SMART BETA REBALANCE SUMMARY USA SINGLE FACTORS
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1 SMART BETA REBALANCE SUMMARY USA SINGLE FACTORS NOVEMBER 2018 Momentum Index Sector Neutral Quality Index Enhanced Value Index Additions Deletions Turnover % 54% 21% 24% Wtd. Avg. Market Cap ($bn) Pre: $204.6 Pre: $141.5 Pre: $171.5 Post: $236.4 Post: $166.7 Post: $89.3 P/E Ratio Pre: Pre: Pre: Post: Post: Post: Apple (+4.7%) Facebook A (+3.6%) General Electric Co (+0.9%) Top 3 Additions by Weight (% Change) Merck & Co (+4.0%) Lockheed Martin Corp (+2.8%) Celgene Corp (+0.5%) Pfizer (+4.0%) Disney (Walt) (+2.1%) Johnson Controls (+0.3%) J.P Morgan Chase & Co Honeywell International Apple Top 3 Deletions by Weight (% Change) Important to Note: Momentum Index The Momentum Index selects securities based on risk-adjusted performance over the past 6 and 12 months. Historically, the index has exhibited meaningfully higher turnover compared to the other MSCI single factor indexes. At this rebalance, turnover for the momentum index was 55%. Rebalance Summary: (-4.5%) Intel Corp (-3.5%) Home Depot (-2.6%) (-2.0%) Bristol-Myers Squibb Co (-1.2%) Verizon Communications (-1.1%) (-10.3%) Cisco Systems (-3.4%) Walmart (-2.8%) Important Information Regarding MSCI s November 2018 Rebalance The end of November marks MSCI s semiannual index rebalance, during which MSCI rebalances their indices in accordance with their respective methodologies. This November s rebalance is particularly significant as it also includes the implementation of the 2018 changes in GICS sector classifications a security categorization system jointly developed by MSCI and S&P. The GICS changes rebranded Telecom as Communication Services and restructured subsector groupings. Notably, the Media industry group and Entertainment Streaming Companies industry, both formerly subgroups of Consumer Discretionary, now fall under Communication Services. Additionally, Internet Companies, Home Entertainment Software, and Online Marketplaces have been reclassified from Information Technology to Communications Services. The largest sector changes were an increase to Health Care (+16.5%) and the addition of Communication Services (+11.3%) and decrease to Information Technology (-11.1%) and a decrease to Financials (-10.3%). The increase within Health Care sector was driven by the addition of Merck & Co (+4.0%), Pfizer (+4.0%), and UnitedHealth Care (+3.4%). The addition of Communication Services sector was mainly due to the implementation of the GICS reclassifications. The decrease in the Information Technology sector was mainly due to a combination of the GICS changes, the removal of Intel (-3.5%) and the decrease in allocations to Mastercard (-1.9%) and Visa (-1.8%). The inclusion of Apple (+5.0%) has brought the portfolio s exposure to FAANG stocks to 11.2%.
2 Momentum Index Sector Weightings: GICS Sector Pre-Rebalance Post-Rebalance Change Top GICS Subindustry Changes: (Parent) Momentum vs Parent Communication Services 0.0% 11.3% 11.3% 9.9% 1.4% Consumer Discretionary 19.1% 13.1% -6.0% 10.2% 2.9% Consumer Staples 2.7% 8.2% 5.4% 7.2% 1.0% Energy 2.9% 0.2% -2.8% 5.4% -5.2% Financials 12.4% 2.0% -10.3% 13.4% -11.4% Health Care 9.5% 26.1% 16.5% 15.3% 10.8% Industrials 10.6% 6.5% -4.0% 9.2% -2.7% Information Technology 42.3% 31.2% -11.1% 20.4% 10.8% Materials 0.1% 0.2% 0.1% 2.7% -2.5% Real Estate 0.3% 1.1% 0.8% 3.0% -1.9% Utilities 0.2% 0.2% 0.0% 3.2% -3.0% GICS Subindustry Pre-Rebalance Post-Rebalance Change Pharmaceuticals 1.3% 10.8% 9.5% Managed Health Care 1.1% 5.8% 4.7% Technology Hardware, Storage & Peripherals 0.9% 5.0% 4.1% Semiconductors 6.7% 1.7% -5.0% Diversified Banks 4.5% 0.0% -4.5% Top 10 Holdings Pre/Post Rebalance: Pre-Rebalance Pre-Rebalance Post-Rebalance Difference Microsoft Corp 5.9% 5.1% -0.8% Amazon Com Inc 5.5% 5.3% -0.2% Visa Inc Class A 5.2% 3.4% -1.8% Boeing 4.9% 2.4% -2.6% Mastercard Inc Class A 4.7% 2.8% -1.9% Jpmorgan Chase & Co 4.5% 0.0% -4.5% Cisco Systems Inc 4.3% 2.6% -1.7% Intel Corporation Corp 3.5% 0.0% -3.5% Adobe Inc 3.1% 1.7% -1.3% Netflix Inc 2.9% 1.2% -1.7% Post Rebalance Pre-Rebalance Post-Rebalance Difference Amazon Com Inc 5.5% 5.3% -0.2% Microsoft Corp 5.9% 5.1% -0.8% Apple Inc 0.0% 4.7% 4.7% Merck & Co Inc 0.0% 4.0% 4.0% Pfizer Inc 0.0% 4.0% 4.0% Unitedhealth Group Inc 0.0% 3.4% 3.4% Visa Inc Class A 5.2% 3.4% -1.8% Verizon Communications Inc 0.0% 3.2% 3.2% Procter & Gamble 0.0% 3.1% 3.1% Mastercard Inc Class A 4.7% 2.8% -1.9%
