+6.7% +8.4% - research.ftserussell.com · Value Size (Smaller Cap) Long Term Mom. Low Vol Yield (High) Quality (High) Relative Value factor sector exposures vs. sector-weighted contributions

FOR PROFESSIONAL INVESTORS ONLY

Market Maps

Regional Factor Indicator Report

April 2020

TABLE OF CONTENTS

Global View .......................................... 2

US ..................................................... 11

UK ..................................................... 19

Europe ex UK ..................................... 27

Japan ................................................. 35

Asia Pacific ex Japan ........................ 43

Emerging Markets ............................. 51

Appendix ............................................ 59

Glossary ............................................. 60

Quality prevails in Q1 pandemic panic

Defensive factors outperform in market meltdown

Quality, Profitability and Low Volatility seized the lead in most markets (except the UK)

amid the massive flight from risk this year.

Stable profits and low debt buoy Quality outperformance

The resilience of stocks offering high ROA and ROE and low debt burdens helped

propel Quality’s strong relative gains.

Macro sensitivity has intensified

Swings in US Treasuries and commodity prices have become far bigger drivers of factor

returns across developed markets. Not so much in emerging markets.

UK takes defensive turn as Size rally evaporates

The dramatic outperformance of defensive factors over riskier counterparts was a

dominant global theme in Q1, but the turn was far more muted in the UK, despite the

retreat in Size.

Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Equity market data based on FTSE Global Equity Index Series and FTSE Global Factor Index Series. Results shown for regional Factor Indicators represent hypothetical, historical performance. Past performance is no guarantee of future results. Please see the end for important legal disclosures. Important information: While the Factor Indicators use the same calculation methodology as the official FTSE Russell Factor Indexes, they differ in terms of the range of components incorporated into the calculation.

Consequently, the Factor Indicator and official FTSE Russell factor index data may differ. Please see the FTSE Russell website for information about the official factor indexes and Appendices I and II of this report for further details on rules-based factors indicator calculations and construction methodology.

Regional Factor Indicator Performance Highlights

+4.9%US

High ROE12M Outperformance

+6.3%Europe

High ROA12M Outperformance

+8.4%Asia Pacif ic

Low Debt/Equity

12M Outperformance

+6.7%Japan

Low Debt/Equity

12M Outperformance

Factor Relative Returns FTSE US vs FTSE Europe ex UK (Rebased)

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100

103

106

Mar-19 Jun-19 Sep-19 Dec-19 Mar-20

US Value Europe Value US Quality Europe Quality

2 FTSE Russell | Regional Factor Indicator Report - April 2020

-8 -6 -4 -2 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology

Global View – Factor Indicator Performance & Sector Weights

First quarter 2020 relative returns (% Local Currency) – Quality prevails in stampede from risk

Defensive factors, led by Quality, strongly outperformed more economically sensitive Value and Size factors as the

economic damages inflicted by the coronavirus pandemic and containment efforts sparked a massive flight from risk.

-12%

-8%

-4%

0%

4%

8%

Value Size (Smaller Cap) Long Term Mom. Low Vol Yield (High) Quality (High)

Relative Value factor sector exposures vs. sector-weighted contributions to returns: Value was hurt most by large

overweights in lagging Financials and large underweights in resilient Health Care stocks.

-10% -5% 0% 5% 10%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas

Value – Mar 2020 Relative Sector Weights

Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.

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US UK Japan EU ex UK AP ex JP EM


Q1 2020 – Sector-Weighted Contributions to Returns

Relative to Broad-Market Indexes


-8 -6 -4 -2 0 2 4

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology

Global View – Factor Indicator Performance & Sector Weights

Last 12 months (%, Local Currency) – Quality and Low Vol uphold defensive tilt

The YTD resurgence of extreme risk aversion extended Quality leadership in most markets (except the UK, where Low

Volatility did best), deepening the year-long performance gap between defensive factors and riskier Value and Size.

-12%

-8%

-4%

0%

4%

8%

Value Size (Smaller Cap) Long Term Mom. Low Vol Yield (High) Quality (High)

Relative Quality factor sector exposures vs. sector-weighted contributions to returns: In most markets, Quality

benefited from big underweights in lagging Financials and overweights in outperforming Technology and Health Care.

-20% -10% 0% 10%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas

Quality – Mar 2020 Relative Industry Weights 12 Months – Sector-Weighted Contributions to Returns


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Q1 2020 Relative Component Returns: Amid widespread underperformance, trailing price/earnings and cash flow multiples generally held up better than forward-looking metrics. EBIT/EV did particularly well in Asia Pacific.

Global View – Factor Indicator Performance & Component Drivers

Value Indicator

Value nosedived amid the Q1 2020 pandemic-induced rush from risk, particularly in Europe, the US and UK, perpetuating

its long-running stretch of underperformance.

Last 12 Months Relative Components Returns: Amid broad underperformance, European Value did the worst, with price/book value lagging most. Asia Pacific Value suffered the least, lifted by the outperformance of EBIT/EV.

88

90

92

94

96

98

100

102


-8%

-6%

-4%

-2%

0%

2%

Value E/P (Trailing)* CF/P(Trailing)*

S/P (Trailing)* E/P 12M Fwd CF/P 12M Fwd S/P 12M Fwd B/P 12M Fwd EBIT/EV 12MFwd

-10%

-8%

-6%

-4%

-2%

0%

2%

Value E/P (Trailing)* CF/P(Trailing)*

S/P (Trailing)* E/P 12M Fwd CF/P 12M Fwd S/P 12M Fwd B/P 12M Fwd EBIT/EV 12MFwd

Relative to Broad-Market Indexes (Rebased)

* Official FTSE Global Factor Index components. Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.

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Long-Term Momentum Indicator

Momentum rebounded strongly across markets this year, as defensive factors and their riskier counterparts resumed long-

standing return patterns amid the coronavirus shock, after briefing reversing course in the final quarter of 2019.

96

98

100

102

104


96

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100

102

104

106


Q1 2020 Relative Component Returns: Low Vol did best in

the UK and Europe, modestly lagged in EM and Asia Pacific.

12-Month Relative Component Returns: Low Vol added to

gains in the UK and Europe, market performed in Asia Pacific.

Q1 2020 Relative Component Returns: Momentum broadly

outperformed, most significantly in the UK and Europe.

12-Month Component Returns: Momentum outperformed

most strongly in EM and Europe but more modestly in Japan.

Low Volatility Indicator

Low Volatility benefited from surging haven demand this year, significantly extending its 12-month outperformance in the

UK and Europe, while posting more modest gains in Emerging Markets and Asia Pacific.

0%

2%

4%

Long Term Mom.

0%

2%

4%

Long Term Mom.


-2%

0%

2%

4%

6%

Low Vol0%

2%

4%

6%

Low Vol



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Size (Smaller Cap) Indicator

Size slid across markets in the first quarter, prolonging its 12-month underperformance. The factor’s collapse was most

pronounced in the UK, which completely wiped out its stellar outperformance of the past year.

88

92

96

100

104

108


94

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102

104

106


Q1 2020 Relative Component Returns: Size lagged most in

the US, and least in Japan.

12-Month Component Returns: Size broadly underperformed,

especially in the US, but was a market performer in the UK.

Q1 2020 Relative Component Returns: Leverage inputs

broadly outpaced profitability inputs, except in Europe.

12-Month Relative Component Returns: Leverage inputs

outperformed profitability inputs, except in Asia Pacific.

Quality (High) Indicator

Quality continued to build on its strong 12-month outperformance in most markets. The exception was the UK, where the

factor remained a laggard in both periods, despite a rebound in March.



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-10%

-8%

-6%

-4%

-2%

Size (Smaller Cap)

-12%

-9%

-6%

-3%

0%

Size (Smaller Cap)

-4%

-2%

0%

2%

4%

6%

Quality (High) Profitability All Leverage All

-4%

-2%

0%

2%

4%

6%

8%

Quality (High) Profitability All Leverage All


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(High) Profitability Indicator

Profitability broadly outperformed in both Q1 2020 and the past 12 months, particularly in Europe and Asia Pacific. The

recent strength pushed UK Profitability into positive territory for the 12 months, after lagging since last September.

98

100

102

104

106


Q1 2020 Relative Component Returns: Forward ROA generally outperformed other Profitability components. Forward net margins lagged most, particularly in the UK and Europe.

