 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 annually, 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, which could differ substantially. Please reference Appendix B
(continued) for the assumptions used by SSGA Investment Solutions Group to create asset class forecasts.
3757641.1.1.APAC.INST 38
Appendix B
Asset Class Forecast
Forecasted Return (%) as of 03/31/2021
Forecasted Return (%) as of 06/30/2021
3757641.1.1.APAC.INST 39
Appendix 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 structures, 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 no guarantee 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.
Source: SPDR America Research.
3757641.1.1.APAC.INST 40
Appendix C
SPDR Sector ScorecardThe metrics shown are z-scores, which
are calculated using the mean and
standard deviation of the relevant metrics
within S&P 500 sectors. Using Z-scores
to standardize results across all sectors
allows for easier relative assessment.
Sectors with cheaper valuation, higher
price momentum, higher sentiment and
higher volatility will have higher z-scores.
We calculate a composite score by
equally weighting each metric z-score
in the same category.
The scorecard does not represent the
investment views of State Street. Metrics
used in the scorecard have not been
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.
Composite Score Metrics
Validation Relative Valuation(P/B, P/E, NTM P/E, P/S)
Absolute Valuation (P/B, P/E, NTM P/E, P/S)
Earnings Sentiment Earnings Revision (Changes to EPS Estimates, Upgrade to
Downgrade Ratio)
Earnings Surprise (The Magnitude and Breadth
of Earnings Surprise)
Momentum Price Returns 3-Months, 6-Months,
12-Months
Basis Point: One hundredth of one percent, or 0.01%.
Bloomberg Commodity Index: Bloomberg Commodity Index (BCOM) is calculated
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
weight-caps are applied at the commodity, sector and group level for diversification.
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 -
sovereign, and corporate issuers in the developing markets.
Bloomberg Barclays EM Hard Currency Index: The Bloomberg Barclays Emerging
Markets Hard Currency Aggregate Index is a flagship hard currency Emerging Markets
debt benchmark that includes USD-denominated debt from sovereign, quasi -sovereign,
and corporate EM issuers.
Bloomberg Barclays Global Aggregate Bond Index: A benchmark that provides a
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
the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen
corporate bonds, Canadian government, agency and corporate securities, and USD
investment-grade 144A securities.
Bloomberg Barclays Global Aggregate Bond Index: The Bloomberg Barclays Global
Aggregate Index is a flagship measure of global investment grade debt from twenty-four
local currency markets. This multi -currency benchmark includes treasury, government-
related, corporate and securitized fixed-rate bonds from both developed and emerging
markets issuers.
Bloomberg Barclays Municipal Bond Index: Index that covers the USD-denominated
long-term tax-exempt bond market. The index has four main sectors: state and local
general obligation bonds, revenue bonds, insured bonds and prerefunded bonds.
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
investment grade government bonds, investment grade corporate bonds, mortgage pass
through securities, commercial mortgage backed securities and asset backed securities
that are publicly for sale in the US.
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
equal to 1 year and less than 3 years, are rated investment grade.
Bloomberg Barclays US Corporate Bond Index: The Bloomberg Barclays US Corporate
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.
Bloomberg Barclays US Treasury Index: Measures US dollar-denominated, fixed-rate,
nominal debt issued by the US Treasury.
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 US Treasury Bill 1–3 Months Index: The Bloomberg Barclays
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
equal to 1 month and less than 3 months.
Bloomberg Barclays US FRN < 5yr Index: The Bloomberg Barclays US Dollar Floating
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.
Bloomberg Barclays U.S. MBS Index (the "MBS Index") measures the performance
of the U.S. agency mortgage pass-through segment of the U.S. investment grade
bond market.
Breakev en Inflation Rate: It is a market based measure of expected inflation. It is the
difference between the yield of a nominal bond and an inflation linked bond of the
same maturity.
Appendix D
Definitions
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Bloomberg Barclays US High Yield Index: The Bloomberg USD High Yield Corporate
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
the index a security must have a minimum par amount of 250MM.