3 Sector Neutral Quality Index Important to Note: The Sector Neutral Quality Index seeks to capture the performance of large and mid-cap securities in the U.S. that exhibit stronger quality characteristics than their peers. The index is constructed to be sector neutral and will have similar sector allocations as the Index. Rebalance Summary: At this rebalance, three sectors saw changes of +/-1% or greater Communication Services (+7.9%), Consumer Discretionary (-3.7%), and Information Technology (-4.8%). These changes were primarily the result of the GICS reclassifications. The increase within Communication Services included the additions of Alphabet A and C (+3.5%), and Facebook (+3.5%). The decrease to Information Technology included a decrease to the Data Processing & Outsourced Services Industry (-2.0%). The reduction in exposure to Apparel Retail (-0.8%) and to Footwear (-0.7%) industry within Consumer Discretionary sector was due to the decrease to Ross Stores (-0.3%) and to Nike (-0.7%). Facebook (+3.5%) was among the most notable additions to the index. Sector Weightings: GICS Sector Pre-Rebalance Post Rebalance Change (Parent) SN Quality vs Parent Communication Services 2.0% 9.9% 7.9% 9.9% 0.0% Consumer Discretionary 13.7% 10.0% -3.7% 10.2% -0.2% Consumer Staples 6.7% 7.2% 0.5% 7.2% 0.0% Energy 5.7% 5.5% -0.2% 5.4% 0.1% Financials 13.1% 13.7% 0.6% 13.4% 0.3% Health Care 15.7% 15.3% -0.3% 15.3% 0.0% Industrials 9.9% 9.3% -0.6% 9.2% 0.1% Information Technology 25.1% 20.3% -4.8% 20.4% -0.1% Materials 2.2% 2.7% 0.5% 2.7% 0.0% Real Estate 2.8% 3.0% 0.2% 3.0% 0.0% Utilities 3.1% 3.1% 0.0% 3.2% -0.1% Top GICS Subindustry Changes: GICS Subindustry Pre-Rebalance Post Rebalance Change Interactive Media & Services 0.0% 7.1% 7.1% Aerospace & Defense 1.1% 3.9% 2.8% Movies & Entertainment 0.0% 2.1% 2.1% Industrial Conglomerates 4.8% 2.2% -2.6% Data Processing & Outsourced Services 10.0% 8.0% -2.0%
4 Sector Neutral Quality Index Top 10 Holdings Pre/Post Rebalance: Pre-Rebalance Pre-Rebalance Post Rebalance Difference Johnson & Johnson 5.2% 4.7% -0.6% Apple Inc 4.5% 4.0% -0.5% Mastercard Inc Class A 4.2% 3.2% -1.0% Visa Inc Class A 3.6% 3.1% -0.5% Exxon Mobil Corp 3.3% 3.3% 0.0% Altria Group Inc 3.1% 2.9% -0.1% 3m 2.8% 2.2% -0.6% Starbucks Corp 2.6% 1.9% -0.7% Nike Inc Class B 2.3% 1.6% -0.7% Marsh & Mclennan Inc 2.2% 1.7% -0.5% Post Rebalance Pre-Rebalance Post Rebalance Difference Johnson & Johnson 5.2% 4.7% -0.6% Apple Inc 4.5% 4.0% -0.5% Facebook Class A Inc 0.0% 3.6% 3.6% Exxon Mobil Corp 3.3% 3.3% 0.0% Mastercard Inc Class A 4.2% 3.2% -1.0% Visa Inc Class A 3.6% 3.1% -0.5% Altria Group Inc 3.1% 2.9% -0.1% Lockheed Martin Corp 0.0% 2.8% 2.8% Amgen Inc 1.9% 2.7% 0.9% 3m 2.8% 2.2% -0.6%
5 Enhanced Value Index Important to Note: The Enhanced Value Index seeks to capture the performance of large and mid-cap securities in the U.S. that exhibit stronger value characteristics than their peers. The index is constructed to be sector neutral and will have similar sector allocations as the Index. Rebalance Summary: Three sectors saw changes of +/-1% or greater. The Communication Services sector (+8.1%) experienced the greatest change followed by decreases in Consumer Discretionary (-2.4%) and Information Technology (-4.5%). These changes were primarily the result of the GICS reclassifications. There we no other meaningful sector changes. There were larger moves from an industry perspective including Integrated Telecommunication Services (+5.9%), Technology Hardware (-9.0%), and Communication Equipment (-3.3%). Most notably, within Technology Hardware was the removal of Apple (-10.3%). As a result of the GICS changes and the index s sector neutral construction, Apple s valuation is no longer attractive as compared to other companies within the Information Technology