Last 12 Months Relative Components Returns: ROA and forward ROE broadly outpaced all other Profitability components. Forward net margin was the biggest laggard across markets, particularly in the UK.

-4%

-2%

0%

2%

4%

6%

Profitability(High)

ROA* DeltaTurnover*

Accruals* ROE 12M Fwd Net Margin12M Fwd

-6%

-4%

-2%

0%

2%

4%

6%

8%

Profitability(High)

ROA* DeltaTurnover*

Accruals* ROE 12M Fwd Net Margin12M Fwd

* Official FTSE Global Factor Index Series components. Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors

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Q1 2020 Relative Component Returns: Yield did worst in

EM; trailing yield broadly lagged (except in Asia Pacific).

12-Month Relative Component Returns: Forward yield

lagged most in the US; it lagged the least in Japan.

Leverage (Low) Indicator

Low Leverage posted strong relative gains in Q1 2020, extending its 12-month outperformance, particularly in Emerging

Markets. The exception was the UK, which lagged in both periods, despite a rebound in March.

94

96

98

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102

104

106

108


Q1 2020 Relative Component Returns: Low debt/equity led

(except in Europe), even as it lagged in the UK.

Yield (High) Indicator

Yield fell deeply into negative territory across markets in Q1 2020, adding to its 12-month underperformance. The

downturn was particularly steep in Emerging Markets and Europe.

-4%

0%

4%

8%

Leverage (Low) Low Gearing Leverage Ratio*Low Net Debt toEquity 12M Fwd

-6%

-4%

-2%

0%

Yield (High) Dividend Yield12M

Dividend Yield12M Fwd

-8%

-6%

-4%

-2%

0%

Yield (High) Dividend Yield12M

Dividend Yield12M Fwd

-4%

0%

4%

8%

12%

Leverage (Low) Low Gearing Leverage Ratio*Low Net Debt toEquity 12M Fwd

12-Month Component Returns: Low debt/equity outpaced

other Leverage inputs, except Europe and the UK.

* Official FTSE Global Factor Index Series components. Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.



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-100%

-60%

-20%

20%

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100%

FTSE US FTSE UK FTSE Japan Dev Europe ex UK Dev Asia Pac. ExJapan

Emerging

Global View – Factor Indicator Macro Sensitivity

Correlations to 10-Year US Treasury Bonds ― Since March 2019

Low Volatility, Profitability and Momentum have had strong positive correlations to long-dated US Treasury prices this past

year, particularly the US, UK and Europe, but less so in Asia Pacific. (The latter two are negatively correlated in Emerging

Markets.) Value and Size are strongly negatively correlated, particularly in the US, UK and Europe.

Correlations to US Dollar – Since March 2019

Low Volatility and Profitability have had a positive correlation with the US dollar in most regions, most significantly in the

UK. Size and Value have been negatively correlated with the USD (most significantly in Emerging Markets).

-100%

-60%

-20%

20%

60%

100%

FTSE US FTSE UK FTSE Japan Dev Europe ex UK Dev Asia Pac. ExJapan

Emerging

Corr

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tio

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Corr

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tio

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VALUE SIZE LOW VOL LONG TERM MOM YIELD PROFITABILITY QUALITY


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Notes


Market Maps


April 2020

US Factor Indicator Key Observations TABLE OF CONTENTS

US Factor Indicator Performance ................... 12

US Sector Exposure ....................................... 12

Factor Component Performance .................... 13

Value.............................. 13

Profitability ..................... 13

Leverage ........................ 14

Yield ............................... 14

Quality ............................ 14

Size (Small) ................... 15

Long-term Momentum.... 15

Volatility ......................... 15

US Macro Sensitivity ....................................... 16

Top/Bottom Stock Exposure ............................ 17


Defensive factors, led by Quality, considerably strengthened their

lead YTD and for the 12-month period.

Size and Value badly lagged in both periods.

Differing exposures to lagging Financials was a key driver of

Quality outperformance over riskier Value and Size.

Low leverage also underpinned Quality outperformance.

Quality and Profitability have grown more positively correlated with

swings in US bond prices; Value and Size are more negatively correlated.


US Factor Indicator Performance & Sector Weights

Quality and Profitability Reign in Stampede from Risk

The pandemic-fueled flight from risk has cut an even wider gulf between US defensive factors, led by Quality, and riskier

Value and Size. Low Vol bounced back in Q1 2020, putting it among the top performers for the 12-month period.

US Relative Factor Weights by Sector vs Return Contributions (Q1 2020): Quality returns reflect underweights in Financials

and overweights in Technology. Value and Size are overweight Financials and Oil and deeply underweight Technology.

88

90

92

94

96

98

100

102

104


-12% -2% 8%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas

Relative to Broad-Market Index (Rebased)

VALUE SIZE LOW VOL LONG TERM MOM QUALITY PROFITABILITY


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-6 -5 -4 -3 -2 -1 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology

VALUE SIZE LOW VOLLONG TERM MOM QUALITY Sector-Weighted Contributions to Q1 2020 Returns


US Factor Indicator Component Performance

Value Indicator

All components contributed to US Value’s significant underperformance YTD, led by forward price/book value. The

rebound accelerated Value’s 12-month downtrend, with forward valuation metrics underperforming trailing metrics.

12-Month Relative Component Returns

-1.2%

3.2%

1.6%

1.5%

2.9%

2.3%

-2% -1% 0% 1% 2% 3% 4%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*

Profitability (High)

-2.6%

4.9%

1.2%

1.0%

3.9%

2.9%

-4% -2% 0% 2% 4% 6%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


12-Month Relative Component Returns Q1 2020 Relative Component Returns

-4.4%

-7.0%

-4.1%

-4.5%

-5.0%

-4.5%

-3.5%

-3.1%

-6.5%

-8% -7% -6% -5% -4% -3% -2%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

-5.5%

-7.1%

-4.7%

-5.1%

-4.2%

-5.0%

-3.6%

-2.3%

-6.7%

-8% -7% -6% -5% -4% -3% -2%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

Profitability (High) Indicator

Profitability strengthened in Q1 2020, led by forward ROE and ROA, adding to its 12-month outperformance. The factor’s

progress was weakened by forward net margin component, which lagged in both periods.

US

* Official FTSE Global Factor Index Series components. Source: FTSE Russell and Refinitiv. All data as of March 31, 2020 Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.

Q1 2020 Relative Component Returns

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Low Leverage has strongly outperformed YTD, placing it significantly ahead for the 12-month period. All components

contributed to the factor’s relative gains in both periods, led by low 12-month forward debt/equity.


Yield has badly lagged YTD and for the 12-month period. Returns for both periods reflect comparable relative gains in

both trailing and forward dividend yield components.

Q1 2020 Relative Component Returns 12-Month Relative Component Returns

-5.9%

-5.7%

-3.9%

-8% -6% -4% -2% 0%

Dividend Yield 12M Fwd

Dividend Yield 12M

Yield (High)

-6.5%

-6.2%

-3.8%

-8% -6% -4% -2% 0%


Dividend Yield 12M

Yield (High)


Q1 2020 Relative Component Returns 12-Month Component Returns

3.4%

2.3%

3.6%

0% 2% 4%

Leverage All

Profitability All

Quality (High)

2.9%

2.9%

3.8%

0% 2% 4%

Leverage All

Profitability All

Quality (High)


Quality continued to build on its long-standing leadership in both the YTD and 12-month periods. The leverage component

has strongly outpaced the profitability component so far this year, while contributing comparable gains for the past year.

5.4%

3.7%

2.3%

3.4%

0% 2% 4% 6%

Low Net Debt to Equity 12MFwd

Leverage Ratio*

Low Gearing

Leverage (Low)

6.1%

1.9%

1.2%

2.9%

0% 2% 4% 6% 8%


Leverage Ratio*

Low Gearing

Leverage (Low)

US


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US Momentum rebounded in Q1, returning it to positive territory for the 12-month period.


US Low Volatility regained its footing in Q1, after performing in line with the market in 2019, extending its outperformance

for the 12-month period.


US Size nosedived in Q1 2020 amid the growing recession fears and massive flight from risk, deepening the factor’s

underperformance for the past 12 months. The factor was the worst performer in the US and all other markets in both

periods.