Bloomberg Barclays US Treasury Index: The Bloomberg US Treasury Bond Index is a
rules-based, market-value weighted index engineered to measure the performance and
characteristics of fixed rate coupon US Treasuries which have a maturity greater than
12 months. To be included in the index a security must have a minimum par amount
of 1,000MM.
Bloomberg US Pure Value Index: The return of the top quintile less the bottom quintile
value stocks.
CBOE VIX Index: The Chicago Board Options Exchange (CBOE) Volatility Index shows
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.
Citigroup Economic Surprise Index: The Citi Economic Surprise Indices measure data
surprises relative to market expectations. A positive reading means that data releases
have been stronger than expected and a negative reading means that data releases have
been worse than expected.
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.
Current Short Interest (%): The percentage of tradable outstanding shares which have
been shorted. Used as a measure of investor sentiment.
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.
Since many high yields bonds are callable,, the price of the callable bonds might drop in
the event of fall ing yields because the bond could be called.
DXY Dollar Index: The DXY Dollar Index tracks the performance of a basket of foreign
currencies issued by US major trade partners, including Eurozone, Japan, U.K. Canada,
Sweden and Switzerland, versus the US Dollar.
Euro STOXX 50 Index: Europe’s leading blue-chip index for the Eurozone, provides
a blue-chip representation of super-sector leaders in the Eurozone. The index covers
50 stocks from 12 Eurozone countries.
EBITDA: Earnings before Interest Taxes Depreciation and Amortization.
Excess Returns: A security’s return minus the return from another security in the same
time period.
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.
The GICS structure consists of 10 sectors, 24 industry groups, 67 industries and
156 sub-industries [1] into which S&P has categorized all major public companies.
Implied Volatility: The estimated volatility of a security’s price. In general, implied
volatil ity 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.
LBMA Gold Price Index: Provides the price platform and methodology as well as the
overall administration and governance for the LBMA Gold Price.
Minimum Volatility Factor: A category of stocks that are characterized by relatively less
movement in share price than many other equities.
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
“momentum” one of the six smart beta factors that are systematically being isolated in
new-generation strategic indexes.
MSCI Brazil Index: An equities benchmark that captures large- and mid-cap
representation in Brazil.
MSCI Canada Index: An equities benchmark that captures large- and mid-cap
representation in Canada.
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).
MSCI China On Shore: A benchmark that captures large and mid cap representation
across China securities listed on the Shanghai and Shenzhen exchanges
Nasdaq Golden Dragon China Index is a modified market capitalization weighted index
comprised of companies whose common stock is publicly traded in the United States and
the majority of whose business is conducted within the People's Republic of China.
MSCI EAFE Index: An equities benchmark that captures large- and mid-cap
representation across developed market countries around the world, excluding the US
and Canada.
MSCI Emerging Market Index: The MSCI Emerging Markets Index captures large and
mid-cap representation across 23 emerging markets countries. With 834 constituents,
the index covers approximately 85% of the free float-adjusted market capitalization in
each country.
Appendix D (continued)
Definitions
423757641.1.1.APAC.INST
MSCI Europe Index: The MSCI Europe Index is a free-float weighted equity index
designed to measure the equity market performance of the developed markets in Europe.
MSCI France Index: An equities benchmark that captures large- and mid-cap
representation in France.
MSCI Germany Index: An equities benchmark that captures large- and mid-cap
representation in Germany.
MSCI India Index: An equities benchmark that captures large- and mid-cap
representation in India.
MSCI Japan Index: The MSCI Europe Index is a free-float weighted equity index
designed to measure the equity market performance of the developed markets in Japan.
MSCI Russia Index: An equities benchmark that captures large- and mid-cap
representation in Russia.
MSCI UK Index: An equities benchmark that captures large- and mid-cap representation
in UK.
