Morningstar Global ETP Report Print Date: 22/10/2018 Page 1. Prospectus Benchmark MSCI Europe NR EUR. Performance

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1 Morningstar Global ETP Report Print Date: 22/10/2018 Page 1 SPDR MSCI Europe ETF ERO Morningstar Category Category Index Prospectus Benchmark Overall Morningstar Rating 1,506 Funds in Category Morningstar Analyst Rating 09/04/ :26:31 UTC Style Map Performance Time Period: 01/10/2013 to Micro Small Mid Large Giant 15,000 14,000 13,000 12,000 11,000 10, Deep-Val Core-Val Core Core-Grth High-Grth Snapshot Inception Date Expense Ratio % Net Assets (millions) Avg Dly Vol (3 Mo) Distribution Status 12 Month Yield % Distribution Freq Portfolio Date ISIN UCITS Replication Method Base Currency Domicile Exchange Morningstar Analyst Pillar Ratings Process Pillar Performance Pillar People Pillar Parent Pillar Price Pillar Dimitar Boyadzhiev, Fund Analyst 08/12/ ,871 Acc 0.00 IE00BKWQ0Q14 Yes Physical-Full Euro Ireland EURONEXT - EURONEXT PARIS Positive Positive Positive Neutral Positive The conduct of Morningstar's analysts is governed by Morningstar's Code of Ethics, Securities Trading and Disclosure Policy, and Morningstar Manager Research Integrity Policy. For information regarding conflicts of interest, please visit Morningstar Analyst Rating Morningstar evaluates mutual funds based on five key pillars which its analysts believe lead to funds that are more likely to outperform over the long term on a risk-adjusted basis. The Morningstar Analyst Rating for Funds is a forward-looking analysis of a fund. Morningstar has identified five key areas crucial to predicting the future success of a fund: People, Parent, Process, Performance, and Price. The pillars are used in determining the Morningstar Analyst Rating for a fund. Morningstar Analyst Ratings are assigned on a five-tier scale running from Gold to Negative. The top three ratings, Gold, Silver, and Bronze, all indicate that our analysts think highly of a fund; the difference between them corresponds to differences in the level of analyst conviction in a fund s prospects for outperformance, within the context of the level of risk taken over the long term (defined as a full market cycle or at least five years). Neutral represents funds in which our analysts don t have a strong positive or negative conviction over the long term (defined as a full market cycle or at least five years) and Negative represents funds that possess at least one flaw that our analysts believe is likely to significantly hamper future performance over the long term (defined as a full market cycle or at least five years). Past performance of a security may or may not be sustained in future and is no indication of future performance. For detailed information about the Morningstar Analyst Rating for Funds, please visit Annual Total Returns % SPDR MSCI Europe ETF Monthly ETP Flows (millions) 200M 0M -200M Morningstar Take By Dimitar Boyadzhiev 09/04/ YTD Risk/Return Analysis (3 years) Standard Deviation % Arithmetic Mean % Sharpe Ratio R-Squared Beta Alpha % Treynor Ratio Sortino Ratio SPDR MSCI Europe ETF represents a sensible way to get broad and diversified exposure to companies from developed Europe. The fund s portfolio represents 85% of the European developed equity market. Compared with the average offering in the Europe large-blend Morningstar Category, which includes actively managed funds, this fund has a very modest overweighting in large caps at the expense of mid-caps and small caps. Nonetheless, it provides an adequate representation of the opportunity set available to investors. At a 0.25% ongoing charge, there are cheaper passive options available; however, it is far cheaper than the category s average peer. The fund s returns have ranked in the second quartile of its category on a risk-adjusted basis in the trailing three, five- and 10-year periods, proving it is a tough competitor to beat for active managers. In terms of tracking, this fully replicated SPDR fund shows consistent outperformance against both its benchmark and direct competitors. We attribute this to the fact that it is domiciled in Ireland, which allows it to reclaim dividend withholding tax from a number of countries. Securities-lending revenue has also been a positive contributor to outperformance. Overall, this fund is a sensible passive option that, within its category, has proved difficult to beat by active managers over time. There are cheaper funds available, but nevertheless, the fund benefits from a cost advantage relative to active peers, and its tracking difference has been relatively good. The fund sits in good stead to continue delivering returns above the category average. For these reasons, the fund retains its Morningstar Analyst Rating of Silver. Analyst Rating Spectrum 2018 Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