Size, Momentum and Volatility




0.6%

2.8%

-8.4%

-10% -8% -6% -4% -2% 0% 2% 4%

Low Vol

Momentum

Size

1.1%

1.6%

-10.3%

-12% -8% -4% 0% 4%

Low Vol

Momentum

Size


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US Factor Indicator Macro Sensitivity

US Macro Sensitivity

The positive correlations between moves in short- and long-dated US Treasury prices and Quality and Low Volatility returns

have strengthened over the past two years, as have the negative correlations between Treasuries and Size and Value. Those

latter two factors are also more positively correlated with swings in oil and copper prices.

-100%

-60%

-20%

20%

60%

100%

DXY Index Gold Copper Oil 3 Yr US Treasury 10 Yr US Treasury

Since March 31, 2019


-100%

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-20%

20%

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100%


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Source: FTSE Russell and Refinitiv. All data as of March 31, 2020, 2019. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.

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US Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)

Source: FTSE Russell and Refinitiv. All data as of December 31, 2019. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only.

Top 5 Value Stock Scores Bottom 5 Value Stock Scores

V alue Sect orB enchmark

W eight

T ilt 1

W eightV alue Sect or

B enchmark

W eight

T ilt 1

W eight

DXC Technology Company Technology 0.01% 0.04% Alnylam Pharmaceuticals Health Care 0.05% 0.00%

Unum Group Financials 0.01% 0.03% Uber Technologies Consumer Services 0.12% 0.00%

M acys Consumer Services 0.01% 0.03% Lyft Consumer Services 0.02% 0.00%

United Airlines Holdings Inc Consumer Services 0.01% 0.02% Seattle Genetic Health Care 0.06% 0.01%

American Airlines Group Consumer Services 0.01% 0.02% Zillow Group CL C Financials 0.02% 0.00%

Top 5 Size Stock Scores Bottom 5 Size Stock Scores

Size Sect orB enchmark

W eight

T ilt 1

W eightSize Sect or

B enchmark

W eight

T ilt 1

W eight

News Corporation Cl B Consumer Services 0.00% 0.03% M icrosoft Corp Technology 5.36% 0.04%

Under Armour Class A Consumer Goods 0.01% 0.04% Apple Inc. Technology 4.74% 0.04%

Under Armour Class C Consumer Goods 0.01% 0.04% Amazon.Com Consumer Services 3.69% 0.03%

Ovintiv Inc Oil & Gas 0.00% 0.02% Facebook Class A Technology 1.81% 0.02%

Zillow Group Financials 0.01% 0.04% Alphabet Class C Technology 1.57% 0.01%

Top 5 Momentum Stock Scores Bottom 5 Momentum Stock Scores

M oment um Sect orB enchmark

W eight

T ilt 1

W eightM oment um Sect or

B enchmark

W eight

T ilt 1

W eight

Tesla Consumer Goods 0.34% 0.53% Ovintiv Inc Oil & Gas 0.00% 0.00%

Advanced M icro Dev Technology 0.21% 0.35% DXC Technology Company Technology 0.01% 0.00%

DexCom Health Care 0.11% 0.16% Abiomed Inc Health Care 0.03% 0.00%

RingCentral Technology 0.07% 0.12% Cabot Oil & Gas Oil & Gas 0.03% 0.00%

XPO Logistics Industrials 0.02% 0.03% M arathon Oil Corp Oil & Gas 0.01% 0.00%

Top 5 Volatility Stock Scores Bottom 5 Volatility Stock Scores

V olat il it y Sect orB enchmark

W eight

T ilt 1

W eightV o lat il it y Sect or

B enchmark

W eight

T ilt 1

W eight

Republic Services Industrials 0.07% 0.11% Advanced M icro Dev Technology 0.21% 0.00%

Coca-Cola Consumer Goods 0.77% 1.10% Twitter Technology 0.09% 0.00%

Pepsico Consumer Goods 0.75% 1.07% Docusign Technology 0.07% 0.00%

Waste M gmt Inc Industrials 0.18% 0.31% Alnylam Pharmaceuticals Health Care 0.05% 0.00%

Procter & Gamble Consumer Goods 1.21% 1.82% Twilio Technology 0.05% 0.00%

Top 5 Yield Stock Scores Bottom 5 Yield Stock Scores

Y ield Sect orB enchmark

W eight

T ilt 1

W eightY ield Sect or

B enchmark

W eight

T ilt 1

W eight

CNA Financial Corp Financials 0.00% 0.01% Amazon.Com Consumer Services 3.69% 0.50%

M acys Consumer Services 0.01% 0.02% Facebook Class A Technology 1.81% 0.23%

Annaly Capital M anagement Financials 0.03% 0.07% Alphabet Class A Technology 1.58% 0.21%

Targa Resources Corp. Oil & Gas 0.01% 0.02% Alphabet Class C Technology 1.57% 0.21%

AGNC Investment Financials 0.03% 0.05% Berkshire Hathaway B Financials 1.10% 0.15%

Top 5 Quality Stock Scores Bottom 5 Quality Stock Scores

Qualit y Sect orB enchmark

W eight

T ilt 1

W eightQualit y Sect or

B enchmark

W eight

T ilt 1

W eight

lululemon athletica inc. Consumer Goods 0.10% 0.17% Uber Technologies Consumer Services 0.12% 0.00%

M onster Beverage Consumer Goods 0.10% 0.17% SBA Communications Financials 0.14% 0.00%

M arketAxess Holdings Financials 0.06% 0.10% Fiserv Inc Industrials 0.24% 0.00%

Price (T. Rowe) Group Financials 0.10% 0.18% Voya Financial Financials 0.02% 0.00%

Ulta Beauty Consumer Services 0.04% 0.07% Okta Technology 0.06% 0.00%

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US Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)

Top 5 Profitability Stock Scores Bottom 5 ProfitabilityStock Scores

Prof it ab ilit y Sect orB enchmark

W eight

T ilt 1

W eightPro f it ab ilit y Sect or

B enchmark

W eight

T ilt 1

W eight

M astercard CL A Financials 0.97% 1.65% Uber Technologies Consumer Services 0.12% 0.00%

Booking Holdings Consumer Services 0.25% 0.43% M ercadoLibre Inc. Consumer Services 0.10% 0.00%

Waters Corp Industrials 0.05% 0.09% Docusign Technology 0.07% 0.00%

Sysco Corp Consumer Services 0.10% 0.15% Okta Technology 0.06% 0.00%

Rockwell Automation Industrials 0.08% 0.13% Twilio Technology 0.05% 0.00%

Top 5 Leverage Stock Scores Bottom 5 Leverage Stock Scores

Leverage Sect orB enchmark

W eight

T ilt 1

W eightLeverage Sect or

B enchmark

W eight

T ilt 1

W eight

Veeva Systems Technology 0.09% 0.16% SBA Communications Financials 0.14% 0.00%

Abiomed Inc Health Care 0.03% 0.05% Dell Technologies Technology 0.03% 0.00%

Vertex Pharm Health Care 0.28% 0.49% VeriSign Inc Technology 0.08% 0.00%

Regeneron Phar Health Care 0.18% 0.33% CDK Global Technology 0.02% 0.00%

lululemon athletica inc. Consumer Goods 0.10% 0.18% Cheniere Energy Oil & Gas 0.03% 0.00%


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Market Maps


April 2020

UK Factor Indicator Key Observations TABLE OF CONTENTS

UK Factor Indicator Performance ................... 20

UK Sector Exposure ....................................... 20


Value.............................. 21

Profitability ..................... 21

Leverage ........................ 22

Yield ............................... 22

Quality ............................ 22

Size ................................ 23

Long-term Momentum.... 23

Low Volatility .................. 23

UK Macro Sensitivity ....................................... 24



UK Size outperformance evaporated in this year’s risk-off rotation.

Low Volatility and Profitability rebounded into positive territory.

Quality remains a laggard despite March rebound.

Profitability benefited from its underweight in badly lagging

Financials and the shift into stocks with high ROA and ROE.

Defensive factors have grown more positively correlated with

moves in US Treasury prices, and Value and Size are more negatively correlated.

Size and Value have become more positively correlated to swings

in oil and copper prices, and Profitability and Low Vol are more negatively correlated.


