U.S.

Sector Dashboard
November 29, 2019
MONTHLY PERFORMANCE SUMMARY
12%
10.3%
10%
8.5%
8%
6% 5.4% 4.8% 5.0% 5.0%
4.5% 4.3% 3.7%
3.6% 3.9%
4% 3.2% 3.0% 3.1% 3.1%
2.4% 2.1% 2.2% 2.5%
1.7% 1.4% 1.6% 1.3%
2%
0%
-2% -0.9%
-1.7% -1.8%-2.1%
-4%
-3.5%
-6%
-8% -7.6%
-10%
Technology Financials*** Health Care Industrials Communication Materials Energy Consumer Consumer Real Estate Utilities**
Services**** Staples Discretionary
Select Sectors S&P MidCap 400 Capped Sectors S&P SmallCap 600 Capped Sectors

HISTORICAL PERFORMANCE
Select Sectors S&P MidCap 400 Capped Sectors S&P SmallCap 600 Capped Sectors
SECTOR
MTD 3M YTD MTD 3M YTD MTD 3M YTD
Consumer Discretionary 1.27% 2.60% 25.07% 2.50% 9.34% 22.90% 3.07% 9.39% 14.73%
Consumer Staples 1.36% 2.69% 24.58% 1.58% 4.87% 12.43% 3.10% 5.35% 10.04%
Communication Services**** 3.86% 6.29% 28.29% N/A N/A N/A N/A N/A N/A
Energy 1.66% 3.33% 5.54% -7.61% -4.49% -30.33% -0.91% -12.15% -30.00%
Financials*** 5.04% 12.57% 28.67% 3.61% 7.60% 23.94% 2.10% 8.53% 20.06%
Health Care 5.04% 10.22% 16.64% 8.53% 6.16% 20.44% 10.32% 12.91% 20.43%
Industrials 4.46% 8.79% 29.44% 4.32% 11.41% 31.47% 2.16% 10.01% 26.71%
Materials 3.18% 6.34% 20.79% 2.98% 7.44% 18.10% 3.73% 12.98% 16.38%
Real Estate -1.72% -0.89% 27.34% N/A N/A N/A N/A N/A N/A
Technology 5.38% 11.14% 43.83% 4.75% 9.57% 37.09% 2.36% 12.11% 35.16%
Utilities** -1.84% 1.56% 22.15% -2.13% -2.06% 10.96% -3.48% -2.84% 5.86%

STRENGTH OF SECTOR-LEVEL EFFECTS

12M Rolling Average for the S&P 500

Percentage of average correlations attributable to

55%

50%
within-sector effects

45%

40%

35%

30%

25%

20%
Nov 90

Nov 92

Nov 94

Nov 96

Nov 98

Nov 00

Nov 02

Nov 04

Nov 06

Nov 08

Nov 10

Nov 12

Nov 14

Nov 16

Nov 18

COMMENTARY

• Technology and Financials were the top performing large-cap sectors during November.

• Utilities was the worst performing sector in large and small-caps, while Energy was the laggard in mid-caps.

• The twelve-month rolling average of the proportion of S&P 500 correlations that is attributable to intra-sector effects remained
close to its long-run average at 35%.

*See pages 11-13 of "Sector Effects in the S&P 500®: The Role of Sectors, in Risk, Pricing, and Active Returns" for details on the strength of sector-level effects in the S&P 500.
**Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors.
***Financials & Real Estate SmallCap Capped Sector combines constitutents of the GICS Financials and Real Estate sectors.
****Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices.
These indices became mutually exclusive as of Sept 24, 2018, coincident with the change in GICS methodology. Performance prior to April 30, 2018 is backtested.
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019.
 U.S. Sector Dashboard
November 29, 2019
INDEX COMPOSITION
25%

20%
Sector Weight

15%

10%

5%

0%
Cons Health Real Comm
Cons Disc Energy Financials Industrials Materials Info Tech Utilities
Staples Care Estate Services
Select Sector Indices 9.43% 7.24% 4.23% 13.14% 14.55% 9.31% 2.66% 2.99% 22.84% 10.36% 3.25%
S&P MidCap 400 Capped Sector Indices 12.54% 2.76% 2.09% 17.60% 9.85% 15.76% 6.15% 11.50% 15.16% 2.82% 3.77%
S&P SmallCap 600 Capped Sector Indices 13.86% 3.87% 3.93% 16.83% 12.97% 18.03% 4.69% 6.81% 14.41% 3.48% 1.12%

KEY TO FACTOR SCORINGS FOR INDICES

Factor Definitions
Each constituent of the S&P 1500 index is provided with a factor "score" for each of Beta, Volatility, Momentum, Dividend, Size, Value and Quality.