2 Morningstar Global ETP Report Print Date: 22/10/2018 Page 2 SPDR MSCI Europe ETF ERO Morningstar Category Category Index Prospectus Benchmark Overall Morningstar Rating 1,506 Funds in Category Morningstar Analyst Rating 09/04/ :26:31 UTC Fundamental View The MSCI Europe Index is made up of large- and mid-cap companies and, as of this writing, excludes small and micro-cap companies. Approximately 50%-55% of the fund is invested in stocks listed in eurozone countries, mostly allocated to French and German companies. It also has significant exposure to UK stocks, which account for about 25%-30% of the portfolio. But the countries where the fund s holdings are listed are not necessarily indicative of the portfolio's economic exposure. While most of these firms do a lot of business in their own countries, the largest holdings tend to have global operations. Of all the index strategies within the Europe large-blend category, the STOXX Europe 600 and the FTSE Developed Europe indexes have the broadest, most extensive coverage of the European developed market. With its fixed 600 stocks, the STOXX Europe 600 Index covers between 98% and 99% of the universe. The FTSE Developed Europe Index aims to cover 98% of the universe and it holds around 570 stocks as of this review. By comparison, the MSCI Europe Index covers 85% of the market. We hold a general preference for the broadest-cap-weighted indexes as they tend to be the most representative of the total market. The broader the index, the harder it becomes for active managers to boost relative returns over the long term through stock selection. The MSCI Europe s overweighting to the UK has been the most significant performance detractor over the past five years, followed by Spain and Italy. Positive performance has come from the portfolio s allocation to French and German equities. In addition, as this is an index fund, the portfolio managers keep the fund fully invested at all times, which provided a tailwind relative to the category during the past five-year bull market. However, maintaining a close to zero allocation to cash has the opposite effect in falling markets and might cause the fund to underperform its category peers. Market-cap weighting skews the portfolio toward the largest stocks in the world, such as Nestle, HSBC, and Novartis. But the average market cap of the fund's holdings is in line with the category. There are no limits on sector or country weightings, but the fund's broad reach helps diversify risk. The top 10 holdings represent only 16% of its assets. Many of the fund's holdings enjoy durable competitive advantages. Of the holdings Morningstar analysts cover, 65% by market value carried a Morningstar Economic Moat Rating of either wide or narrow at the end of February 2018, which was comparable with the category average. Fundamental Ratios Net Margin % Return on Equity % Return on Assets % Debt to Capital % Value and Growth Measures Price/Proj. Earnings Price/Book Price/Sales Price/Cash Flow LT Earnings Growth % Sales Growth % Cash Flow Growth % Book Value Growth % Market Performance Statistics Time Period: Since Common Inception (01/01/2015) to Up Capture Ratio % Down Capture Ratio % Max Drawdown % Max Gain % Best Month % Worst Month % Risk/Return Chart Time Period: Since Common Inception (01/01/2015) to Return Std Dev Morningstar Returns YTD 3 mo 6 mo 1 yr 3 yrs* 5 yrs* 10 yrs* SPDR MSCI Europe ETF Distribution of Monthly Returns Time Period: Since Common Inception (01/01/2015) to Morningstar Risk YTD 3 mo 6 mo 1 yr 3 yrs* 5 yrs* 10 yrs* SPDR MSCI Europe ETF Maximum Drawdown YTD 3 mo 6 mo 1 yr 3 yrs 5 yrs 10 yrs SPDR MSCI Europe ETF *Annualised Number of Periods Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

3 Morningstar Global ETP Report Print Date: 22/10/2018 Page 3 SPDR MSCI Europe ETF ERO Morningstar Category Category Index Prospectus Benchmark Overall Morningstar Rating 1,506 Funds in Category Morningstar Analyst Rating 09/04/ :26:31 UTC Benchmark Construction The MSCI Europe Index includes approximately 85% of the equity market capitalisation of 15 countries across developed Europe. As we write, the index is composed of approximately 450 stocks. Components must meet minimum criteria for liquidity, as well as foreign ownership restrictions. The securities are weighted by free-float market capitalisation. The index is reviewed and rebalanced quarterly. Financial services is the index s largest sector, with a 20%-25% weighting, followed by consumer defensive (13%-15%) and industrials (12%-14%). Eurozone companies account for approximately half of the index value, followed by the UK (25%-30%), Switzerland (10%-15%), and the Nordics (8%-10%). Within the eurozone exposure, Germany and France have the largest weightings, accounting for 15%-17% each. Holdings Based Style Map Micro Small Mid Large Giant Deep-Val Core-Val Core Core-Grth High-Grth Equity Sector Breakdown History 100 Basic Materials Consumer Cyclical Financial Services Real Estate / / / / / / / /2018 Consumer Defensive Healthcare Utilities Communication Services Energy Industrials Technology Top 10 Holdings Equity Region % Portfolio Date: Nestle SA Novartis AG HSBC Holdings PLC Roche Holding AG Dividend Right Cert. Royal Dutch Shell PLC Class A BP PLC Total SA Royal Dutch Shell PLC B SAP SE British American Tobacco PLC Ticker Weight % TR YTD % NESN NOVN HSBA ROG RDSA BP FP RDSB SAP BATS North America Latin America Japan Australasia Asia Developed Asia Emerging United Kingdom Europe Developed Europe Emerging Africa/Middle East ETP Cat Index Cat Avg Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

4 Morningstar Global ETP Report Print Date: 22/10/2018 Page 4 SPDR MSCI Europe ETF ERO Morningstar Category Category Index Prospectus Benchmark Overall Morningstar Rating 1,506 Funds in Category Morningstar Analyst Rating 09/04/ :26:31 UTC Product Construction The fund uses full physical replication to try to capture the performance of the MSCI Europe Net Total Return Index, owning--to the extent possible and efficient--shares in all the underlying constituents in the same weightings as those of the index. To remain fully invested at all times and achieve close tracking, the fund uses index futures contracts to equitise dividends and manage routine cashflows. The fund engages in securities lending. In the 12 months through the end of December 2017, the fund lent out an average of 8.4% of the portfolio for a net return to the fund of 0.02%. SPDR passes 70% of gross lending revenue to the fund and keeps the remaining 30% for itself, out of which it pays the associated costs of the activity. State Street Securities Finance acts as the lending agent. To mitigate counterparty risk, SSSF promises to indemnify the fund in the event of a borrower default. State Street also takes collateral greater than the loan value. Collateral levels vary from 102% to 110% of the value of the securities on loan, depending on the assets being loaned and the type of collateral used. After a few years with no clear ETF strategy in Europe, SPDR seems to have gotten its act together. The company counts a large pool of experienced professionals across asset classes and is globally renowned as an asset manager. Its most recent ETF efforts in Europe have paid off in terms of asset growth, but it still has plenty of catching up to do to bring the business up to the same competitive level it enjoys in the United States. The strength of the brand and its very particular focus on benchmark research and selection could help it in this process. Market Capitalization Breakdown Portfolio Date: % Giant 49.8 Large 37.5 Mid 12.5 Small 0.0 Micro 0.2 Total Avg. Market Capitalization (mil). 39, , , Portfolio Information Turnover Ratio % % Asset in Top # of Holdings Base Currency Euro Euro Euro Operations Longest Tenured Manager Manager Tenure Yrs (Longest) Manager Tenure Yrs (Average) Web Address Mitesh Tank Price/Earnings Ratio - Time Series Time Period: Since Common Inception (01/01/2015) to Trailing Standard Deviation % P/E Ratio (TTM) (Long) Yr 3 Yr 5 Yr Price/Book Ratio - Time Series Time Period: Since Common Inception (01/01/2015) to Trailing Sharpe Ratio % 1.0 P/B Ratio (TTM) (Long) Yr 3 Yr 5 Yr Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

5 Morningstar Global ETP Report Print Date: 22/10/2018 Page 5 SPDR MSCI Europe ETF ERO Morningstar Category Category Index Prospectus Benchmark Overall Morningstar Rating 1,506 Funds in Category Morningstar Analyst Rating 09/04/ :26:31 UTC Fees With an ongoing charge of 0.25%, this fund is not the cheapest MSCI Europe ETF. Index funds should provide the returns of their benchmark, less fees. However, this fund routinely outperforms the index. We attribute this primarily to the fact that, by virtue of being domiciled in Ireland, the fund is able to reclaim withholding tax on dividends paid by German and other European companies. Securities-lending revenue has also been a positive contributor to performance. The fund s annualised tracking error over the past three-year trailing period has been 0.12%. Tracking error is a measure of how consistently a fund tracks its benchmark index. The closer the tracking error is to