MSCI USA Enhanced Value Weighted Index: The MSCI USA Enhanced Value
Weighted Index captures large and mid-cap representation across the US equity markets
exhibiting overall value style characteristics. The index is designed to represent the
performance of securities that exhibit higher value characteristics relative to their peers
within the corresponding GICS® sector.
MSCI USA Equal Weighted Index: The MSCI USA Equal Weighted Index represents an
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,
effectively removing the influence of each constituent’s current price (high or low).
MSCI USA High Div idend Yield Index: The MSCI World High Dividend Yield Index is
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
REITs) with higher dividend income and quality characteristics than average dividend
yields that are both sustainable and persistent. The index also applies quality screens and
reviews 12-month past performance to omit stocks with potentially deteriorating
fundamentals that could force them to cut or reduce dividends.
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
exposure to emerging markets.
MSCI USA Minimum Volatility Index: The MSCI USA Minimum Volatility (USD) Index
aims to reflect the performance characteristics of a minimum variance strategy applied
to the MSCI large and mid cap equity universe. The index is calculated by optimizing
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 volatil ity characteristics
relative to the MSCI World Index.
Price-earnings ratio (P/E Ratio): The price-earnings ratio (P/E Ratio) is the ratio for
valuing a company that measures its current share price relative to its per-share earnings.
The price-earnings ratio can be calculated as: Market Value per Share/Earnings
per Share.
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
closing price of the stock by the latest quarter’s book value per share. Also known as the
“price-equity ratio.
Quality Factor: One of the six widely recognized, research-based smart beta factors that
refers to “quality” equities. Companies whose stocks qualify exhibit consistent profitability,
stability of earnings, low financial leverage and other characteristics consistent with long -
term reliability such as ethical corporate governance.
Quintile Spread: The spread between the top 20% of a data set and the bottom 20% of a
data set.
Risk on: Used to describe investment sentiment when investors’ risk tolerance increases.
RSI: The relative strength index (RSI) is a momentum indicator that measures the
magnitude of recent price changes to evaluate overbought or oversold conditions in the
price of a stock or other asset.
Russell 1000 Growth 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.
Appendix D (continued)
Definitions
433757641.1.1.APAC.INST
Russell 1000 Value Index: The index is a style-concentrated index designed to track the
performance of stocks that exhibit the strongest value characteristics by using a style -
attractiveness-weighting scheme.
Russell 2000 Index: A benchmark that measures the performance of the small-cap
segment of the US equity universe.
S&P/LSTA US Lev eraged Loan 100 Index: The S&P/LSTA US Leveraged Loan 100
Index is designed to reflect the largest facilities in the leveraged loan market.
S&P 400 Index: he S&P MidCap 400® provides investors with a benchmark for mid-sized
companies. The index, which is distinct from the large-cap S&P 500®, is designed to
measure the performance of 400 mid-sized companies, reflecting the distinctive risk and
return characteristics of this market segment.
S&P 500 Communication Serv ices Sector Index: The Index comprises of those
companies included in the S&P 500 that are classified as members of the GICS®
Communication Services sector.
S&P 500 Consumer Discretionary Index: The Index comprises of those companies
included in the S&P 500 that are classified as members of the GICS® consumer
discretionary sector.
S&P 500 Consumer Staples Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS® consumer staples sector.
S&P 500 Financial Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS® financial sector.
S&P 500 Health Care Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS® health care sector.
S&P 500 High Div idend Index is designed to measure the performance of the top 80
high dividend-yielding companies within the S&P 500® Index, based on dividend yield.
S&P 500 High Yield Div idend Aristocrats he S&P High Yield Dividend Aristocrats®
index is designed to measure the performance of companies within the S&P Composite
1500® that have followed a managed-dividends policy of consistently increasing dividends
every year for at least 20 years.
S&P 500 Index: A popular benchmark for US large-cap equities that includes 500
companies from leading industries and captures approximately 80% coverage of available
market capitalization.
S&P 500 Industrial Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS® industrial sector.
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 ®
information technology sector.
