The Scientific Beta Report

Transcription

1 The Scientific Beta Report SCIU United States SCID Europe SCIX Asia ex-japan SCIJ Japan Don t just be smart. Be Scientific. OVERVIEW The ETFs are a family of funds that provide core equity exposure to U.S. and international markets. The ETFs may be considered viable alternatives to actively managed funds as they seek to outperform market capitalization weighted indexes by following a methodology rooted in academic research, while preserving the lower costs and transparency of an ETF. All data as of /3/07 Ticker Gross Expense Ratio Net Expense Ratio Since Fund Inception Annualized Since Fund Inception US ETF SCIU 0.35% 0.9% NAV 8.78% 8.8% 0.08% Market Price 8.8% 8.45% 0.09% SBUXRHMG 9.75% 9.3% 0.37% Europe ETF SCID 0.38% NAV.9% 3.99% 8.5% Market Price.84% 3. 8.% SBRXRHMN 3.88% 3.7% 8.45% Asia ex-japan ETF SCIX 0.38% NAV 6.76% 7.56% 6.06% Market Price 7.3% 8.9% 6.5% SBAXRHMN % 5.8% Japan ETF SCIJ 0.38% NAV 36.09% 4.57%.4% Market Price 36.49% 5.39%.53% SBJURHMN 37.04% 4.77%.68% The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Indices are unmanaged and do not include the effect of fees, expenses, or sales charges. One cannot invest directly in an index. For performance data current to the most recent month end, please call -888-gxfund- or visit our website at globalxfunds.com. Fee waivers are contractual and in effect until at least March, 08.

2 U.S. ETF SCIU SINCE INCEPTION¹ PERFORMANCE AS OF /3/07 45% 3 5% US SciBeta United States Multi-Beta Multi-Strategy ERC S&P 500-5% May 5 Aug 5 Oct 5 Jan 5 Apr 6 Jul 6 Sep 6 Dec 6 Mar 6 Jun 7 Sept 7 Dec 7 Source: ERI Scientific Beta and Bloomberg, December % 6.94% 5.5% 3.68% 6.45% 7.8% 6.54% 9.07% Low Volatility 6.8% 9.% Diversified ² 8.8% % SciBeta U.S % 9.75% 8.78%.83% S&P 500 SCIU TOP 0 HOLDINGS Source: Funds. As of /3/7. Total 6.56% Aetna, Inc. 0.7% Anthem, Inc. 0.7% Wal-Mart Stores, Inc. 0.7 Annaly Capital Management, Inc. 0.69% Xcel Inc. 0.66% CME Group, Inc. 0.63% Regions Financial Corp. 0.63% Consolidated Edison, Inc. 0.63% WEC Group, Inc. 0.63% Arch Capital Group Ltd. 0.59% 5.54% US 5.56% 6.5% S&P % S&P 500 INDEX TOP 0 HOLDINGS Source: S&P. As of /3/7. Total 9.84% Apple, Inc. 3.8% Microsoft Corporation.89% Amazon.com, Inc..05% Facebook, Inc. Class A.84% Berkshire Hathaway, Inc. Class B.67% Johnson & Johnson.64% JPMorgan Chase & Co..63% Exxon Mobil Corporation.55% Alphabet, Inc. Class A.38% Alphabet, Inc. Class C.38% Source: Funds, Bloomberg and SPDR. 43% Scientific Beta U.S. S&P % Overlap by weight between SciBeta U.S. and S&P Number of overlapping 9% Holdings in SciBeta U.S. also in S&P % Holdings in S&P 500 also in SciBeta U.S. 56% Active share SCIBETA U.S. HISTORICAL ALLOCATION SINCE INCEPTION¹ Source: ERI Scientific Beta, December % 9.99% %.06% 3.39% %.59% %.4% Q 05 Q3 07 SCIBETA U.S. SECTOR OVERWEIGHT/UNDERWEIGHT VS. S&P % 6.% 3.0%.5% 0.57% -0.48% -.09% -.7% -.56% -.98% -.3% Since inception of SCIU ETF, 5//5. Diversified index is represented by the Scientific Beta Multi-Strategy for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