UK Factor Indicator Performance & Sector Weights

UK Size Outperformance Evaporates, Low Vol Takes the Lead

The global flight from risk in March erased nearly all of UK Size’s late-2019 gains, while Low Volatility and Profitability

returned to positive territory in both periods. Unlike elsewhere, Quality remained a laggard, despite the March rebound.

UK Relative Factor Weight by Sector vs Return Contributions (1Q 2020): Profitability (and Quality) returns reflect overweights

in Consumer Goods and Materials and big underweights in Financials. Size is underweight HealthCare and overweight Financials.

88

90

92

94

96

98

100

102

104

106

108


-16% -6% 4% 14%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas

Relative to Broad-Market Index (rebased)


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-8 -6 -4 -2 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology

Sector-Weighted Contributions to Q1 2020 Returns VALUE SIZE LOW VOLLONG TERM MOM PROFITABILITY


-6.8%

-6.7%

-6.6%

-6.9%

-5.8%

-6.5%

-5.4%

-2.3%

-7.7%

-10% -8% -6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value


-4.6%

-5.3%

-4.6%

-4.2%

-4.7%

-4.2%

-3.4%

-1.1%

-5.4%

-8% -7% -6% -5% -4% -3% -2% -1% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

UK Factor Component Performance

Value Indicator

Value has badly lagged this year, continuing its underperformance for the 12-month period. All valuation components

contributed to the pullback, with forward valuation metrics, led by price/book value and cash flow, significantly lagging

trailing components in both periods.


-3.5%

5.0%

2.2%

0.9%

2.6%

1.4%

-6% -4% -2% 0% 2% 4% 6%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


-5.7%

6.9%

1.4%

-1.1%

3.0%

0.5%

-8% -6% -4% -2% 0% 2% 4% 6% 8%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*




Profitability edged higher YTD and for the past 12 months, as strong relative gains in forward ROE outpaced losses in

forward net margins in both periods.

UK

* Official FTSE Global Factor Index Series components. Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1, based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Past performance is no guarantee of future results. Please see the Appendices I and II and end for important disclosures and information on factor calculations. For professional investors only. .

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Leverage performance reversed course this year, erasing its 2019 relative gains and turning negative for the past 12

months. The leverage ratio component led the factor’s losses in both periods.


Yield lost ground this year, extending its 12-month underperformance. The forward dividend yield component lagged its

trailing counterpart in both periods.


-2.3%

-1.7%

-2.1%

-4% -2% 0%


Dividend Yield 12M

Yield (High)

-3.9%

-3.2%

-3.5%

-6% -4% -2% 0%


Dividend Yield 12M

Yield (High)



-2.4%

1.4%

-0.8%

-4% -2% 0% 2%

Leverage All

Profitability All

Quality (High)

-2.2%

0.5%

-1.5%

-4% -2% 0% 2%

Leverage All

Profitability All

Quality (High)


Bucking the global trend, UK Quality continued to lag this year, reinforcing to its 12-month underperformance. Steep

relative losses in the leverage component more than offset modest gains in the profitability component.

-0.9%

-2.8%

-1.2%

-2.4%

-4% -2% 0%


Leverage Ratio*

Low Gearing

Leverage (Low)

-1.7%

-2.7%

-1.2%

-2.2%

-4% -2% 0%


Leverage Ratio*

Low Gearing

Leverage (Low)

UK


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Momentum rebounded in Q1 2020, furthering its outperformance for the 12-month period.


Low Volatility was the top performer in the UK for the year so far and the 12-month period.


UK (smaller-cap) Size retraced all of its massive Q4 2019 gains, eradicating nearly all of its outperformance for the 12-

month period.



UK Size, Momentum and Volatility


4.1%

3.0%

-6.4%

-9% -6% -3% 0% 3% 6%

Low Vol

Momentum

Size

4.9%

3.3%

0.4%

-2% 0% 2% 4% 6%

Low Vol

Momentum

Size


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UK Factor Indicator Macro Sensitivity

Macro Sensitivity

The positive correlations between US Treasury prices and Quality, Profitability and Low Volatility returns have intensified over

the past two years, as have their negative correlations with Value and Size. The latter two factors, as well as Quality, have

also grown more positively correlated to swings in oil and copper prices. Size is also negatively correlated to the US dollar.

-100%

-60%

-20%

20%

60%

100%




-100%

-60%

-20%

20%

60%

100%


Corr

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Corr

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UK Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

International Consolidated Airlines GroupConsumer Services 0.07% 0.16% Ocado Group Consumer Services 0.38% 0.04%

TUI AG Consumer Services 0.11% 0.23% Just Eat Takeaway.com Consumer Services 0.24% 0.04%

Aviva Financials 0.71% 1.45% Aveva Group Technology 0.15% 0.03%

Sainsbury (J) Consumer Services 0.23% 0.54% Rightmove Consumer Services 0.29% 0.06%

Glencore Basic M aterials 0.91% 2.04% London Stock Exchange GroupFinancials 1.55% 0.32%



W eight

T ilt 1

W eightSize Sect or

B enchmark

W eight

T ilt 1

W eight

Kaz M inerals Basic M aterials 0.05% 0.25% HSBC Hldgs Financials 6.29% 0.14%

NM C Health Health Care 0.07% 0.39% AstraZeneca Health Care 6.43% 0.21%

Cineworld Group Consumer Services 0.03% 0.18% BP Oil & Gas 4.64% 0.16%

Virgin M oney UK Financials 0.05% 0.30% GlaxoSmithKline Health Care 5.07% 0.25%

Babcock International Group Industrials 0.07% 0.29% British American Tobacco Consumer Goods 4.28% 0.27%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

JD Sports Fashion Consumer Services 0.13% 0.26% NM C Health Health Care 0.07% 0.00%

London Stock Exchange GroupFinancials 1.55% 3.08% M icro Focus International Technology 0.09% 0.00%

Intermediate Capital Group Financials 0.17% 0.32% Evraz Basic M aterials 0.09% 0.01%

Polymetal International Basic M aterials 0.32% 0.61% Cineworld Group Consumer Services 0.03% 0.00%

GVC Holdings Consumer Services 0.22% 0.32% Pearson Consumer Services 0.28% 0.03%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

National Grid Utilities 2.25% 3.17% Anglo American Basic M aterials 1.18% 0.00%

Segro Financials 0.57% 0.79% Ocado Group Consumer Services 0.38% 0.00%

Diageo Consumer Goods 4.03% 5.68% Evraz Basic M aterials 0.09% 0.00%

RELX Consumer Services 2.19% 2.84% Kaz M inerals Basic M aterials 0.05% 0.00%

Phoenix Group Holdings Financials 0.22% 0.27% Glencore Basic M aterials 0.91% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Evraz Basic M aterials 0.09% 0.15% Ocado Group Consumer Services 0.38% 0.00%

Imperial Brands Consumer Goods 0.96% 1.53% Just Eat Takeaway.com Consumer Services 0.24% 0.00%

M icro Focus International Technology 0.09% 0.17% JD Sports Fashion Consumer Services 0.13% 0.00%

Cineworld Group Consumer Services 0.03% 0.06% Ninety One Plc Financials 0.04% 0.00%

Centrica Utilities 0.15% 0.30% Halma Industrials 0.49% 0.02%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Hargreaves Lansdown Financials 0.29% 0.70% Just Eat Takeaway.com Consumer Services 0.24% 0.01%

Ashmore Group Financials 0.11% 0.23% Ocado Group Consumer Services 0.38% 0.02%

3i Group Financials 0.51% 1.03% M &G Financials 0.20% 0.01%

Howden Joinery Group Consumer Services 0.20% 0.41% Virgin M oney UK Financials 0.05% 0.00%

JD Sports Fashion Consumer Services 0.13% 0.26% Quilter Financials 0.15% 0.01%

Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Equity market data based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1. Past performance is no guarantee of future results. Please see the Appendix and end for important disclosures and information. For professional investors only.

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UK Factor Indicator Top/Bottom Stocks (Ranked Z-Scores)

Source: FTSE Russell and Refinitiv. All data as of March 31, 2020. Equity market data based on FTSE Global Equity Index Series and the FTSE Global Factor Index Series. Results shown for regional Factor Indicators represent hypothetical, historical performance, at Tilt 1. Past performance is no guarantee of future results. Please see the Appendix and end for important disclosures and information. For professional investors only.



