SPDR MSCI Strategic Factors Monthly Performance Update

Transcription

1 SPDR MSCI Strategic Factors Monthly Performance Update September 2017 Public Use IBG-25389

2 SPDR MSCI StrategicFactors Suite The funds seek to track an index that blends low volatility, quality and value exposures together, resulting in a low volatility strategy with a focus on high quality firms at inexpensive valuations Due to their broad security coverage and diversified factor exposures, the funds can potentially provide investors reduced volatility and retain more upside potential than a single-factor low-volatility exposure The strategies can be considered as a buy and hold, strategic core exposure 1/3 Value 1/3 Quality 1/3 StrategicFactors The StrategicFactors Approach: Is an equal blended combination of three exposures: Minimum, Quality, and Value, all rebalanced semi-annually The resulting mix seeks to offer exposure to stocks that are equal parts: (Low volatility, low beta) (Low price-to-book or price to sales ratios) (Profitable, stable, with low financial leverage) As a result, SPDR MSCI StrategicFactors s capture a balanced and diversified factor exposure and may be suited for a buy-and-hold strategy Min. 1/3 The information contained above is for illustrative purposes only. IBG

3 Drawdown VIX Index Reduced Drawdown from a StrategicFactors Approach As shown by the Global Strategy, the SPDR StrategicFactors MSCI World [QWLD], a StrategicFactors approach has had reduced drawdowns during periods of heightened volatility Chinese Yuan Devaluation The Fed s Second Rate Increase in a Decade Brexit Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 0 VIX QWLD URTH Source: State Street Global Advisors, FactSet. As of September 30, Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month-end performance. IBG

4 Upside Capture More Upside Capture from a StrategicFactors Approach StrategicFactors exhibited more upside capture than single-factor low volatility exposures in both developed and emerging markets EAFE Emerging Markets US ishares Edge MSCI Min Vol EAFE SPDR MSCI EAFE StrategicFactors ishares MSCI EAFE ishares Edge MSCI Min Vol Emerging Markets SPDR MSCI Emerging Markets StrategicFactors ishares MSCI Emerging Markets ishares Edge MSCI USA Min Vol SPDR MSCI USA StrategicFactors ishares Russell 1000 Source: FactSet, as of September 30, Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month-end performance. Upside captures are calculated using respective market cap weighted indices, including, MSCI EAFE Index, MSCI Emerging Markets Index, MSCI USA Index, in each region/country since the first full month of SPDR MSCI StrategicFactor s inception. SPDR MSCI EAFE StrategicFactors and SPDR MSCI Emerging Markets StrategicFactors were incepted on June 4, SPDR MSCI USA StrategicFactors was incepted on April 15, IBG

5 Since Inception Performance versus the Broader Market Since inception, the SPDR MSCI StrategicFactors Suite relative to the competitor ishares has shown improved returns at lower levels of volatility across multiple countries and regions, such as MSCI World, EAFE, Japan and the US Regions Since June 4, 2014 Name Annualized Return Performance Difference Difference QWLD SPDR MSCI World StrategicFactors URTH ishares MSCI World QEFA SPDR MSCI EAFE StrategicFactors EFA ishares MSCI EAFE QEMM SPDR MSCI Emerging Markets StrategicFactors EEM ishares MSCI Emerging Markets Japan Since Inception June 11, 2014 Name Annualized Return Performance Difference Difference QJPN SPDR MSCI Japan StrategicFactors EWJ ishares MSCI Japan US Since Inception April 15, 2015 Name Annualized Return Performance Difference Difference QUS SPDR MSCI USA StrategicFactors IWB ishares Russell Source: State Street Global Advisors, Factset, September 30, Performance is measured from each SPDR MSCI StrategicFactors inception date., measured by annualized standard deviation from each SPDR StrategicFactors inception date. Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month-end performance. Please see slide 7 and 8 for standard performance. IBG