Low Factor Measurement at single-stock level

Volatility
Volatility Trailing 12-month daily return volatility

Small Size Momentum Twelve-month price change as of one month ago ("13 minus 1 momentum"), divided by the daily volatility during the twelve-
Momentum
month period that ended one month ago. For more details, see the S&P Momentum methodology
The average of (normalized) earnings to price ratio, book to price ratio and sales to price ratio. For more details, see the
S&P Value
S&P Value methodology.

Quality
1500 Value
Beta Trailing 1 year beta of stock daily returns to the benchmark's return.
Dividend Trailing 12-month dividend
The average of the (normalized) return on equity, the negative of the accruals ratio and the negative of the financial
Quality
leverage ratio. For more details, see the S&P Quality methodology.
Dividend High Beta
Size Free-float market capitalization

Index Factor Ranking and Factor Diagram Scaling

Index Scores
Each index is provided a score in each factor from -100% to +100% based on how much of the total capitalization of the benchmark would must be excluded in order to provide a
portfolio of stocks with similar exposure to that factor. This is done by examining a ranked series of hypothetical cap-weighted portfolios, including or excluding an increasing
number of the stocks with the highest or lowest scores. An illustration of the process may be found at this link.

Factor Diagram Axis

Single-stock portfolio with the highest possible factor score

Fewer stocks

The stocks in the benchmark are ranked in order from highest to lowest factor score, and we examine portfolios including or excluding a varying number of stocks associated to high or lower factor scores. The score in
each factor (and its level on the chart) reflects the active share of a hypothetical portfolios matching the factor score of that index. The weights of stocks within the hypothetical comparison portfolios are set proportional
to benchmark weights, i.e. free-float market capitalization.
…

Benchmark Portfolio has a factor rank defined by that of a cap-weighted average score among all
…
stocks
Fewer stocks

Portfolios with a tilt against the factor begin by Weighting matters to the ranking of the index. Each the ranked portfolios of stocks is given a factor score through the capitalization-weighted
…

excluding the highest-ranked stock and end up average. Factor indices can use alternative weightings, which can provide higher factor exposures with fewer stocks.
concentrated in the lowest-ranked stocks
Single-stock portfolio with the lowest possible factor score

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019.
 U.S. Sector Dashboard
November 29, 2019
COMMENTARY

 The diagrams below illustrate factor exposures relative to the S&P 1500 across sectors, from large to small-caps.

 For example, Consumer Discretionary starts out with more volatility than the S&P 1500, and becomes relatively more volatile
at the mid and small-cap levels.

FACTOR TILTS

Consumer Discretionary Select Sector S&P MidCap 400 Capped Consumer Discretionary S&P SmallCap 600 Capped Consumer Discretionary

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark Benchmark Benchmark

Dividend High_Beta Dividend High_Beta

Dividend High_Beta

Consumer Staples Select Sector S&P MidCap 400 Capped Consumer Staples S&P SmallCap 600 Capped Consumer Staples

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark Benchmark Benchmark

Dividend High_Beta Dividend High_Beta Dividend High_Beta

Energy Select Sector S&P MidCap 400 Capped Energy S&P SmallCap 600 Capped Energy

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark Benchmark Benchmark

Dividend High_Beta Dividend High_Beta Dividend High_Beta

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019.
 U.S. Sector Dashboard
November 29, 2019
FACTOR TILTS

Financial Select Sector S&P MidCap 400 Capped Financials S&P SmallCap 600 Capped Financials & Real Estate

Low_Volatility Low_Volatility
Low_Volatility

Small_Size Momentum Small_Size Momentum

Small_Size Momentum

Quality Value Quality Value

Quality Value

Benchmark Benchmark
Benchmark
Dividend High_Beta Dividend High_Beta
Dividend High_Beta