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Hargreaves Lansdown Financials 0.29% 0.60% Ocado Group Consumer Services 0.38% 0.00%

Next Consumer Services 0.35% 0.70% Just Eat Takeaway.com Consumer Services 0.24% 0.00%

Inchcape Consumer Services 0.12% 0.24% M elrose Industries Industrials 0.30% 0.01%

ITV Consumer Services 0.17% 0.31% Informa Consumer Services 0.37% 0.01%

RELX Consumer Services 2.19% 3.73% British Land Co Financials 0.21% 0.01%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

3i Group Financials 0.51% 1.26% InterContinental Hotels GroupConsumer Services 0.44% 0.04%

Ashmore Group Financials 0.11% 0.28% Imperial Brands Consumer Goods 0.96% 0.11%

Segro Financials 0.57% 1.47% London Stock Exchange GroupFinancials 1.55% 0.20%

Renishaw Industrials 0.07% 0.16% St. James's Place Financials 0.27% 0.04%

Derwent London Financials 0.22% 0.57% Legal & General Group Financials 0.78% 0.11%

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Market Maps


April 2020

Europe ex UK Factor Indicator

Key Observations

TABLE OF CONTENTS

Europe ex UK Factor Indicator Performance . 28

Europe ex UK Sector Exposure ..................... 28


Value ............................. 29

Profitability .................... 29

Leverage ....................... 30

Yield .............................. 30

Quality ........................... 30

Size ............................... 31

Long-Term Momentum .. 31

Low Volatility ................. 31

Europe ex UK Macro Sensitivity ..................... 32

Top/Bottom Stock Exposure ........................... 33


Quality and Profitability widened their lead as riskier Value and

Size lurched significantly lower.

Differing exposures to lagging Financials and Health Care were

major drivers of Quality outperformance over riskier factors.

A shift to less indebted stocks also helped buoy Quality returns.

Quality and Profitability have grown far more positively correlated

to moves in US Treasury prices, and Value and Size more

negatively correlated.


Europe ex UK Factor Indicator Performance & Sector Weights

Contagion Catapults Defensive Leadership

Quality, Profitability and Low Volatility advanced their long-running outperformance this year, as riskier Value and (less so)

Size fell deeper into negative territory.

Europe ex UK Relative Factor Weight by Sector vs Return Contributions (1Q 2020): Quality returns reflect overweights in

Health Care and Consumer Goods, and large underweights in Financials. The opposite is true for Size and Value sector exposures.

88

92

96

100

104

108


-16% -6% 4% 14%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas




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E

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-8 -6 -4 -2 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology



Europe ex UK Factor Indicator Component Performance

Value Indicator

Value spiraled lower in Q1 2020, making it by far Europe’s worst-performing factor both YTD and the 12-month period.

Forward valuation metrics significantly underperformed trailing metrics, led by price/book in both periods.


-3.3%

4.8%

4.4%

3.5%

5.4%

4.6%

-6% -3% 0% 3% 6%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


-4.3%

5.5%

3.4%

3.6%

6.3%

4.7%

-8% -4% 0% 4% 8%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


12-Month Relative Component Returns Q1 2020 Relative Component Returns


Profitability outperformance gathered steam in Q1 2020, regaining leadership for the 12-month period after lagging in the

final quarter of 2019. Strong showings in ROA and forward ROE more than offset losses in forward net margin.

-5.0%

-9.2%

-6.3%

-8.3%

-7.9%

-5.4%

-3.3%

-4.9%

-9.0%

-12% -9% -6% -3% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

-3.6%

-7.7%

-5.2%

-6.2%

-6.7%

-4.1%

-1.1%

-3.9%

-7.2%

-10% -8% -6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

EU ex UK


EU

ex U

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Japan

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All Leverage components have rebounded YTD, bolstering the factor’s outperformance for the past year. Strong relative

gains of the leverage ratio led the factor’s uptrend in both periods.


Yield’s Q4 2019 outperformance evaporated in this year’s risk-off rotation, extending its 12-month underperformance.

Forward and trailing dividend yield components lagged by similar amounts in both periods.


-4.4%

-4.3%

-3.9%

-6% -4% -2% 0%


Dividend Yield 12M

Yield (High)

-5.3%

-5.4%

-4.8%

-8% -6% -4% -2% 0%


Dividend Yield 12M

Yield (High)

Q1 Relative Component Returns 12-Month Relative Component Returns


4.2%

4.6%

5.1%

0% 2% 4% 6%

Leverage All

Profitability All

Quality (High)

5.8%

4.7%

6.0%

0% 2% 4% 6% 8%

Leverage All

Profitability All

Quality (High)


Quality further solidified its status as Europe’s top-performing factor for both Q1 2020 and the past 12 months. The

profitability component led the factor’s gains YTD, while the leverage led in the 12-month period.

3.8%

6.1%

4.8%

4.2%

0% 4% 8%


Leverage Ratio*

Low Gearing

Leverage (Low)

4.7%

8.4%

6.0%

5.8%

0% 2% 4% 6% 8% 10%


Leverage Ratio*

Low Gearing

Leverage (Low)

EU ex UK


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Momentum recovered from its Q4 2019 setback, broadening its 12-month outperformance.


Low Volatility also bounced back this year, after lagging in Q4 2019, and it now strongly ahead for the 12-month period.


Europe ex UK (smaller cap) Size reversed Q4 2019 gains, maintaining its laggard status for Q1 2020 and the 12-month

period.

EU ex UK Size, Momentum and Volatility


EU ex UK Size, Momentum and Volatility


3.7%

2.8%

-3.9%

-6% -4% -2% 0% 2% 4% 6%

Low Vol

Momentum

Size

3.8%

3.5%

-4.6%

-6% -4% -2% 0% 2% 4% 6%

Low Vol

Momentum

Size


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Europe ex UK Factor Indicator Macro Sensitivity

Macro Sensitivity

As in the US and UK, positive correlations between moves in US Treasury prices and European Quality, Profitability and Low

Vol returns have grown stronger over the past two years, as have their negative correlations with Value and Size. Sensitivity of

Size and Value (positive) and Low Volatility (negative) to swings in oil and copper prices has also increased significantly.

-100%

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20%

60%

100%




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20%

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100%


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Europe ex UK Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Fiat Chrysler Automobiles NVConsumer Goods 0.14% 0.38% Delivery Hero AG Consumer Services 0.19% 0.01%

Peugeot Consumer Goods 0.13% 0.34% Argenx S.E Health Care 0.10% 0.01%

Aegon NV Financials 0.08% 0.23% Adyen Industrials 0.41% 0.06%

Deutsche Lufthansa AG Consumer Services 0.04% 0.12% Nemetschek SE Technology 0.05% 0.01%

BM W AG Pref Consumer Goods 0.04% 0.11% Rational Industrials 0.03% 0.01%



W eight

T ilt 1

W eightSize Sect or

B enchmark

W eight

T ilt 1

W eight

Svenska Handelsbk B Financials 0.01% 0.03% Nestle Consumer Goods 5.51% 0.04%

Buzzi Unicem Rsp Industrials 0.01% 0.03% Roche Hldgs (GENUS) Health Care 4.11% 0.03%

SEB C Financials 0.00% 0.02% LVM H Consumer Goods 1.67% 0.01%

SCA A Basic M aterials 0.00% 0.02% Novartis (REGD) Health Care 3.53% 0.03%

Altice Europe NV B Telecommunications 0.00% 0.01% L'Oreal Consumer Goods 1.13% 0.02%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

STM icroelectronics Technology 0.25% 0.40% Ipsen Health Care 0.03% 0.00%

Cellnex Telecom SAU Telecommunications 0.22% 0.39% Polska Grupa Energetyczna SaUtilities 0.01% 0.00%

Delivery Hero AG Consumer Services 0.19% 0.36% Renault Consumer Goods 0.07% 0.00%

Galapagos Genomics NV Health Care 0.18% 0.28% Polskie Gornictwo Naftowe I GazownictwoOil & Gas 0.03% 0.00%

Ingenico Group Technology 0.12% 0.22% Glanbia Consumer Goods 0.04% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Banque Cantonale Vaudoise Financials 0.04% 0.06% Adyen Industrials 0.41% 0.00%

PSP Swiss Property Financials 0.09% 0.13% Galapagos Genomics NV Health Care 0.18% 0.00%