zero, the better or more efficient the fund is. Investors should also consider trading costs, including bid-ask spreads and brokerage fees, when buying and selling the ETF. Expenses - Annual Report 0.25 ER % Expenses - Prospectus ETP Cat Avg Expense Ratio % Prospectus Date 30/07/2018 Alternatives There is no shortage of ETFs offering exposure to European large-cap equities. The cheapest and best-performing direct alternative in recent years has been the synthetically replicated Amundi MSCI Europe ETF, with an ongoing charge of 0.15%. Other low-cost options are UBS MSCI Europe (ongoing charge: 0.20%) and Lyxor MSCI Europe ETF (ongoing charge: 0.25%). With an ongoing charge of 0.12%, Vanguard FTSE Developed Europe ETF is also a worthwhile option. Its underlying index offers more extended exposure to the European market. As of this writing, the portfolio is made up of over 560 companies. Annual Est. Net Flows Time Period: 01/01/2014 to 31/12/ ,000, ,000, ,000,000.0 Investors are also offered a number of ETFs tracking the STOXX Europe 600 Index, with ongoing charges ranging between 0.07% and 0.20%. The STOXX Europe 600 Index has a similar makeup to the MSCI Europe Index except for a slightly higher allocation to mid-caps. The largest ETFs in this group are ishares STOXX Europe 600 (DE) (ongoing charge: 0.20%) and Xtrackers STOXX Eurp600 (ongoing charge: 0.20%). Estimated Share Class Net Flow (Yearly) 50,000, ,000, ,000, Morningstar Rating & Risk As of Morningstar Rating Morningstar Risk Morningstar Return # of Funds 3 Yr Average Above Avg 1,506 5 Yr Average Above Avg 1, Yr Average Above Avg 805 Overall Average Above Avg 1,506 The Morningstar Rating is a quantitative assessment of past performance both return and risk as measured from one to five stars. Ratings are based on risk-adjusted returns for the three-, five-, and 10-year time periods, and then the overall rating is a weighted average of the available time period ratings. The Morningstar Rating for ETFs is not an ETF-specific rating. ETFs are rated against a peer group of the open-end funds in the same Morningstar Category. For ETFs, Morningstar uses total returns based on net asset values, instead of market prices Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

6 Morningstar Global ETP Report ETP Report Disclosure Statement The Morningstar Exchange-Traded Product Report ( Report ) is for informational purposes, intended for financial professionals and/or sophisticated investors ( Users ) and should not be the sole piece of information used by such Users or their clients in making an investment decision. References in this disclosure to exchange-traded products include exchange-traded funds (ETFs) and index mutual funds. All data presented is based on the most recent information available to Morningstar. ETPs trading on a secondary market may trade at, above, or below their net asset value (NAV). If an ETP's shares trade at a price above their NAV they are said to be trading at a "premium." Conversely, if they are trading at a price below their NAV, they are said to be trading at a "discount." The Risk Return Chart plots the total return (x-axis) against the standard deviation (y-axis) of an investment. 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7 Morningstar Global ETP Report The Morningstar Analyst Rating should not be used as the sole basis in evaluating a fund. Morningstar Analyst Ratings involve unknown risks and uncertainties which may cause Morningstar s expectations not to occur or to differ significantly from what we expected. Morningstar Pillar Ratings Morningstar Pillar Ratings are subjective evaluations of funds performed by manager research analysts of Morningstar. Morningstar evaluates funds based on five key pillars, which are process, performance, people, parent, and price. Morningstar s analysts assign each pillar a rating of Positive, Neutral, or Negative. Morningstar Pillar Scores are then used to help determine the fund s Morningstar Analyst Rating. The Morningstar Pillar Rating should not be used as the sole basis in evaluating a fund. Morningstar Pillar Ratings involve unknown risks and uncertainties which may cause Morningstar s expectations not to occur or to differ significantly from what we expected. Morningstar Star Rating TM The Morningstar Rating TM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchangetraded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for months of total returns, 60% five-year rating/40% three-year rating for months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10- year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Performance This graph compares the growth of an investment of 10,000 (in the base currency of the ETP) with that of an index and with that of the average for all ETPs in its Morningstar category. The NAV total returns are not adjusted to reflect the effects of taxation, but they are adjusted to reflect actual ongoing ETP expenses and assume reinvestment of dividends and capital gains. If adjusted, the effect of taxation would reduce the performance quoted. Please note, while the investor obtaining an ETP through the secondary market does not obtain it at NAV, the purpose in presenting this graph based on NAV is to provide an illustration of the historical performance of the ETP strategy. Morningstar category Morningstar Category is assigned by placing funds into peer groups based on their underlying holdings. The underlying securities in each portfolio are the primary factor in our analysis as the investment objective and investment strategy stated in a fund s prospectus may not be sufficiently detailed for our proprietary classification methodology. Funds are placed in a category based on their portfolio statistics and compositions over the past three years. Analysis of performance and other indicative facts are also considered. If the fund is new and has no portfolio history, Morningstar estimates where it will fall before giving it a permanent category assignment. Categories may be changed based on recent changes to the portfolio. Snapshot Expense Ratio is the prospectus net expense ratio The average daily trading volume is expressed in number of shares. The 12-month yield is derived by summing the trailing 12-months' income distributions and dividing the sum by the last month's ending NAV, plus any capital gains distributed over the same period. Income refers only to interest payments from fixed-income securities and dividend payoffs from common stocks. Distribution Status describes distribution policy for the investment. Capitalising investments are denoted as Acc. (Accumulating shares), while income investments are denoted as Inc. Distribution Frequency is the number of times per year that a ETP intends to make payments from dividends. Generally monthly, quarterly, semiannually, or annually. The Distribution schedule can be denoted as one of the following: Annually, Monthly, Quarterly, Semi- Annually, Varies, Daily, None, Weekly, Bimonthly, Biweekly, Semimonthly, N/A. Annual Total Returns It depicts performance without adjusting for brokerage commissions and the effects of taxation, but is adjusted to reflect all actual ongoing ETP expenses and assumes reinvestment of dividends and capital gains. If adjusted, the effects of brokerage commissions and taxation would reduce the performance quoted. Monthly ETP Flows Estimated share-class level net flow computed using beginning and ending monthly Total Net Assets and monthly total return. Risk Analysis: The risk measures below are calculated for ETPs with at least a three-year history. Standard Deviation is a statistical measure of the volatility of the ETP's NAV returns. Page 7 Arithmetic Mean represents the average monthly return for the period shown. Sharpe Ratio uses standard deviation and excess return to determine reward per unit of risk. Alpha measures the difference between an ETP's NAV returns and its expected performance, given its level of risk as measured by beta. Alpha is often seen as a measure of the value added or subtracted by a portfolio manager. Beta is a measure of an ETP's sensitivity to market movements. A portfolio with a beta greater than 1 is more volatile than the market, and a portfolio with a beta less than 1 is less volatile than the market. R-Squared reflects the percentage of an ETP's movements that is explained by movements in its benchmark index, showing the degree of correlation between the ETP and the benchmark. This figure is also helpful in assessing how likely it is that alpha and beta are statistically significant. Similar to Sharpe Ratio, Treynor Ratio is a measurement of efficiency utilizing the relationship between annualized risk-adjusted return and risk. Unlike Sharpe Ratio, Treynor Ratio utilizes "market" risk (beta) instead of total risk (standard deviation). Good performance efficiency is indicated by a high ratio. The Sortino Ratio is similar to Sharpe Ratio except it uses downside risk (Downside Deviation) in the denominator. It was developed in early 1980's by Frank Sortino. Since upside variability is not necessarily a bad thing, the Sortino ratio is sometimes preferable to the Sharpe ratio. Skewness reflects the degree of asymmetry of a distribution. If the distribution has a longer left tail, the function has negative skewness. Otherwise, it has positive skewness. A normal distribution is