SMALL CAP PERSPECTIVES RUSSELL 2000 INDEX QUARTERLY ANALYSIS

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1 SMALL CAP PERSPECTIVES RUSSELL 2 INDEX QUARTERLY ANALYSIS March 217

2 Market Recap Commentary First Quarter 217 US economy and The Fed Following the Fed s December 216 vote to raise the Fed Funds Rate a quarter point to a range of.5.75%, the Board of Governors decided to maintain that target in the first quarter of 217. The Fed assessed conditions in the US labor market and the overall economy as favorable, with auto sales and housing activity strong contributors to economic growth. 1 The US Bureau of Economic Analysis (BEA), estimated that first quarter GDP growth was approximately.7%, which was down from 2.1% in the fourth quarter of 216. A first quarter drop is not uncommon, and the BEA attributed growth to increases in personal consumption and housing activity. 2 Unemployment remained historically low at.% 3, and US home values increased by an estimated 6.8% in the last twelve months with a median value of $196.5K according to Zillow. Through March 217, core inflation was 1.6%, based on the Fed s core personal consumption expenditures index. Inflation remains steady and below the Fed s long-range target of 2.%. At 1.8%, the total personal consumption expenditures index, which includes spending on energy and food, exceeded its 1-year average of 1.6% as food prices rose in the first quarter. 5 Prospects for growth back in style for US Equity in Q1 The first quarter of 217 saw the end, at least temporarily, of a year long run for value stocks. At the conclusion of 216, there existed a widening gap between the Russell growth and value style indexes, which extended across the large and small cap market segments. In the last days of the fourth quarter of 216, the difference in excess returns between the Russell 2 Value Index and Russell 2 Growth Index had expanded to more than 16 percentage points in favor of value. Value had also built a commanding lead among large caps, with the difference in excess returns of the Russell 1 Value Index and the Russell 1 Growth Index reaching as much as 9.5 percentage points in the fourth quarter. But the new year ushered in a renewed appetite for growth stocks, which are valued by the market for their potential rather than actual earnings. Figure 1 shows the excess returns of the Russell 2 Value Index and Russell 2 Growth Index as compared to the core Russell 2 Index, and Figure 2 shows the excess returns of the large cap style indexes as compared to the Russell 1 Index. Comparing the indexes in this way provides a clear picture of which style is in favor at a particular point in their cyclical arcs of performance. Figure 1: Cumulative excess returns of the Russell 2 Growth Index and the Russell 2 Value Index compared with the Russell 2 Index from January 216 through March 217. Cumulative excess return (%) vs. the Russell 2 Index Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 RUSSELL 2 GROWTH INDEX RUSSELL 2 VALUE INDEX Figure 2: Cumulative excess returns of the Russell 1 Growth Index and the Russell 1 Value Index compared with the Russell 1 Index from January 216 through March 217. Cumulative excess returns (%) vs. the Russell 1 Index /31/16 2/29/16 3/31/16 /3/16 5/31/16 6/3/16 7/31/16 RUSSELL 1 GROWTH INDEX Aug-16 8/31/16 Sep-16 9/3/16 Oct-16 1/31/16 Nov-16 11/3/16 Dec-16 12/31/16 RUSSELL 1 VALUE INDEX Jan-17 1/31/17 Feb-17 2/28/17 3/31/17 Source: FTSE Russell as of March 31, 217. Past performance is no guarantee of future results. Please see the end for important legal disclosures. 1 Source: 2 Source: 3 Source: Through November 216: 5 Source: FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 1