Swiss Prime Site Financials 0.13% 0.21% Argenx S.E Health Care 0.10% 0.00%

Sofina Financials 0.06% 0.08% Arcelor M ittal Basic M aterials 0.10% 0.00%

Swisscom Telecommunications 0.25% 0.39% Ambu A/S Health Care 0.07% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

BM W AG Pref Consumer Goods 0.04% 0.08% Prosus Technology 0.54% 0.01%

SEB C Financials 0.00% 0.01% Adyen Industrials 0.41% 0.00%

ABN AM RO Bank NV Financials 0.06% 0.12% Genmab Health Care 0.22% 0.00%

Eutelsat Communications Consumer Services 0.03% 0.06% Cellnex Telecom SAU Telecommunications 0.22% 0.00%

Aegon NV Financials 0.08% 0.16% Wirecard Industrials 0.24% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Partners Group AG Financials 0.21% 0.36% Cellnex Telecom SAU Telecommunications 0.22% 0.00%

Zardoya Otis Industrials 0.02% 0.04% Thyssen Krupp Industrials 0.04% 0.00%

Rational Industrials 0.03% 0.06% Danske Bank A/S Financials 0.14% 0.01%

M oncler Consumer Goods 0.13% 0.23% Bankia Financials 0.02% 0.00%

Adyen Industrials 0.41% 0.76% Credit Agrico le Financials 0.15% 0.01%


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Europe ex UK Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Partners Group AG Financials 0.21% 0.35% EssilorLuxottica Health Care 0.57% 0.00%

Swedish M atch Consumer Goods 0.18% 0.30% Galapagos Genomics NV Health Care 0.18% 0.00%

Industrivarden AB Ser A Financials 0.07% 0.14% Argenx S.E Health Care 0.10% 0.00%

Sofina Financials 0.06% 0.10% Worldline Industrials 0.14% 0.00%

Latour Investment B Financials 0.03% 0.05% Cellnex Telecom SAU Telecommunications 0.22% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Industrivarden AB C Free Financials 0.06% 0.12% Thyssen Krupp Industrials 0.04% 0.00%

Kinnevik AB Financials 0.07% 0.13% Ald SA Industrials 0.01% 0.00%

Rocket Internet SE Financials 0.02% 0.04% Swedish M atch Consumer Goods 0.18% 0.01%

CD Projekt SA Consumer Goods 0.08% 0.15% Oci NV Basic M aterials 0.02% 0.00%

Genmab Health Care 0.22% 0.44% Atlantia Industrials 0.11% 0.01%


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Market Maps


April 2020

Japan Factor Indicator Key Observations

TABLE OF CONTENTS

Japan Factor Indicator Performance .............. 36

Japan Sector Exposure .................................. 36


Value ............................. 37

Profitability ..................... 37

Leverage ....................... 38

Yield .............................. 38

Quality ........................... 38

Size ............................... 39


Low Volatility.................. 39

Japan Macro Sensitivity .................................. 40



Quality and Profitability improved on their long-standing

outperformance, while Low Vol enjoyed a strong recovery

Value and Size fell even deeper into negative territory.

Differing exposures to lagging Financials and outperforming

Health Care were major drivers of Quality outperformance over riskier factors, as has the shift to less indebted stocks.

Defensive factor returns have grown far more positively

correlated with US Treasury bond shifts, and Value and Yield more negatively correlated.

Interestingly, unlike elsewhere, Size has not shown much

sensitivity to shifts in US Treasuries or to oil and copper prices.


Japan Factor Indicator Performance & Sector Weights

Quality Fortifies the Defensive Stronghold

As elsewhere, Quality and Profitability has strongly outperformed YTD, advancing their 12-month lead versus the

deteriorating performances of riskier Size and Value. Low Vol also moved into positive territory for both periods.

Japan Relative Factor Weight by Sector vs Return Contributions(Q1 2020): Quality captures large underweights in Financials

and large overweights in Industrials. Value captures large overweights in Financials and underweights in Health Care.

92

94

96

98

100

102

104


-16% -6% 4% 14%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas




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-6 -5 -4 -3 -2 -1 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology



Japan Factor Indicator Component Performance

Value Indicator

Value ranked as Japan’s worst performer YTD and matched Size for that distinction for the 12-month time frame. For both

periods, forward valuation metrics significantly underperformed trailing metrics, led by price/book value.


-1.9%

2.1%

0.4%

0.9%

2.4%

1.2%

-4% -2% 0% 2% 4%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


-4.6%

4.2%

-0.4%

1.6%

4.7%

2.0%

-6% -4% -2% 0% 2% 4% 6%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*



-1.3%

-5.6%

-4.3%

-3.8%

-3.4%

-4.2%

-1.8%

-3.4%

-4.8%

-8% -6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value



Profitability gained ground in Q1 2020, bolstering its 12-month outperformance. Strong relative gains in ROA and forward

ROE led the factor’s showing in both periods, offset by large losses in forward net margins.

-2.2%

-4.0%

-2.5%

-2.7%

-2.9%

-2.5%

-1.5%

-2.6%

-3.6%

-6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

Japan


EU

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Low Leverage continued to deliver strong relative gains this year, ranking it among Japan’s top performers over the past

12 months. Low gearing led the factor’s relative gains YTD, while low debt/equity performed best in the 12-month period.


Yield resumed its downtrend, after a brief uptick in Q4 2019, maintaining its 12-month underperformance. Forward and

trailing dividend yields posted similar relative gains in both periods.


-2.1%

-2.2%

-2.2%

-3% -2% -1% 0%


Dividend Yield 12M

Yield (High)

-1.9%

-2.2%

-2.0%

-3% -2% -1% 0%


Dividend Yield 12M

Yield (High)



2.7%

1.2%

2.1%

0% 1% 2% 3%

Leverage All

Profitability All

Quality (High)

5.6%

2.0%

4.1%

0% 1% 2% 3% 4% 5% 6%

Leverage All

Profitability All

Quality (High)


Quality outperformance made further headway in Q1 2020, bolstering its relative gains for the 12-month period. The

leverage component significantly outperformed the profitability component for both periods.

2.7%

2.5%

3.1%

2.7%

0% 2% 4%


Leverage Ratio*

Low Gearing

Leverage (Low)

6.7%

5.1%

5.3%

5.6%

0% 2% 4% 6% 8%


Leverage Ratio*

Low Gearing

Leverage (Low)

Japan


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Momentum rebounded in Q1 2020, pushing it into positive territory for the 12-month period.


Low Volatility enjoyed a strong comeback in Q1 2020, leaving it modestly ahead for the 12-month period.


Significant Q1 underperformance in Q1 2020 ranked Size (along with Value) as Japan’s worst performer for the 12-month

period.

Japan Size, Momentum and Volatility


Japan Size, Momentum and Volatility


1.7%

2.1%

-2.7%

-6% -4% -2% 0% 2% 4% 6%

Low Vol

Momentum

Size

0.5%

1.1%

-5.1%

-8% -6% -4% -2% 0% 2% 4%

Low Vol

Momentum

Size


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Japan Factor Indicator Macro Sensitivity

Macro Sensitivity

The positive correlations between moves in US Treasury prices and Quality, Profitability and Low Vol have grown far

stronger over the past two years, as have the negative correlations with Value and Yield. Value and Yield have also grown

more sensitive to swings in oil and copper. Unlike elsewhere, Size has had a low correlation with shifts in US bonds.