sector. The largest single security increases were AT&T (+5.9%) and Intel (+2.8%). AT&T s addition makes the company the largest weight within the index. Recent pressure on AT&T s stock as well as the changes in GICS classifications have made AT&T s valuation attractive relative to other companies within the Communication Services sector.. Sector Weightings: GICS Sector Pre-Rebalance Post Rebalance Change (Parent) Enhanced Value vs Parent Communication Services 1.8% 9.9% 8.1% 9.9% 0.0% Consumer Discretionary 12.5% 10.1% -2.4% 10.2% -0.1% Consumer Staples 7.3% 7.2% -0.1% 7.2% 0.0% Energy 5.5% 5.5% 0.0% 5.4% 0.1% Financials 13.3% 13.4% 0.1% 13.4% 0.0% Health Care 16.3% 15.5% -0.9% 15.3% 0.2% Industrials 10.2% 9.3% -0.9% 9.2% 0.1% Information Technology 24.8% 20.3% -4.5% 20.4% -0.1% Materials 2.6% 2.7% 0.1% 2.7% 0.0% Real Estate 2.7% 2.9% 0.3% 3.0% -0.1% Utilities 2.9% 3.2% 0.3% 3.2% 0.0% Top GICS Subindustry Changes: GICS Subindustry Pre-Rebalance Post Rebalance Change Integrated Telecommunication Services 1.7% 7.6% 5.9% Semiconductors 5.8% 11.0% 5.2% Technology Hardware, Storage & Peripherals 12.4% 3.5% -9.0% Communications Equipment 3.6% 0.3% -3.3% Hypermarkets & Super Centers 2.8% 0.0% -2.8%
6 Enhanced Value Index Top 10 Holdings Pre/Post Rebalance: Pre-Rebalance Pre-Rebalance Post Rebalance Difference Apple Inc 10.3% 0.0% -10.3% Pfizer Inc 4.4% 3.8% -0.6% General Motors 3.5% 2.8% -0.7% Cisco Systems Inc 3.4% 0.0% -3.4% Bank Of America Corp 3.3% 3.3% 0.0% Intel Corporation Corp 3.3% 6.1% 2.8% Chevron Corp 3.1% 3.2% 0.0% Citigroup Inc 2.8% 2.7% -0.1% Walmart Inc 2.8% 0.0% -2.8% Gilead Sciences Inc 2.2% 2.0% -0.2% Post Rebalance Pre-Rebalance Post Rebalance Difference At&t Inc 1.7% 7.6% 5.9% Intel Corporation Corp 3.3% 6.1% 2.8% Pfizer Inc 4.4% 3.8% -0.6% Bank Of America Corp 3.3% 3.3% 0.0% Chevron Corp 3.1% 3.2% 0.0% International Business Machines Co 1.2% 2.9% 1.6% General Motors 3.5% 2.8% -0.7% Citigroup Inc 2.8% 2.7% -0.1% Micron Technology Inc 1.3% 2.6% 1.3% Walgreen Boots Alliance Inc 1.4% 2.3% 0.9% Low Size Index For information on the Low Size Index, please refer to the rebalance commentary dedicated to the MSCI Low Size Indices.
7 Carefully consider the Funds' investment objectives, risk factors, and charges and expenses before investing. This and other information can be found in the Funds' prospectuses or, if available, the summary prospectuses which may be obtained by visiting or Read the prospectus carefully before investing. Investing involves risk, including possible loss of principal. This material represents an assessment of the market environment as of the date indicated; is subject to change; and is not intended to be a forecast of future events or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice regarding the funds or any issuer or security in particular. There can be no assurance that performance will be enhanced or risk will be reduced for funds that seek to provide exposure to certain quantitative investment characteristics ("factors"). Exposure to such investment factors may detract from performance in some market environments, perhaps for extended periods. In such circumstances, a fund may seek to maintain exposure to the targeted investment factors and not adjust to target different factors, which could result in losses. The ishares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, BlackRock ). The ishares Funds are not sponsored, endorsed, issued, sold or promoted by MSCI Inc., nor does this company make any representation regarding the advisability of investing in the Funds. BlackRock is not affiliated with MSCI Inc. This information should not be relied upon as research, investment advice, or a recommendation regarding any products, strategies, or any security in particular. This material is strictly for illustrative, educational, or informational purposes and is subject to change BlackRock. All rights reserved. ishares and BLACKROCK are registered trademarks of BlackRock. All other marks are the property of their respective owners. FOR INSTITUTIONAL USE ONLY - NOT FOR PUBLIC DISTRIBUTION
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