Health Care Select Sector S&P MidCap 400 Capped Health Care S&P SmallCap 600 Capped Health Care

Low_Volatility Low_Volatility
Low_Volatility

Small_Size Momentum Small_Size Momentum

Small_Size Momentum

Quality Value Quality Value

Quality Value

Benchmark
Benchmark
Benchmark

Dividend High_Beta Dividend High_Beta

Dividend High_Beta

S&P MidCap 400 Capped Industrials S&P SmallCap 600 Capped Industrials
Industrial Select Sector

Low_Volatility Low_Volatility
Low_Volatility

Small_Size Momentum Small_Size Momentum

Small_Size Momentum

Quality Value Quality Value

Quality Value

Benchmark Benchmark
Benchmark

Dividend High_Beta Dividend High_Beta

Dividend High_Beta

Materials Select Sector S&P MidCap 400 Capped Materials S&P SmallCap 600 Capped Materials

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark
Benchmark Benchmark

Dividend High_Beta Dividend High_Beta Dividend High_Beta

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019.
 U.S. Sector Dashboard
November 29, 2019
FACTOR TILTS

Real Estate Select Sector S&P SmallCap 600 Capped Financials & Real Estate Communication Services Select Sector***

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark Benchmark Benchmark

Dividend High_Beta Dividend High_Beta Dividend High_Beta

Technology Select Sector S&P MidCap 400 Capped Information Technology S&P SmallCap 600 Capped Information Technology

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value

Quality Value

Benchmark Benchmark
Benchmark

Dividend High_Beta Dividend High_Beta

Dividend High_Beta

Utilities Select Sector S&P MidCap 400 Capped Utilities & Comm Services ** S&P SmallCap 600 Capped Utilities & Comm Services **

Low_Volatility Low_Volatility Low_Volatility

Small_Size Momentum Small_Size Momentum Small_Size Momentum

Quality Value Quality Value Quality Value

Benchmark
Benchmark Benchmark

Dividend High_Beta Dividend High_Beta Dividend High_Beta

**Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors.

***Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices. These indices became
mutually exclusive as of Sept 24, 2018, coincident with the change in GICS methodology. Performance prior to April 30, 2018 is backtested.
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019.
 U.S. Sector Dashboard
November 29, 2019
SELECTED KEY METRICS - SELECT SECTOR INDICES

METRICS DIV FINANCIAL CONSTITUENT DOMESTIC % OF VALUE GROWTH

YIELD P/E P/B P/S ROE (%) LEVERAGE BETA VOLATILITY SALES RSI - 30 DAY SCORE SCORE
Communication Services*** 1.0% 28.6 3.7 3.0 13.0% 0.9 1.06 28.2% 72.9% 61.0 -0.20 0.22
Consumer Discretionary 1.4% 25.5 8.0 1.7 31.3% 2.0 1.06 26.0% 74.1% 50.0 -0.26 0.02
Consumer Staples 2.8% 29.8 5.8 1.6 19.5% 1.2 0.59 20.5% 70.4% 61.9 -0.21 -0.01
Energy 4.0% 27.4 1.5 1.1 5.4% 0.4 1.06 26.8% 58.9% 54.3 0.28 0.14
Financials 2.0% 14.3 1.7 2.2 11.6% 1.4 1.00 21.9% 77.2% 78.3 0.36 0.17
Health Care 1.7% 28.6 4.6 1.8 16.0% 0.8 0.88 25.3% 82.3% 75.7 -0.29 0.13
Industrials 2.0% 22.7 5.4 1.9 24.0% 1.4 1.09 25.7% 61.4% 69.4 -0.22 -0.01
Materials 2.3% 25.9 2.4 1.9 9.2% 1.3 0.95 26.2% 45.2% 64.6 -0.12 0.03
Real Estate 3.1% 35.7 3.8 7.0 10.6% 1.2 0.49 19.5% 80.7% 44.0 -0.33 -0.05
Technology 1.3% 26.8 8.4 5.0 31.4% 0.8 1.32 27.3% 41.9% 71.3 -0.41 0.04
Utilities 3.2% 23.9 2.4 2.7 9.9% 1.5 0.29 15.9% 96.0% 47.3 0.00 -0.01