6 Higher Returns with Lower have also Existed in Single Country Exposures Since Inception The SPDR MSCI StrategicFactors s are truly a global suite, and have achieved improved returns at lower levels of volatility across countries Since Inception June 11, 2014 Name Annualized Return Performance Difference Difference QCAN SPDR MSCI Canada StrategicFactors EWC ishares MSCI Canada QGBR SPDR MSCI UK StrategicFactors EWU ishares MSCI United Kingdom QDEU SPDR MSCI Germany StrategicFactors EWG ishares MSCI Germany Source: State Street Global Advisors, Factset, September 30, Performance is measured from each SPDR MSCI StrategicFactors inception date., measured by annualized standard deviation from each SPDR StrategicFactors inception date. Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month-end performance. Please see slide 7 and 8 for standard performance. IBG

7 Standard Performance Ticker Name Gross Expense Ratio YTD Annualized Inception Date Source: Morningstar. As of September 30, Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month end performance. All results are historical and assume the reinvestment of dividends and capital gains. The gross expense ratio is the funds total annual operating expenses ratio. It is gross of any fee waivers or expense reimbursements. It can be found in the funds most recent prospectus. The funds presented herein have different investment objectives, costs and expenses. Each fund is managed by a different investment firm, and the performance of each fund will necessarily depend on the ability of their respective managers to select portfolio investments. These differences, among others, may result in significant disparity in the funds portfolio assets and performance. For further information on the funds, please review their respective prospectuses. The market price used to calculate the Market Value return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund s NAV is calculated. If you trade your shares at another time, your return may differ. 1 Year 3 Years 5 Years 10 Years Since Inception QEMM SPDR MSCI Emerging Markets (NAV) StrategicFactors /4/2014 QEMM SPDR MSCI Emerging Markets (MKT) StrategicFactors EEM (NAV) ishares MSCI Emerging Markets /7/2003 EEM (MKT) ishares MSCI Emerging Markets QWLD (NAV) SPDR MSCI World StrategicFactors /4/2014 QWLD (MKT) SPDR MSCI World StrategicFactors URTH (NAV) ishares MSCI World /10/2012 URTH (MKT) ishares MSCI World QEFA (NAV) SPDR MSCI EAFE StrategicFactors /4/2014 QEFA (MKT) SPDR MSCI EAFE StrategicFactors EFA (NAV) ishares MSCI EAFE /14/2001 EFA (MKT) ishares MSCI EAFE QCAN (NAV) SPDR MSCI Canada StrategicFactors /11/2014 QCAN (MKT) SPDR MSCI Canada StrategicFactors EWC (NAV) ishares MSCI Canada (0.14) /12/1996 EWC (MKT) ishares MSCI Canada QJPN (NAV) SPDR MSCI Japan StrategicFactors /11/2014 QJPN (MKT) SPDR MSCI Japan StrategicFactors EWJ (NAV) ishares MSCI Japan /12/1996 EWJ (MKT) ishares MSCI Japan QGBR (NAV) SPDR MSCI United Kingdom StrategicFactors (0.27) 6/11/2014 SPDR MSCI United Kingdom QGBR (MKT) StrategicFactors (0.56) EWU (NAV) ishares MSCI United Kingdom /12/1996 EWU (MKT) ishares MSCI United Kingdom IBG

8 Standard Performance Ticker Name Gross Expense Ratio YTD 1 Year 3 Years Annualized 5 Years 10 Years Since Inception Inception Date QDEU (NAV) SPDR MSCI Germany StrategicFactors /11/2014 QDEU (MKT) SPDR MSCI Germany StrategicFactors EWG (NAV) ishares MSCI Germany /12/1996 EWG (MKT) ishares MSCI Germany QUS (NAV) SPDR MSCI USA StrategicFactors /15/2015 QUS (MKT) SPDR MSCI USA StrategicFactors IWB (NAV) ishares Russell /15/2000 IWB (MKT) ishares Russell EFAV (NAV) ishares Edge MSCI Min Vol EAFE /18/2011 EFAV (MKT) ishares Edge MSCI Min Vol EAFE Source: Morningstar. As of September 30, Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit and respective fund family website for most recent month end performance. All results are historical and assume the reinvestment of dividends and capital gains. The gross expense ratio is the funds total annual operating expenses ratio. It is gross of any fee waivers or expense reimbursements. It can be found in the funds most recent prospectus. The funds presented herein have different investment objectives, costs and expenses. Each fund is managed by a different investment firm, and the performance of each fund will necessarily depend on the ability of their respective managers to select portfolio investments. These differences, among others, may result in significant disparity in the funds portfolio assets and performance. For further information on the funds, please review their respective prospectuses. The market price used to calculate the Market Value return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund s NAV is calculated. If you trade your shares at another time, your return may differ. IBG