3 Market Recap Commentary(continued) Taking a closer look at what fueled the turn to growth in the first quarter, we broke down the Russell style indexes into market beta deciles. The performance of highest beta stocks within the Russell 2 Growth Index, those in deciles 1 3 in Figure 3, rose significantly as compared to stocks with lower betas. And the preference for small cap growth stocks over small cap value stocks was present in all but two of the ten deciles. This preference for more volatile stocks was also present in the large cap segment, with the top deciles of market beta strongly outperforming those representing the lower half of the Russell 1 Growth Index (Fig ). The preference for large cap growths stocks over large cap value stocks appeared in all but two deciles. Beta is a useful topline figure with which to measure volatility relative to the overall market, but we wondered if the preference for growth stocks during the first quarter, which is indicative of a risk-seeking environment, could be further quantified using a fundamental characteristic like forecasted earnings growth. To test our theory, we broke down the indexes again, this time by decile of 3 5 year forecasted earnings growth. Based on our findings using beta, we would have expected a market preference for companies with higher growth potential. When market sentiment is more cautious investors tend to focus on realized earnings as part of a preference for quality. Figure 3: Total returns by market beta deciles within the Russell 2 Growth Index and Russell 2 Value Index from January 217 through March 217. Total return (%) by segment Decile 1: Decile 2: Decile 3: Decile :.9 1. Higher Market Beta Decile 5:.9.9 Russel 2 Growth Index Lower Decile 6:.9.9 Decile 7:.8.9 Decile 8:.7.8 Russell 2 Value Index Decile 9:.5.7 Decile 1: Sources: FTSE Russell and FactSet as of March 31, 217. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Figure : Total returns by market beta deciles within the Russell 1 Growth Index and Russell 1 Value Index from January 217 through March 217. Total return (%) by segment Decile 1: Decile 2: Decile 3: Decile :.9 1. Higher Market Beta Decile 5:.9.9 Russel 1 Growth Index Lower Decile 6:.9.9 Decile 7:.8.9 Decile 8:.7.8 Russell 1 Value Index Decile 9:.5.7 Decile 1: Sources: FTSE Russell and FactSet as of March 31, 217. Past performance is no guarantee of future results. Please see the end for important legal disclosures. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 2

4 Market Recap Commentary(continued) Figure 5 confirms our expectation that companies in the Russell 2 Index with higher forecasted earnings growth represented by deciles 1 5 outperformed those with lower forecasted earnings growth (represented by deciles 6 1). This market preference was found in both the Russell 2 Growth Index and Russell 2 Value Index, but somewhat stronger among growth stocks. The preference for growth stocks was not limited to small caps, as it manifested in the Russell 1 Index as well (Fig 6). However, the performance of large cap growth and value index deciles grouped by forecasted earnings growth appeared more discriminating than what we had observed between small cap growth and value. Take deciles 1 and 2, for example, where large cap growth companies were up more than ten percentage points over large cap value companies within the same set. Figure 5: Total returns by 3 5 year forecasted earnings growth deciles within the Russell 2 style indexes from January 217 through March 217. Total return (%) by segment Forecasted earnings growth Higher Lower -3 Decile 1: Decile 2: Decile 3: Decile : Decile 5: Russell 2 Growth Index Decile 6: Decile 7: Decile 8: Russell 2 Value Index Decile 9: Decile 1: Figure 6: Total returns by 3 5 year forecasted earnings growth deciles within the Russell 1 Growth Index and Russell 1 Value Index from January 217 through March Forecasted earnings growth Higher Lower Total return (%) by segment Decile 1: Decile 2: Decile 3: Decile : Decile 5: Russell 1 Growth Index Decile 6: Decile 7: Decile 8: Russell 1 Value Index Decile 9: Decile 1: Sources: FTSE Russell and FactSet as of March 31, 217. Past performance is no guarantee of future results. Please see the end for important legal disclosures. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 3

5 Market Recap Commentary(continued) Market Recap Interestingly, though the first quarter could generally be characterized as a risk-seeking environment, small cap and micro cap stocks underperformed large caps (see Exh 1). Small cap stocks lagged large caps in the first quarter which, like the value to growth performance shift, was a change in the market trend we had observed for much of 216. The Russell 2 Index returned +2.7% for the first quarter compared to +6.3% for the Russell 1 Index. The Russell Microcap Index eked out a modest +.38% return. Dynamic stocks, whose performance tends to be tied to cyclical factors in their underlying industries as well as the economy overall, were also favored over defensive stocks in the first quarter (see Exh 2). The Russell 2 Defensive Index returned +.58% as compared to +.6% for the Russell 2 Dynamic Index. The Russell 1 Dynamic Index recorded a higher return than the Russell 1 Defensive Index by the smaller margin of.92 of a percentage point, or +6.7% versus +5.55%. The Russell 2 Growth Index return was +5.35% as the Russell 2 Value Index fell, with an index return of -.13%. On the large cap side, the Russell 1 Growth Index increased +8.91% for the quarter as compared to +3.27% for the Russell 1 Value Index. Bottom line The Russell US style indexes have captured the mood of the market for 3 years. Whether investors feel like hunting for possible bargains (value stocks), or taking their chances on companies whose best days may lie ahead (growth stocks), the Russell US style indexes provide the leading tools with which to measure these sentiments. The first quarter s turn to growth punctured what had been a shift in the cycle of style leadership towards value. That cycle may hinge on geopolitical developments at home and abroad for the rest of 217. In particular, the outcomes of the Trump agenda for health care and tax reform may either support or undermine current equity valuations. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis

6 Market performance Size All Russell US Equity Indexes posted positive returns in the first quarter of 217 (Exh 1). The Russell Microcap Index recorded the lowest return (+.%), but the index still managed to boast the highest return for the 12 month period ending March 31, 217 (+27.8%) followed closely by the Russell 2 Index. The Top 2 Index and the Russell 1 Index also showed a reverse in trend by ranking as the top two performers for the quarter (with returns of +6.% and +6.%, respectively) after being outshined by their small and microcap counterparts for most of 216. Style Tables turned in growth and value styles, with growth stocks outperforming value stocks during the first quarter in both the large and small cap segments (see Exh 2); notably, both by a margin of over 5 percentage points. The Russell 2 Value Index s quarterly return was negative for the first time since the third quarter of 215 with a -.1% return. Despite growth outperforming value across the board during the first quarter of 217, the twelve month results ending March 31, 217 were higher for both the Russell 1 Value Index and Russell 2 Value Index, with the Russell 2 Value Index recording the highest index return (+29.%) across all size and style segments. The Russell 2 Dynamic Index outperformed its defensive counterpart by.1 percentage points with a return of +.6%, but it lagged the Russell 1 Dynamic Index, which recorded a return of +6.5% for the quarter, also higher than the Russell 1 Defensive Index s return (+5.6%). Twelve month results ending March 31, 217 show Dynamic outperforming Defensive in both the large cap and small cap segments, with the Russell 2 Dynamic Index posting a +28.% return, second only to that of the Russell 2 Value Index (+29.%) Exhibit 1: Market Cap Performance Total Return (%) (as of 3/31/217) 217 1st qtr 216 th qtr 216 3rd qtr 216 2nd qtr 12 Mos as of 3/31/217 Russell Microcap Index Russell 2 Index Russell 3 Index Russell Top 2 Index Russell 1 Index Russell Midcap Index Exhibit 2: Style Performance Total Return (%) (as of 3/31/217) 217 1st qtr 216 th qtr 216 3rd qtr 216 2nd qtr 12 Mos as of 3/31/217 Russell 1 Growth Index Russell 1 Value Index Russell 2 Growth Index Russell 2 Value Index Russell 1 Defensive Index Russell 1 Dynamic Index Russell 2 Defensive Index Russell 2 Dynamic Index FTSE Russell considers style along three dimensions: size, valuation and stability. The size dimension includes large cap and small cap as defined by market capitalization. Valuation includes growth and value measures. Stability provides a risk dimension to style by assessing a variety of factors related to quality and volatility exposures. Stability includes dynamic (companies with greater economic sensitivity and more variable earnings profiles) and defensive (companies with less economic sensitivity and more stable earnings profiles). For more information on Russell s style definitions, please refer to the complete methodology document: Russell US Equity Indexes available at ftserussell.com. Source: FTSE Russell, data as of December 31, 216. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 5

7 Dec-12 Jan-13 Mar-13 Jun-13 Sep-13 Dec-13 Jan-1 Mar-1 Jun-1 Sep-1 Dec-1 Jan-15 Mar-15 Jun-15 Sep-15 Dec-15 Jan-16 Mar-16 Jun-16 Sep-16 Dec-16 Jan-17 Dec-6 Jun-7 Dec-7 Jun-8 Dec-8 Jun-9 Dec-9 Jun-1 Dec-1 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-1 Dec-1 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Small cap performance analysis After a healthy 216 return of 21.3%, the Russell 2 Index recorded a return of +2.5% for the first quarter of 217 (see Exh ). Of the 63 trading days in the quarter, the index had more up days (33) than down (29). As of March 31, 217 the Russell 2 Index advanced +33.8% on a cumulative basis since the financial crisis trough on March 9, 29 (see Exh 5). The index reached a new peak on March 1, 217 just shy of four months after its previous record high on December 9, 216. Exhibit 3: 12-Month Rolling Returns Total Return (%) 1 Years (as of 3/31/217) % Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 Mar-13 Mar-1 Mar-15 Mar-16 RUSSELL 2 INDEX RUSSELL 1 INDEX Exhibit : Russell 2 Index Price Performance Total Return (January 213 March 217) Exhibit 5: Russell 2 Index Price Performance (January 27 March 217) % % % % YTD % Total Return Pre Recession Peak to Peak 7/13/27 3/1/ % Total Return Trough to Present 3/9/29 3/31/ % Total Return Recent Peak to Peak 12/9/216 3/1/ % Exhibit 6: Performance Total Return (%) (as of 3/31/217) Annualized 1st Qtr 1 Yr 3 Yr 5 Yr 1 Yr Russell 2 Index Russell 1 Index Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 6