-100%

-60%

-20%

20%

60%

100%




-100%

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20%

60%

100%


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Japan Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Tokyo Electric Power Co HoldingsUtilities 0.16% 0.36% LINE Technology 0.08% 0.00%

JFE Holdings Basic M aterials 0.11% 0.27% GM O Payment Gateway Industrials 0.08% 0.01%

Cosmo Energy Holdings Oil & Gas 0.03% 0.06% M 3 Consumer Services 0.37% 0.03%

Kobe Steel Basic M aterials 0.03% 0.07% JCR Pharmaceuticals Health Care 0.04% 0.00%

Nissan M otor Consumer Goods 0.20% 0.57% Nihon M &A Center Financials 0.11% 0.01%



W eight

T ilt 1

W eightSize Sect or

B enchmark

W eight

T ilt 1

W eight

Nishi-Nippon Financial HoldingsFinancials 0.03% 0.12% Toyota M otor Consumer Goods 5.12% 0.04%

Fujikura Industrials 0.02% 0.12% SoftBank Group Telecommunications 1.70% 0.01%

Daishi Hokuetsu Financial GroupFinancials 0.03% 0.12% NTT Docomo Telecommunications 1.08% 0.01%

H2O Retailing Consumer Services 0.02% 0.10% NTT Telecommunications 0.92% 0.01%

77 Bank Financials 0.03% 0.12% Keyence Corp Industrials 1.73% 0.03%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Advantest Corp Technology 0.24% 0.36% GungHo Online Entertainment Consumer Goods 0.02% 0.00%

Hitachi High-Technologies Technology 0.14% 0.26% Kobe Steel Basic M aterials 0.03% 0.00%

Hitachi Chemical Basic M aterials 0.12% 0.23% Fuji Seal International Industrials 0.02% 0.00%

Lasertec Technology 0.11% 0.18% Nissan M otor Consumer Goods 0.20% 0.01%

Justsystems Technology 0.05% 0.07% JFE Holdings Basic M aterials 0.11% 0.01%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

SoftBank Telecommunications 0.61% 1.13% Peptidream Health Care 0.09% 0.00%

Canon Technology 0.82% 1.39% Sumco Technology 0.09% 0.00%

Kyushu Railway Consumer Services 0.13% 0.24% Sharp Industrials 0.05% 0.00%

Nagoya Railroad Consumer Services 0.16% 0.28% Tokuyama Corp Basic M aterials 0.04% 0.00%

Tobu Railway Consumer Services 0.21% 0.36% Ulvac Industrials 0.03% 0.00%



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Japan Tobacco Consumer Goods 0.73% 1.45% M 3 Consumer Services 0.37% 0.00%

Nissan M otor Consumer Goods 0.20% 0.46% Nexon Consumer Goods 0.20% 0.00%

SoftBank Telecommunications 0.61% 1.31% Tokyo Electric Power Co HoldingsUtilities 0.16% 0.00%

Daito Trust Constuction Financials 0.18% 0.39% Peptidream Health Care 0.09% 0.00%

Canon Technology 0.82% 1.62% LINE Technology 0.08% 0.00%



W eight

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B enchmark

W eight

T ilt 1

W eight

Nihon M &A Center Financials 0.11% 0.20% Hokuhoku Financial Financials 0.03% 0.00%

Justsystems Technology 0.05% 0.08% Hachijuni Bank Financials 0.05% 0.00%

Tokyo Electron Technology 0.83% 1.46% Japan Post Bank Financials 0.13% 0.00%

ZOZO Inc Consumer Services 0.04% 0.08% 77 Bank Financials 0.03% 0.00%

Chugai Seiyaku Health Care 0.76% 1.57% Takeda Pharmaceutical Health Care 1.40% 0.01%


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Japan Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



W eight

T ilt 1


B enchmark

W eight

T ilt 1

W eight

Daito Trust Constuction Financials 0.18% 0.42% Takeda Pharmaceutical Health Care 1.40% 0.00%

Nihon M &A Center Financials 0.11% 0.20% Shiga Bank Financials 0.04% 0.00%

Justsystems Technology 0.05% 0.08% Hachijuni Bank Financials 0.05% 0.00%

ZOZO Inc Consumer Services 0.04% 0.08% Hokuhoku Financial Financials 0.03% 0.00%

SM S Industrials 0.03% 0.05% Kyushu Financial Group Financials 0.04% 0.00%



W eight

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W eight

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W eight

Nihon M &A Center Financials 0.11% 0.20% Nipro Health Care 0.04% 0.00%

M aeda Road Construction Industrials 0.02% 0.08% Japan Exchange Group Financials 0.28% 0.01%

Keyence Corp Industrials 1.73% 3.39% Japan Post Insurance Financials 0.07% 0.00%

Kakaku.com Inc. Consumer Services 0.07% 0.17% Resona Holdings Financials 0.20% 0.01%

M 3 Consumer Services 0.37% 0.71% Orient Corp Financials 0.02% 0.00%


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Market Maps


April 2020

Asia Pacific ex Japan Factor Indicator Key Observations

TABLE OF CONTENTS

Asia Pacific Factor Indicator Performance ..... 44

Asia Pacific Sector Exposure ......................... 44


Value ............................. 45

Profitability .................... 45

Leverage ....................... 46

Yield .............................. 46

Quality ........................... 46

Size ............................... 47


Low Volatility ................. 47

Asia Pacific Macro Sensitivity ......................... 48

Top/Bottom Stock Exposure ........................... 49


The already strong tilt to Quality and Profitability strengthened

further in this year’s risk-off rotation.

Size slid deeper into negative territory, ranking it as Asia Pacific’s

worst performer YTD and over the past 12 months.

Quality benefited from its underweight in lagging Financials and

overweight in outperforming Health Care, as well as a shift to less indebted stocks.

Quality and Profitability returns are slightly more positively

correlated with moves in US bond prices, and Size and Yield are more negatively correlated.

Positive correlations between Size and Yield and oil prices have

also increased.


Asia Pacific ex Japan Factor Indicator Performance

Quality and Profitability Surge in Risk-Off Rotation

Defensive Quality and Profitability rocketed higher in Q1 2020, while riskier Value and (particularly) Size continued to

retreat – widening the 12-month performance gap between the two camps. Low Vol market-performed in both periods.

Asia Pacific Relative Factor Weight by Sector vs Return Contributions (Q1 2020): Quality captures overweights in Materials

and Health Care and large underweights in Financials. Size is underweight Technology and Health Care.

88

90

92

94

96

98

100

102

104

106


-20% -10% 0% 10%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas



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-8 -6 -4 -2 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology




1.7%

-5.2%

-2.5%

-1.9%

-3.2%

-4.6%

-0.3%

-0.5%

-2.6%

-8% -6% -4% -2% 0% 2% 4%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

Asia Pacific ex Japan Factor Indicator Component Performance

Value Indicator

Value continued to falter in Q1 2020, deepening its 12-month underperformance. All valuation metrics except for forward

EBIT/EV contributed to the downtrend. Losses were led by price/sales YTD and by price/book for the 12 months.


-0.7%

2.5%

-0.8%

0.8%

3.7%

2.7%

-2% 0% 2% 4%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


-0.8%

4.3%

-1.7%

0.3%

6.8%

4.4%

-4% -2% 0% 2% 4% 6% 8%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*




Profitability continued to gain ground in Q1 2020 and the past 12 months, led by the relative gains in ROA and forward

ROE. Losses in balance-sheet accruals and forward net margins tempered the factor’s performance in both periods.

0.3%

-2.5%

-1.6%

-2.5%

-2.0%

-3.4%

-0.6%

-0.6%

-1.8%

-4% -3% -2% -1% 0% 1% 2%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

AP ex JP


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Leverage has been a strong outperformer YTD and for the past 12 months. All components contributed to the factor’s

relative gains in both periods, particularly low debt/equity component.


Yield remained a significantly laggard in Q1 and the past 12 months, with trailing dividend yields underperforming its

forward counterpart in both periods.


-3.9%

-4.5%

-3.5%

-6% -4% -2% 0%


Dividend Yield 12M

Yield (High)

-4.1%

-4.9%

-3.7%

-6% -4% -2% 0%


Dividend Yield 12M

Yield (High)



2.7%

2.7%

3.3%

0% 1% 2% 3% 4%

Leverage All

Profitability All

Quality (High)

3.6%

4.4%

5.1%

0% 2% 4% 6%

Leverage All

Profitability All

Quality (High)


Quality ranked as Asia Pacific’s top performer YTD and over the past 12 months, with both profitability and leverage

components contributing strong relative gains in both periods.

4.4%

2.3%

3.4%

2.7%

0% 2% 4% 6%


Leverage Ratio*

Low Gearing

Leverage (Low)

8.4%

6.1%

3.1%

3.6%

0% 2% 4% 6% 8% 10%


Leverage Ratio*

Low Gearing

Leverage (Low)

AP ex JP


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Momentum recovered lost ground in Q1 2020, pushing it into positive territory for the 12-month period.


Low Volatility faltered in Q1 2020, leaving it a modest outperformer for the past 12 months.

Size (Small) Indicator

Size underperformance worsened in Q1 2020, ranking it as Asia Pacific’s worst-performing factor YTD and for the 12-

month time frame.