symmetric with skewness 0. In lognormal case, the curve has a long right tail so the skewness is positive. Kurtosis indicates the peakedness of a distribution. For normal distribution, Kurtosis is 3. Information ratio is a risk-adjusted performance measure. The information ratio is a special version of the Sharpe Ratio in that the benchmark doesn't have to be the riskfree rate. The Israelson method is an adjustment of the Information Ratio to take into account the inconsistency of the IR when excess returns are negative. Trailing Standard Deviation This bar chart shows the standard deviation of an investment over a one-, three-, and five-year period. The three- and five-year calculations are annualised.? 2018 Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.

8 Morningstar Global ETP Report Drawdown Chart % This graph displays the peak to trough decline since inception of an investment or ETP. It is quoted as the percentage between the peak to the trough. Market Performance Statistics Upside Capture Ratio measures a manager's performance in up markets relative to the category index. It is calculated by taking the security s upside capture return and dividing it by the category index s upside capture return. Downside Capture Ratio measures manager's performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0. In essence, it tells you what percentage of the down-market was captured by the manager. For example, if the ratio is 110%, the manager has captured 110% of the down-market and therefore underperformed the market on the downside. Max Drawdown is the peak to trough decline during a specific record period of an investment or ETP. It is quoted as the percentage between the peak to the trough. Average Drawdown is the average of yearly Maximum Drawdown measures. This statistic serves as a downside risk measure for the Sterling Ratio, and the industry standard is to calculate this over a three-year period using monthly data. In this case, maximum drawdown measures are calculated for the first 12 months, the next 12 months, and the subsequent 12 months, and the average drawdown is the average of these 3 maximum drawdown numbers. Max Gain is the peak to trough incline during a specific record period of an investment or ETP. It is quoted as the percentage between the trough to the peak. Up Period % is the percentage of the time that the investment has a positive return. Down Period % is the percentage of the time that the investment has a negative return. Best Month is the highest monthly return of the investment since its inception or for as long as Morningstar has data available. Worst Month is the lowest monthly return of the investment since its inception or for as long as Morningstar has data available. Longest Down Streak Return is the return for the longest series of negative monthly returns. Longest Up Streak Return is the return for the longest series of positive monthly returns. Loss Std Dev measures the deviation of negative returns. Gain Std Dev measures the deviation of positive returns. Trailing Total Returns Expressed in percentage terms, Morningstar's calculation of total return is determined each month by taking the change in monthly net asset value, reinvesting all income and capital-gains distributions during that month, and dividing by the starting NAV. Reinvestments are made using the actual reinvestment NAV, and daily payoffs are reinvested monthly. Unless otherwise noted, Morningstar does not adjust total returns for sales charges (such as front-end loads, deferred loads and redemption fees), preferring to give a clearer picture of a ETP's performance. The total returns do account for management, administrative, 12b-1 fees and other costs taken out of ETP assets. Total returns for periods longer than one year are expressed in terms of compounded average annual returns (also known as geometric total returns), affording a more meaningful picture of ETP performance than non-annualized figures. Morningstar Return The Morningstar Return rates a fund s performance relative to other managed products in its Morningstar Category. It is an assessment of a product's excess return over a risk-free rate (the return of the 90-day Treasury Bill) in comparison with the products in its Morningstar category. In each Morningstar category, the top 10% of products earn a High Morningstar Return (High), the next 22.5% Above Average (+Avg), the middle 35% Average (Avg), the next 22.5% Below Average (- Ave), and the bottom 10% Low (Low). Morningstar Return is measured for up to three time periods (three, five, and 10 years). These separate measures are then weighted and averaged to produce an overall measure for the