3 Europe ETF SCID SINCE INCEPTION¹ PERFORMANCE AS OF /3/ Europe ETF SciBeta Extended Developed Europe Multi-Beta Multi-Strategy ERC STOXX Europe 600 May 5 Aug 5 Nov 5 Jan 6 Apr 6 Jul 6 Oct 6 Jan 6 Apr 7 Jul 7 Sep 7 Dec 7 Source: ERI Scientific Beta and Bloomberg, December % 3.49%.7% 35.39% High 3.75% 34.06% SCID HISTORICAL ALLOCATION SINCE INCEPTION¹ Source: ERI Scientific Beta, December % % 7.58% 34.39% Q % 30.88% 3.46% 3.53% Diversified 8.9% 4.8% 9.9% % 3.99% SCID Q3 07.6% 3.88%.9%.8% 5.89% STOXX Europe % 43.7% 8.63% 0.7% SCID TOP 0 HOLDINGS Source: Funds. As of /3/7. Total 5.5% Bouygues SA 0.6 Hiscox Ltd. 0.6 Carnival PLC 0.59% Neste Oyj 0.57% Alstom SA 0.56% Orpea SA 0.56% Snam SpA 0.56% Rubis SCA 0.56% NN Group NV 0.47% Sofina SA 0.45% 4.89% 7.68% Scientific Beta Europe ETF 7.4% 3.58%.65% STOXX Europe % 9.3%.5% 0.98% 0.95% Total 6.76% Nestle SA.67% HSBC Holdings PLC. Novartis AG.07% Roche Holding AG.77% British American Tobacco PLC.55% Royal Dutch Shell PLC.5% BP PLC.4 TOTAL SA.39% Siemens AG.8% SAP SE.% Source: Funds, Bloomberg and S&P. Scientific Beta Europe ETF -0.4% 44% SCID SECTOR OVERWEIGHT/UNDERWEIGHT VS. STOXX EUROPE 600 INDEX STOXX EUROPE 600 INDEX TOP 0 HOLDINGS Source: STOXX. As of /3/7. STOXX Europe % -.53% 44% Overlap by weight between SCID and STOXX Europe # of overlapping 95% Holdings in SCID also in benchmark 86% Holdings in Benchmark also in SCID 56% Active share -5.48% -6.75% Since inception of SCID ETF, 5//5. Diversified index is represented by the Scientific Beta Multi-Strategy for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

4 Asia Ex-Japan ETF SCIX SINCE INCEPTION¹ PERFORMANCE AS OF /3/ Asia ex-japan ETF SciBeta Developed Asia-Pacific ex-japan Multi-Beta Multi-Strategy ERC MSCI Pacific ex-japan 6.76% 6. May 5 Aug 5 Nov 5 Feb 6 May 6 Aug 6 Nov 6 Mar 6 Jun 7 Sep 7 Dec 7 Source: ERI Scientific Beta and Bloomberg, December 07 7.% 8.95% 6.84% 30.3% 8.34% 7.5% 5.86% 5.95% 7.03% 8.03% 7.5% 7.56% 5.88% 6.98% 7.0% Diversified SCIX MSCI Pacific 3 ex-japan SCIX HISTORICAL ALLOCATION SINCE INCEPTION¹ Source: ERI Scientific Beta, December % 5.73% 4 9.6% 7.36% Q % 9.37% 4.64%. Q % 8.78% 5.% 0.85% SCIX TOP 0 HOLDINGS Source: Funds. As of /3/7. Total 8.77% Venture Corp Ltd. 3.08% MTR Corp Ltd..48% Shenzhou International Group Hldgs. Ltd..96% Yue Yuen Industrial Holdings Ltd..86% Link Investment Trust.8 Singapore Airlines Ltd..6 CapitaLand Mall Trust.56% CapitaLand Commercial Trust.5% NWS Holdings Ltd..5 Suntec Investment Trust.43% Asia ex-japan ETF 5.56% 6.9% MSCI Pacific ex-japan 7.% 9.0% Total 36.34% Commonwealth Bank of Australia 6.0% AIA Group Ltd. 5.7 Westpac Banking Corp. 4.6% BHP Billiton Ltd. 4.% Australia & New Zealand Banking Group 3.65% National Australia Bank Ltd. 3.44% CSL Ltd..77% Wesfarmers Ltd..8% Hong Kong Exchanges and Clearing Ltd..99% CK Hutchison Holdings Ltd..88% Scientific Beta Asia ex-japan ETF 4% MSCI Pacific ex-japan SCIX SECTOR OVERWEIGHT/UNDERWEIGHT WITH MSCI PACIFIC EX-JAPAN INDEX.4% 0.98% 6.% Since inception of SCIX ETF, 5//5. MSCI Daily Net Total Return Asia Pacific ex-japan USD 3 Diversified index is represented by the Scientific Beta Multi-Strategy for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts. MSCI PACIFIC EX-JAPAN INDEX TOP 0 HOLDINGS Source: MSCI. As of /3/ % 0.97% -.8% 4% Overlap by weight between SCIX and MSCI Pacific ex-japan 4 # of overlapping 83% Holdings in SCIX also in benchmark 75% Holdings in Benchmark also in SCIX 59% Active share -.9% -6.3% %