S&P 500 Low Volatility Index: The S&P 500® Low Volatility Index measures
performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low
volatil ity or low variance strategies for the US stock market. Constituents are weighted
relative to the inverse of their corresponding volatility, with the least volatile stocks
receiving the highest weights.
S&P 500 Materials Sector Index: The Index comprises of those companies included in
the S&P 500 that are classified as members of the GICS® materials sector.
S&P 500 Pure Value Index: Style-concentrated index designed to track the performance
of stocks that exhibit the strongest value characteristics by using a style -attractiveness-
weighting scheme.
S&P 500 Quality Index: The index is designed to track high quality stocks in the S&P 500
by quality score, which is calculated based on return on equity, accruals ratio and financial
leverage ratio.
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.
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® util ities sector.
Size Factor: A smart beta factor based on the tendency of small -cap stocks to outperform
their large-cap peers over long time periods.
Spread Changes: Changes in the spread between Treasury securities and non-Treasury
securities that are identical in all respects except for quality rating.
Appendix D (continued)
Definitions
443757641.1.1.APAC.INST
Standard Dev iation: Measures the historical dispersion of a security, fund or index
around an average. Investors use standard deviation to measure expected risk or
volatil ity, and a higher standard deviation means the security has tended to show higher
volatil ity or price swings in the past.
State Street Confidence Indexes: Measures investor confidence or risk appetite
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 greater 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 long-
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 mathematical formula in addition to transactional market data, and are not indicative
of actual future results which could differ substantially.
Value Factor: One of the basic elements of “style”-focused investing that focuses on
companies that may be priced below intrinsic value. The most commonly used
methodology to assess value is by examining price-to-book (P/B) ratios, which compare a
company’s total market value with its assessed book value.
Yield: The income produced by an investment, typically calculated as the interest received
annually divided by the investment’s price.
Yield Curv e: A graph or l ine 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 Factor: A factor which screens for companies with a higher than average dividend
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.
A z-score can be calculated from the following formula. z = (X - μ) / σ where z is the
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.
Appendix D (continued)
Definitions
453757641.1.1.APAC.INST
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This material is general information only and does not take into account your individual
objectives, financial situation or needs and you should consider whether it is appropriate
for you. Investing involves risk including the risk of loss of principal.
The views expressed in this material are the views of SPDR Americas Research Team
through the period ending 31 August 2021 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 such statements are not guarantees of
any future performance and actual results or developments may differ materially from
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The information provided does not constitute investment advice and it should not be relied
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Bonds generally present less short-term risk and volatil ity than stocks, but contain interest
rate risk (as interest rates rise, bond prices usually fall); issuer default risk; issuer credit
risk; l iquidity risk; and inflation risk. These effects are usually pronounced for longer-term
securities. Any fixed income security sold or redeemed prior to maturity may be subject to
a substantial gain or loss.
The value of the debt securities may increase or decrease as a result of the following:
market fluctuations, increases in interest rates, inability of issuers to repay principal and
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reinvestment of securities during periods of fall ing interest rates or repayment by issuers
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Equity securities may fluctuate in value and can decline significantly 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.
Companies with large market capitalizations go in and out of favor based on market
and economic conditions. Larger companies tend to be less volatile than companies
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.
Value stocks can perform differently from the market as a whole. They can remain
undervalued by the market for long periods of time.
Foreign inv estments involve greater risks than US investments, including political and
economic risks and the risk of currency fluctuations, all of which may be magnified in
emerging markets.
Because of their narrow focus, sector inv esting tends to be more volatile than
investments that diversify across many sectors and companies.
Investing in commodities entail significant risk and is not appropriate for all investors.
Commodities investing entail significant risk as commodity prices can be extremely volatile
due to wide range of factors. A few such factors include overall market movements, real or
perceived inflationary trends, commodity index volatility, international, economic and
political changes, change in interest and currency exchange rates.
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Appendix E
Important Disclosures
463757641.1.1.APAC.INST
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Appendix E (continued)
Important Disclosures
473757641.1.1.APAC.INST