8 Relative returns analysis Comparing the performance of the Russell 2 Index to that of the Russell 1 Index, the first quarter of 217 had large cap (+6.%) outperforming small cap (+2.5%). Over the course of the one year period ending March 31, 217, however, the Russell 2 Index had outperformed the Russell 1 Index by 8.8 percentage points with its total return of +26.2% (see Exh 6). Exhibit 7 displays the performance of the indexes that represent the size and style segments of the US market. So far 217 has resulted in growth outpacing value across large, mid and small cap indexes. This represents a noticeable shift from the 216 result, where value outperformed growth significantly across the entire market capitalization spectrum. While small cap indexes (including core, value and growth) had a strong 216 in terms of index returns, the Russell 2 had lagged behind its large and mid cap counterparts in the first quarter of 217. Comparing the 1 year growth of the Russell 2 Index to that of the Russell 1 Index (see Exh 8), the small cap index s strong 216 returns helped to narrow the distance between them. Only time will tell whether the Russell 1 Index will continue along its current 217 reversal of this trend. Exhibit 7: Russell Index Style Performance Total Return (%) (as of 3/31/217) 217 YTD Value Core Growth Large Mid Small Value Core Growth Large Mid Small Value Core Growth Large Mid Small Value Core Growth Large Mid Small Exhibit 8: Performance Growth of a unit Total Return (%) 1 Years (as of 3/31/217) Exhibit 9: Russell Index Style Performance Total Return (%) (as of 3/31/217) 25 2 Index 217 YTD Russell 1 Growth Index Russell Midcap Growth Index Russell 1 Index Russell 2 Growth Index Mar-7 Mar-9 Mar-11 Mar-13 Mar-15 Russell Midcap Index Russell Midcap Value Index Russell 1 Value Index RUSSELL 2 INDEX RUSSELL 1 INDEX Russell 2 Index Russell 2 Value Index Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 7

9 Risk analysis The CBOE Russell 2 Volatility Index (RVX), which measures the expected volatility implied by option prices for the Russell 2 Index, remained well below its 1-year average of 26. during the first quarter of the year with an average value of 17.3 (Exh 1). The quarter s peak occurred on the first trading day of the year (January 3, 217), while the index hit its lowest point of the quarter on March 17, 217. Realized volatility, as measured by the daily returns of the Russell 2 Index in Exhibit 11 was also unremarkable, with a median daily return of +.7% as compared to the 2 year median of +.9%. March contained both the largest daily rise (+1.95%) and largest daily fall (-2.71%) for the quarter. A comparison of the 12-month rolling standard deviation of the Russell 2 Index and the Russell 1 Index in Exhibit 12 indicates that volatility has decreased for both indexes over the last several months, but more so for the small cap index. An increase in the size of the volatility gap between the two indexes has been occurring since late 215, with February 217 registering a difference of 6 percentage points between the two indexes, the largest we ve witnessed since September 212. Exhibit 11: Russell 2 Index Daily Returns Total Return (%) 2 Years (as of 3/31/217) Exhibit 1: Implied Volatility CBOE Russell 2 Volatility Index (RVX) 1 Years (as of 3/31/217) RVX Index Value Yr Average 3 26.% 2 1 Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 Mar-13 Mar-1 Mar-15 Mar-16 Source: CBOE. CBOE, Chicago Board Options Exchange, CBOE Volatility Index, and VIX are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). RVX is a service mark of CBOE. The Russell 2 Index is a registered trademark of The Frank Russell Company, used under license. This data is believed to be correct but CBOE does not guarantee the accuracy of the data and will not be held liable for consequences of its use. Exhibit 12: 12-Month Rolling Standard Deviation (%) 1 Years (as of 3/31/217) % Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 RUSSELL 2 INDEX Mar-13 Russell 2 Index 1 Yr Avg +2.2% Mar-1 RUSSELL 1 INDEX Mar-15 Mar-16 Exhibit 13: Risk Characteristics Annualized (as of 12/31/217) Standard Deviation (%) Return/Risk Ratio 1 Yr 3 Yr 5 Yr 1 Yr 1 Yr 3 Yr 5 Yr 1 Yr Russell 2 Index Russell 1 Index Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 8