5 Japan ETF SCIJ SINCE INCEPTION¹ PERFORMANCE AS OF /3/07 45% 35% 5% 5% 5% -5% -5% -5% Japan ETF SciBeta Japan Multi-Beta Multi-Strategy ERC MSCI Japan May 5 Aug 5 Oct 5 Jan 6 Apr 6 Jul 6 Oct 6 Dec 6 Mar 7 Jun 7 Sep 7 Dec 7 Source: ERI Scientific Beta and Bloomberg, December % 36.09%.53% SCIJ TOP 0 HOLDINGS Source: Funds. As of /3/7 Total.89% LIXIL Group Corp..37% Asahi Kasei Corp..3% JXTG Holdings Inc..9% Kajima Corp..5% Komatsu Ltd..% Nikon Corp..% NH Foods Ltd..% Taiheiyo Cement Corp..09% Rohm Co Ltd..09% Mitsubishi Tanabe Pharma Corp..07% MSCI JAPAN INDEX TOP 0 HOLDINGS Source: MSCI. As of /3/7 Total 8.9 Toyota Motor Corp. 4.6% Mitsubishi UFJ Financial Group.4% Softbank Group Corp..8% Honda Motor Co Ltd..63% Sumitomo Mitsui Financial Group.6 Sony Corp..58% Keyence Corp..5% FANUC Corp..9% KDDI Corp..5% Mizuho Financial Group, Inc..% 8.86% 5.46% 9.78% 3.94% 8.73% 3.4% SCIJ HISTORICAL ALLOCATION SINCE INCEPTION¹ Source: ERI Scientific Beta, December % 34.6%.8 9.5% 6.96% 0.% Low Volatility 8.7% 5.% 4.57% 3.99% 8.65% 8.49% Diversified SCIJ MSCI Japan 3 0.5% % 9.87% %.48% Q 05 Q % 0.% Japan ETF 9.98% % % MSCI Japan.06% -0.% 45% Scientific Beta Japan ETF SCIJ SECTOR OVERWEIGHT/UNDERWEIGHT WITH MSCI JAPAN INDEX Since inception of SCIJ ETF, 5//5. MSCI Daily Net Total Return Japan USD 3 Diversified index is represented by the Scientific Beta Multi-Strategy for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts % -.07% MSCI Japan -. 45% Overlap by weight between SCIJ and MSCI Japan 44 # of overlapping 93% Holdings in SCIJ also in benchmark 76% Holdings in benchmark also in SCIJ 55% Active share -4.09% -4.9% -4.65%

6 Definitions: The objective of the Scientific Beta Multi-Beta Multi-Strategy Equal Risk Contribution es (USA, Japan, Extended Developed Europe, Asia ex-japan) is to represent the performance of large and medium capitalization companies from their respective regions while outperforming the capitalization-weighted reference index for that region, with a limited amount of relative risk against that reference. The S&P 500 is an index of 500 stocks chosen by factors such as market size, liquidity and industry grouping. The is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large-cap universe. The STOXX Europe 600 is derived from the STOXX Europe Total Market (TMI) and is a subset of the STOXX Global 800. With a fixed number of 600 components, the STOXX Europe 600 represents large, mid and small capitalization companies across 8 countries of the European region: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The MSCI Pacific ex Japan captures large and mid cap representation across 4 of 5 Developed Markets (DM) countries in the Pacific region (excluding Japan). With 50 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The MSCI Japan is designed to measure the performance of the large and mid cap segments of the Japanese market. With 38 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Japan. Active Share is the percentage of in a portfolio that do not overlap with the benchmark index. fully consider the Funds investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds summary or full prospectus, which may be obtained by calling -888-GX-FUND- ( ), or by visiting Read the prospectus carefully before investing. Investing involves risk, including the possible loss of principal. In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. For the Scientific Beta Japan ETF, the Japanese economy may be subject to considerable degrees of economic, political and social instability, which could have a negative impact on Japanese securities. In addition, Japan is subject to the risk of natural disasters, such as earthquakes, volcanoes, typhoons and tsunamis, which could negatively affect the Fund. Diversification may not protect against market risk. There is no assurance the goals of the strategy discussed will be met. Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. NAVs are calculated using prices as of 4:00 PM Eastern Time. The market price is the Mid- Point between the Bid and Ask price as of the close of exchange and do not represent the returns you would receive if you traded shares at any other times. EDHEC Risk Institute Asia Ltd. indexes have been licensed for use by Management Company, LLC. Funds are not sponsored, endorsed, issued, sold, or promoted by EDHEC Risk Institute Asia Ltd. nor does this company make any representations regarding the advisability of investing in the Funds. Management Company, LLC serves as an advisor to the Funds. The Funds are distributed by SEI Investments Distribution Co., One Freedom Valley Drive, Oaks, PA, 9456, which is not affiliated with Management Company, LLC.