9 Definitions MSCI EAFE Index: An equities benchmark that captures large- and mid-cap representation across 22 developed market countries around the world, excluding the US and Canada. MSCI Emerging Markets 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. MSCI USA Total Return Index: The MSCI USA Total Return Index is designed to measure the performance of the large and mid-cap segments of the US market, with dividends reinvested. With 631 constituents, the index covers approximately 85 percent of the free float-adjusted market capitalization in the US. Drawdown: A specific decline in the stock market during a specific time period that is measured in percentage terms as a peak-to-trough move. Sharpe Ratio: A measure for calculating risk-adjusted returns that has become the industry standard for such calculations. It was developed by Nobel laureate William F. Sharpe. The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. The higher the Sharpe ratio the better. Annualized Return: The periodic returns of an investment, which are adjusted to present the average return over a 1-year time period. Upside/Downside Capture : Explains how well a portfolio performs in time periods where the benchmark's returns are greater/less than zero. Source: SSGA IBG

10 Appendix A: Important Disclosures IBG

11 Important Disclosures In general, s can be expected to move up or down in value with the value of the applicable index. Although shares may be bought and sold on the exchange through any brokerage account, shares are not individually redeemable from the Fund. Investors may acquire shares and tender them for redemption through the Fund in Creation Unit Aggregations only. Please see the Prospectus for more details. Passively managed funds invest by sampling the index, holding a range of securities that, in the aggregate, approximates the full Index in terms of key risk factors and other characteristics. This may cause the fund to experience tracking errors relative to performance of the index. Non-diversified funds that focus on a relatively small number of securities tend to be more volatile than diversified funds and the market as a whole. A value style of investing emphasizes undervalued companies with characteristics for improved valuations. This style of investing is subject to the risk that the valuations never improve or that the returns on value equity securities are less than returns on other styles of investing or the overall stock market. Although subject to the risks of common stocks, low volatility stocks are seen as having a lower risk profile than the overall markets. However, a fund that invests in low volatility stocks may not produce investment exposure that has lower variability to changes in such stocks price levels. A quality style of investing emphasizes companies with high returns, stable earnings, and low financial leverage. This style of investing is subject to the risk that the past performance of these companies does not continue or that the returns on quality equity securities are less than returns on other styles of investing or the overall stock market. Foreign investments 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. Equity securities may fluctuate in value in response to the activities of individual companies and general market and economic conditions. Investments in small/mid companies may involve greater risks than those in larger, better known companies. Investing involves risk including the risk of loss of principal. There can be no assurance that a liquid market will be maintained for shares. The information provided does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor s particular investment objectives, strategies, tax status or investment horizon. You should consult your tax and financial advisor. All material has been obtained from sources believed to be reliable. There is no representation or warranty as to the accuracy of the information and State Street shall have no liability for decisions based on such information. Derivative investments may involve risks such as potential illiquidity of the markets and additional risk of loss of principal. Diversification does not ensure a profit or guarantee against loss. IBG

12 Important Disclosures (continued) The funds presented herein have different investment objectives, costs and expenses. Each fund is managed by a different investment firm, and the performance of each fund will necessarily depend on the ability of their respective managers to select portfolio investments. These differences, among others, may result in significant disparity in the funds portfolio assets and performance. For further information on the funds, please review their respective prospectuses. 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. Frequent trading of s could significantly increase commissions and other costs such that they may offset any savings from low fees or costs. The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The Prospectus contains a more detailed description of the limited relationship MSCI has with SSGA Funds Management, Inc and any related funds. Standard & Poor s, S&P and SPDR are registered trademarks of Standard & Poor s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index. Distributor for SPDR s: State Street Global Advisors Funds Distributors, LLC, member FINRA, SIPC, an indirect wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the SPDR s. Before investing, consider the fund s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call or visit Read it carefully. For other fund family prospectuses, please refer to each fund family website. Web: State Street Corporation All Rights Reserved. State Street Global Advisors, One Lincoln Street, Boston, MA Tracking Number: IBG Expiration Date: January 31, 2018 Not FDIC Insured No Bank Guarantee May Lose Value. IBG