10 Small cap asset flows Total AUM in ETFs and Mutual Funds tracking small cap indexes closed the first quarter of 217 at a new all time record high of nearly $718 Billion, up nearly $3 Billion from the end of 216 (see Exh 1). Comparing the asset flows month-to-month in Exhibits 15 and 16, ETFs gained assets consistently across all three months. January saw the largest increase in combined assets for the quarter, with nearly 75% of the net flows going into ETFs rather than Mutual Funds. Exhibit 1: Quarterly Small Cap Total Assets ($ billions) 1 Years (As of 3/31/217) Billions $ Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 Mar-13 Mar-1 Mar-15 Mar-16 Source: Morningstar Direct. Total assets and estimated net flows are for all U.S.-domiciled open-end mutual funds (excluding money market funds and funds-of-funds) and Exchange Traded Products (ETPs) categorized as small cap, small cap growth or small cap value by Morningstar. Exhibit 15: Monthly Small Cap Asset Flows ($ billions) Estimated Net Flows One Year (as of 3/31/217) $ Exhibit 16: Monthly Small Cap Asset Flows ($ billions) Estimated Net Flows One Year (as of 3/31/217) $ Billions 2-2 Billions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17-6 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Total Small Cap MF Flow Total Small Cap ETF Flows Source: Morningstar Direct. Total assets and estimated net flows are for all U.S.-domiciled open-end mutual funds (excluding money market funds and funds-of-funds) and Exchange Traded Products (ETPs) categorized as small cap, small cap growth or small cap value by Morningstar. Source: Morningstar Direct. Total assets and estimated net flows are for all U.S.-domiciled open-end mutual funds (excluding money market funds and funds-of-funds) and Exchange Traded Products (ETPs) categorized as small cap, small cap growth or small cap value by Morningstar. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 9

11 Russell 2 Index sector weights The Russell 2 Index sector weights remained relatively flat as compared to the end of last quarter, with the largest increase occurring in Health Care, which grew from 12.1% to 13.% of the index (see Exh 19), assisted by its 12.5% total return for the quarter. The largest decrease in weights as compared to last quarter occurred in Financial Services, where we saw its representation in the index move from 28.% to 27.8%. Comparing the sector weights to one year ago, results are equally inconsequential. With the changes barely noticeable in Exhibit 17, Materials & Processing grew 1.7 percentage points to represent 7.9% of the index, while the weight of the Consumer Discretionary sector was reduced most significantly, shrinking 1.8 percentage points to land at a flat 13.% of the index. Exhibit 17: Historical Sector Weightings (%) 1 Years (as of 3/31/217) % Mar-7 Mar-8 Mar-9 Mar-1 Mar-11 Mar-12 Mar-13 Mar-1 Mar-15 Mar-16 Financial Services Technology Producer Durables Consumer Discretionary Health Care Materials & Processing Utilities Energy Consumer Staples Exhibit 18: Current Sector Weightings (%) as of 3/31/ % 3.2% 2.%.6% 7.9% 27.8% Financial Services Technology Producer Durables Consumer Discretionary Health Care Materials & Processing 13.% 13.% 1.7% Utilities Energy Consumer Staples Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 1

12 Russell 2 Index sector attribution analysis Shown in Exhibit 19, Health Care made the largest positive contribution (1.5%) to the quarterly return of the Russell 2 Index, followed by Technology (1.%) and Materials & Processing (.%). The sector with the greatest negative impact on the index s return was Energy (-.%) followed by Financial Services (-.3%) and Consumer Staples (-.1%). Not surprisingly, three of the five top industry contributors were part of the Health Care sector, with Biotechnology contributing the most with a.8% quarter to date contribution to return. The Diversified Banks industry, which was a top contributor through most of 216, had the largest drag on the index during the first quarter of 217, contributing -.% to the Russell 2 Index s quarterly return (see Exh 21 and 22). Exhibit 19: Sector Contribution to Return (%) First Quarter 217 (as of 3/31/217) % Health Care Technology Materials Consumer & Discretionary Utilities Processing Producer Durables Consumer Staples Financial Services Energy Exhibit 2: Top Industry Contributors (%) Fourth Quarter 217 (as of 3/31/217) % 1..8 Exhibit 21: Bottom Industry Contributors (%) Biggest detractors First Quarter 217 (as of 3/31/217) % Biotechnology Semiconductors & Components Exhibit 22: Sector Review First Quarter 217 (as of 3/31/217) Pharmaceuticals Medical Chemicals: -.5 Equipment Specialty Financial Services Technology Producer Durables Consumer Discretionary Health Care Materials & Processing Russell 2 Index Weight (%) 27.8% 1.7% 13.% 13.% 13.% 7.9%.6% 3.2% 2.% Total Return (%) Contribution to Return (%) Banks: Diversified Oil: Crude Producers Specialty Retail Utilities Oil Well Equipment & Services Energy Equity REIT: Retail Consumer Staples Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 11