SELECTED KEY METRICS - S&P MIDCAP 400 CAPPED SECTORS

DIV FINANCIAL CONSTITUENT DOMESTIC % OF VALUE GROWTH
METRICS YIELD
P/E P/B P/S ROE (%)
LEVERAGE
BETA
VOLATILITY SALES
RSI - 30 DAY
SCORE SCORE

Consumer Discretionary 1.4% 26.6 3.9 0.9 14.7% 1.9 1.11 35.3% 78.6% 56.3 0.03 0.01
Consumer Staples 1.1% 46.0 3.0 0.9 6.5% 1.2 0.73 28.5% 81.8% 61.1 0.17 -0.15
Energy 3.4% 22.6 0.6 0.4 2.6% 0.9 1.59 50.8% 75.2% 45.4 0.28 0.04
Financials 2.5% 13.2 1.4 1.8 10.7% 1.0 1.01 25.1% 85.3% 63.0 0.24 -0.03
Health Care 0.3% 76.7 3.9 2.0 5.1% 0.9 1.16 32.7% 84.6% 67.7 -0.25 0.25
Industrials 1.2% 27.5 3.0 1.1 10.9% 0.7 1.18 29.9% 61.3% 68.5 0.09 -0.06
Information Technology 0.5% 48.6 3.6 1.3 7.5% 0.7 1.37 34.8% 44.4% 66.4 -0.11 0.06
Materials 2.1% 19.6 2.5 0.9 12.5% 1.0 1.03 29.8% 62.9% 64.1 0.15 -0.03
Utilities & Comm Services** 2.3% 25.6 2.5 1.9 9.8% 1.1 0.57 21.9% 87.4% 40.8 -0.06 0.02

SELECTED KEY METRICS - S&P SMALLCAP 600 CAPPED SECTORS

DIV FINANCIAL CONSTITUENT DOMESTIC % OF VALUE GROWTH
METRICS YIELD
P/E P/B P/S ROE (%)
LEVERAGE
BETA
VOLATILITY SALES
RSI - 30 DAY
SCORE SCORE

Consumer Discretionary 1.3% 36.8 2.4 0.5 6.6% 1.0 1.12 41.6% 84.4% 56.4 0.33 0.00
Consumer Staples 2.1% 48.5 2.5 0.5 5.2% 1.1 0.81 35.3% 69.0% 63.3 0.16 0.09
Energy 0.8% n/m 0.4 0.5 -9.8% 0.8 1.72 59.3% 82.2% 44.9 0.50 0.13
Financials & Real Estate 3.7% 22.7 1.5 2.0 6.4% 1.6 0.87 26.0% 70.0% 65.8 0.15 0.03
Health Care 0.1% n/m 3.9 1.3 -9.6% 1.5 1.21 47.0% 91.1% 71.7 -0.34 0.28
Industrials 1.0% 23.6 2.5 0.9 10.5% 0.8 1.19 33.8% 75.9% 60.9 0.17 -0.03
Information Technology 0.5% 88.1 2.8 1.3 3.1% 0.5 1.33 38.0% 50.2% 61.9 0.01 -0.05
Materials 2.3% 16.3 2.2 0.7 13.3% 1.2 1.36 38.2% 63.2% 57.4 0.25 -0.07
Utilities & Comm Services** 2.8% n/m 1.8 0.8 -58.9% 2.9 0.87 33.7% 94.5% 38.1 -0.13 0.05

Select Sectors, MidCap and SmallCap Capped Sectors Value vs.

Growth Scores (Size Proportional to Cap)
0.40 Sector Key

Energy
Growth Score at 2018 rebalance

0.30
Materials
Industrials
Consumer Discretionary
0.20
Consumer Staples
Health Care
0.10 Financials
Info Tech
0.00 Communication Services
Utilities

-0.10 Real Estate

-0.20
-0.60 -0.40 -0.20 0.00 0.20 0.40 0.60
Value Score at Dec 2018 rebalance
COMMENTARY

 Financials held the highest technical position for large caps, given its strong recent performance.

 Technology and Consumer Discretionary have the highest ROEs among large-caps.