product. Products with less than three years of performance history are not rated. Morningstar Risk Morningstar Risk evaluates a managed product's downside volatility relative to that of other products in its Morningstar category. It is an assessment of the variations in monthly returns, with an emphasis on downside variations, in comparison with the products in its Morningstar category. In each Morningstar category, the 10% of products with the lowest measured risk are described as Low Risk, the next 22.5% Below Average, the middle 35% Average, the next 22.5% Above Average, and the top 10% High. Morningstar Risk is measured for up to three time periods (three, five, and 10 years). These separate measures are then weighted and averaged to produce an overall measure for the product. Products with less than three years of performance history are not rated. Distribution of Monthly Returns The histogram chart displays the monthly total returns of the investment. The x-axis represents the monthly total return in percentage terms, and the y-axis shows the frequency, or number of periods that a given monthly return percentage was observed. For those Fixed Income ETPs Page 8 Annual Income Return % Income return is the portion of the holding period return that is attributed to dividend distributions. This calculation assumes that the investor incurs no transaction fees, pays no taxes at the time of distribution, and reinvests all distributions paid during the period. ETP Credit Quality The credit-quality rating as assigned by Standard & Poor's or Moody's. The ratings are broken down into: AAA, AA, A, BBB, BB, B, Below B and Not Rated. AAA bonds carry the highest credit rating. Coupon Range The coupon rates for the holdings of a portfolio are broken down into 15 groups. The percentage value displayed represents the portfolio's allocation to holdings with coupons in that range. Historical 12-Month Trailing Yield The chart shows the investment's historical trailing 12 month yield over time. The 12 Month Yield is the sum of a ETP s total trailing 12-month interest and dividend payments divided by the last month s ending share price (NAV) plus any capital gains distributed over the same period. Fixed Income Portfolio Statistics The referenced data elements below are a weighted average of the long fixed income holdings in the portfolio. Duration is a time measure of a bond's interest rate sensitivity. Average effective duration is a weighted average of the duration of the underlying fixed income securities within the portfolio. Average effective maturity is a weighted average of all the maturities of the bonds in a portfolio, computed by weighting each maturity date by the market value of the security. Average coupon is generated from the investment's portfolio by weighting the coupon of each bond by its relative size in the portfolio. Coupons are fixed percentages paid out on a fixed-income security on an annual basis. Average price is generated from the investment's portfolio by weighting the price of each bond by its relative size in the portfolio. This number reveals if the investment favours bonds selling at prices above or below face value (premium or discount securities, respectively). A higher number indicates a bias toward premiums. This statistic is expressed as a percentage of par (face) value. Average Credit Quality gives a snapshot of the portfolio's overall credit quality. It is an average of each bond's credit rating, adjusted for its relative weighting in the portfolio. The average is calculated using an exponential? 2018 Morningstar. All Rights Reserved. Unless otherwise provided in a separate agreement, you may use this report only in the country in which its original distributor is based. The information, data, analyses and opinions presented herein do not constitute investment advice; are provided solely for informational purposes and therefore are not an offer to buy or sell a security; and are not warranted to be correct, complete or accurate. The opinions expressed are as of the date written and are subject to change without notice. Except as otherwise required by law, Morningstar shall not be responsible for any trading decisions, damages or other losses resulting from, or related to, the information, data, analyses or opinions or their use. The information contained herein is the proprietary property of Morningstar and may not be reproduced, in whole or in part, or used in any manner, without the prior written consent of Morningstar. Investment research is produced and issued by subsidiaries of Morningstar, Inc. including, but not limited to, Morningstar Research Services LLC, registered with and governed by the U.S.