13 Russell 2 Index fundamental characteristics The price-to-earnings ratio (P/E) of the Russell 2 Index closed the first quarter of 217 at 25.5, down a few points since the end of 216 but on a steady incline into 217 (see Exh 23). Exhibit 23: Price-to-earnings Ratio (P/E) I/B/E/S 1-year forecasted Last 12 months as of 3/31/ Profitability, as measured by five-year return on assets (ROA), has held fairly steady since the end of 216, staying close to the.2% mark for the first three months of 217. Five-year forecasted earnings growth for companies in the Russell 2 Index has been on a slow and steady incline since it dropped below 7% at the end of 216, reaching 7.3% as of the end of the quarter Apr-16 May Jun Jul Aug-16 Sep Oct-16 Nov-16 Dec Jan Feb Exhibit 2: Return on Assets (ROA) Trailing 5 Years (%) Last 12 months as of 3/31/217 Exhibit 25: Earnings Growth I/B/E/S 5-year forecasted EPS Last 12 months as of 3/31/ Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Exhibit 26: Fundamental Characteristics Market Snapshot (as of 3/31/217) Valuation Growth Quality P/E - I/B/E/S 1 Yr Forecasted Price/Book Price/Cash Flow Sales per Share Growth 5 Yr Long Term Forecasted Growth I/B/E/S Median ROA - 5 Yr Avg Debt/Equity Dividend Yield Russell 2 Index Russell 1 Index Source: FTSE Russell, data as at March 31, 217. Past performance is no guarantee of future results. Please see important legal disclosures at the end of this report. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 12

14 Disclaimer 217 London Stock Exchange Group plc and its applicable group undertakings (the LSE Group ). The LSE Group includes (1) FTSE International Limited ( FTSE ), (2) Frank Russell Company ( Russell ), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX Global Debt Capital Markets Limited (together, FTSE TMX ) and () MTSNext Limited ( MTSNext ). All rights reserved. FTSE Russell is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. FTSE, Russell, FTSE Russell MTS, FTSE TMX, FTSEGood and ICB and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, or FTSE TMX. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of FTSE Russell indexes or the fitness or suitability of the indexes for any particular purpose to which they might be put. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors. Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index. This publication may contain forward-looking statements. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate. Such forward-looking statements are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially from those in the forward-looking statements. Any forward-looking statements speak only as of the date they are made and no member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking statements. Morningstar is the copyright owner of the Morningstar information used by FTSE Russell to calculate the data included in this presentation. All rights reserved 217. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 13

15 About FTSE Russell FTSE Russell is a leading global index provider creating and managing a wide range of indexes, data and analytic solutions to meet client needs across asset classes, style and strategies. Covering 98% of the investable market, FTSE Russell indexes offer a true picture of global markets, combined with the specialist knowledge gained from developing local benchmarks around the world. FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. More than $1 trillion is currently benchmarked to FTSE Russell indexes. For over 3 years, leading asset owners, asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their investment performance and create investment funds, ETFs, structured products and index-based derivatives. FTSE Russell indexes also provide clients with tools for asset allocation, investment strategy analysis and risk management. A core set of universal principles guides FTSE Russell index design and management: a transparent rules-based methodology is informed by independent committees of leading market participants. FTSE Russell is focused on index innovation and customer partnership applying the highest industry standards and embracing the IOSCO Principles. FTSE Russell is wholly owned by London Stock Exchange Group. For more information, visit ftserussell.com. To learn more, visit ftserussell.com; info@ftserussell.com; or call your regional Client Service Team office: EMEA + () North America Asia-Pacific Hong Kong Tokyo Sydney +61 () FTSE Russell Small Cap Perspectives: Russell 2 Index Quarterly Analysis 1

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