 Average constituent volatility in the Communication Services Select Sector is the highest among large-caps. Meanwhile, Energy
continues to be the most volatile sector in mid and small-caps.
For details on definitions of fundamental metrics, please refer to the disclosure section.
**Utilities MidCap and SmallCap Capped Sectors include constituents of the GICS Utilities and Communication Services sectors.
***Communication Services Select Sector Index, launched April 30, 2018, no longer overlaps with some constituents of the Technology Select Sector and Consumer Discretionary Select Sector Indices. These indices became mutually
exclusive as of Sept 24, 2018, coincident with the change in GICS methodology. Performance prior to April 30, 2018 is backtested.
Source: S&P Dow Jones Indices LLC and/or its affiliates and FactSet. Data as of November 29, 2019.
 U.S. Sector Dashboard
11/29/2019
COMMENTARY

• Dispersion changes were mixed across sectors, with large increases in small-cap Health Care and large decreases in mid-cap
Consumer Discretionary.

• Correlations decreased across most sectors, especially in mid-cap Utilities, large-cap Communication Services and Info Tech.

SECTOR DISPERSION AND CORRELATION

0.70
S&P 500 Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

0.60
Financials (17.22%)
Energy (21.35%)
Average Correlation

0.50
Real Estate (14.48%) Technology (20.74%)
Communication Services (17.48%) Industrials (17.89%)
0.40
Materials (17.46%)Consumer Discretionary (17.65%)

Consumer Staples (12.45%) Health Care (15.54%)

0.30
S&P 500 (14.91%)

0.20

0.10
10% 15% 20% 25% 30% 35% 40% 45%
Average Dispersion

0.70
S&P MidCap 400 Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

0.60

Utilities (13.77%)
Average Correlation

0.50 Energy (40.09%)

Financials (18.20%)
0.40 Real Estate (15.38%) Industrials (19.80%)
Technology (21.26%)
Communication Services (18.14%) Health Care (20.01%)
Materials (18.27%)
0.30
S&P 400 (16.46%)
Consumer Discretionary (18.02%)
0.20 Consumer Staples (14.54%)

0.10
10% 15% 20% 25% 30% 35% 40% 45%
Average Dispersion

0.70 S&P SmallCap 600 Sector Average Correlation and Dispersion (Trailing 12-Month Volatility)

0.60

Utilities (14.32%)
0.50
Average Correlation

Energy (43.23%)
0.40 Financials (18.21%) Materials (25.63%)

Real Estate (15.84%)

Industrials (20.51%)
0.30 Technology (21.74%)
Communication Services (22.30%)
S&P 600 (18.30%)
Health Care (22.40%)
0.20
Consumer Staples (15.61%) Consumer Discretionary (20.00%)
0.10
10% 15% 20% 25% 30% 35% 40% 45%
Average Dispersion
NOTES
• The charts above decomposed volatility into its two main components: dispersion and correlation. The dispersion and correlation data points are each sector's average monthly value over the
trailing 12 months. Trailing annualized volatility is included in parentheses. Index dispersions shown based on calendar month stock-level index-weighted dispersion. Index correlation based on
single stock daily total returns during each calendar month. See "Implications of Sector Dispersion" for more information.

• See "At the Intersection of Diversification, Volatility and Correlation" for details on the relationship between correlation and dispersion.
• See "Dispersion: Measuring Market Opportunity" for the definition of index dispersion and more information on the uses of dispersion.

Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of November 29, 2019. Index performance based on total return (USD). Charts and graphs are provided for illustrative purposes. Past performance is no guarantee of
future results.
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Notes On Additional Index Statistics

STATISTIC NOTES
Price per share as of observation date divided by earnings per share, calculated by adding the last twelve calendar months' quarterly reported
Price/Earnings (P/E)
earnings per share.
Price/Book (P/B) Price per share as of observation date divided by latest annual reported book value per share.
Price/Sales (P/S) Price per share as of observation date divided by sales per share, calculated by adding twelve calendar months' quarterly reported sales per share.
Return on Equity
Earnings per share divided by latest annual reported book value per share.
(ROE%)
Financial Leverage A company's total debt divided by its latest annual reported book value, calculated as book value per share multiplied by common outstanding
Ratio shares. Debt, book value per share, and common outstanding shares are latest annual reported values.
RSI is an indicator of the speed and change of price movements and oscillates between zero and 100. RSI is considered overbought when above 70
RSI - 30 Day
and oversold when below 30. RS is the average gain divided by average loss over the past 30 days. Then RSI is equal to 100 minus 100 divided by