Asia Pacific Size, Momentum and Volatility


Asia Pacific Size, Momentum and Volatility


-0.5%

1.3%

-6.4%

-8% -6% -4% -2% 0% 2%

Low Vol

Momentum

Size

0.2%

1.4%

-9.3%

-12% -9% -6% -3% 0% 3%

Low Vol

Momentum

Size


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Asia Pacific ex Japan Factor Indicator Macro Sensitivity

Macro Sensitivity

Moves in short- and long-dated US Treasury prices and Quality and Profitability returns have grown slightly more positively

correlated over the past two years, as have the negative correlations with Size and Yield. Sensitivities of Size and Yield

(positive) and Momentum and Quality (negative) to swings in oil prices have also increased.

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Hanwha Industrials 0.03% 0.08% SillaJen Health Care 0.03% 0.00%

First Pacific Consumer Goods 0.02% 0.06% Helixmith Health Care 0.05% 0.01%

Doosan Infracore Industrials 0.02% 0.05% Samsung Bio logics Health Care 0.27% 0.05%

Hanwha Life Insurance Financials 0.02% 0.04% Celltrion Healthcare Health Care 0.24% 0.05%

LG Electronics Pfd. Consumer Goods 0.01% 0.03% HLB Consumer Goods 0.14% 0.03%



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W eight

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CJ CheilJedang Pfd. Consumer Goods 0.00% 0.03% Samsung Electronics Technology 9.34% 0.08%

KCC Glass Industrials 0.00% 0.02% AIA Group Ltd. Financials 5.55% 0.06%

Hanwha Pfd. Industrials 0.01% 0.05% Commonwealth Bank of AustraliaFinancials 3.40% 0.07%

Samsung Fire & M arine Insurance Pfd.Financials 0.01% 0.08% CSL Health Care 4.17% 0.09%

Doosan Fuel Cell Industrials 0.00% 0.02% BHP Group Basic M aterials 2.65% 0.14%



W eight

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W eight

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W eight

Fortescue M etals Group Basic M aterials 0.49% 0.83% SillaJen Health Care 0.03% 0.00%

Semiconductor M anufacturing International CorpTechnology 0.25% 0.42% Helixmith Health Care 0.05% 0.00%

M agellan Financial Group Financials 0.18% 0.24% Hanmi Science Health Care 0.02% 0.00%

Afterpay Touch Group Financials 0.13% 0.14% HDC Hyundai Development Industrials 0.03% 0.00%

Xinyi Solar Holdings Oil & Gas 0.11% 0.19% Hanwha Life Insurance Financials 0.02% 0.00%



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W eight

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W eight

Kiwi Property Group Financials 0.04% 0.07% HLB Consumer Goods 0.14% 0.00%

Ascott Residence Trust Financials 0.05% 0.07% Afterpay Touch Group Financials 0.13% 0.00%

M apletree Industrial Trust Financials 0.13% 0.18% United Energy Group Oil & Gas 0.07% 0.00%

Keppel REIT Financials 0.07% 0.09% Helixmith Health Care 0.05% 0.00%

CLP Holdings Utilities 0.77% 1.19% SillaJen Health Care 0.03% 0.00%



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Samsung Fire & M arine Insurance Pfd.Financials 0.01% 0.02% NAVER Technology 1.06% 0.02%

Hyundai M otor Pfd. Consumer Goods 0.05% 0.09% Celltrion Inc Health Care 0.99% 0.01%

Hyundai M otor 2nd Pfd. Consumer Goods 0.09% 0.14% Samsung SDI Industrials 0.55% 0.01%

M irae Asset Daewoo Pfd. Financials 0.02% 0.03% a2 M ilk Consumer Goods 0.38% 0.01%

Air New Zealand Consumer Services 0.01% 0.03% Kakao Technology 0.35% 0.01%



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W eight

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M agellan Financial Group Financials 0.18% 0.32% HLB Consumer Goods 0.14% 0.00%

Platinum Asset M angement Ltd/AustraliaFinancials 0.03% 0.06% Sembcorp M arine Oil & Gas 0.02% 0.00%

NagaCorp Consumer Services 0.08% 0.17% SillaJen Health Care 0.03% 0.00%

Ncsoft Consumer Goods 0.48% 0.90% LG Display Technology 0.10% 0.00%

a2 M ilk Consumer Goods 0.38% 0.77% AM P Financials 0.14% 0.00%

Asia Pacific ex Japan Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)


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Asia Pacific ex Japan Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)



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Coles Group Consumer Services 0.60% 1.41% LG Display Technology 0.10% 0.00%

Sands China Consumer Services 0.45% 1.07% Sembcorp M arine Oil & Gas 0.02% 0.00%

Singapore Exchange Financials 0.27% 0.59% WorleyParsons Ltd. Oil & Gas 0.06% 0.00%

M agellan Financial Group Financials 0.18% 0.34% CJ ENM Consumer Services 0.05% 0.00%

Platinum Asset M angement Ltd/AustraliaFinancials 0.03% 0.07% Television Broadcast Consumer Services 0.02% 0.00%



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W eight

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M agellan Financial Group Financials 0.18% 0.31% SillaJen Health Care 0.03% 0.00%

Afterpay Touch Group Financials 0.13% 0.17% FIH M obile Technology 0.02% 0.00%

United Energy Group Oil & Gas 0.07% 0.16% HLB Consumer Goods 0.14% 0.00%

a2 M ilk Consumer Goods 0.38% 0.74% CJ Corp Consumer Goods 0.04% 0.00%

Northern Star Resources Basic M aterials 0.23% 0.48% AM P Financials 0.14% 0.01%


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Market Maps


April 2020

Emerging Markets Factor Indicator Key Observations

TABLE OF CONTENTS

EM Factor Indicator Performance ................... 52

EM Sector Exposure ....................................... 52

Factor Component Performance ....................

Value ............................. 53

Profitability ..................... 53

Leverage ........................ 54

Yield ............................... 54

Quality ........................... 54

Size ................................ 56


Low Volatility .................. 56

EM Macro Sensitivity ....................................... 57



Quality, Profitability and Low Vol continued their winning streak in

Q1 2020, extending their strong 12-month showings.

Size was by far the worst performer YTD and for the past 12

months.

It large underweight in lagging Financials and overweight in

Technology underpinned Quality outperformance, as did a shift to low debt/equity stocks.

Unlike elsewhere, correlations between Profitability and US bonds

have gone from positive to negative, while Value has grown less so.

Overall, factor returns in EM are far less sensitive to macro shifts

than those in developed markets.


Emerging Markets Factor Indicator Performance

Defensives Seize the Day

Quality and Profitability made further headway off their strong Q4 2019 outperformance, while Value and Size continued to

languish, widening the already large defensive/risk divide. Low Vol delivered modest gains YTD and 12-month period.

Emerging Market Relative Factor Weight by Sector vs Return Contributions (Q1 2020): Quality captured overweights in

Technology and big underweights in Financials. Size and Value are underweight Technology.

90

92

94

96

98

100

102

104

106

108


-16% -6% 4% 14%

Technology

Financials

Utilities

Telecommunications

Consumer Services

Health Care

Consumer Goods

Industrials

Basic Materials

Oil & Gas



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-8 -6 -4 -2 0

Oil & Gas

Basic Materials

Industrials

Consumer Goods

Health Care

Consumer Services

Telecommunications

Utilities

Financials

Technology




-3.7%

-4.3%

-2.6%

-0.9%

-4.1%

-4.7%

-1.0%

-2.5%

-5.0%

-6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

Emerging Markets Factor Indicator Component Performance

Value Indicator

EM Value fell steeply in Q1 2020, leaving it a major laggard for the past 12 months. Forward metrics generally lagged their

trailing counterparts, led by price/earnings and price/book value.


-1.2%

1.7%

-1.7%

2.0%

3.4%

0.5%

-4% -2% 0% 2% 4%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*


-0.8%

4.0%

0.7%

4.6%

6.5%

3.2%

-4% -2% 0% 2% 4% 6% 8%

Net Margin 12M Fwd

ROE 12M Fwd

Accruals*

Delta Turnover*

ROA*




Profitability edged higher in Q1 2020, boosting its 12-month outperformance. Relative gains were led by ROA, forward

ROE and asset turnover in both periods, offset by losses in the forward net margin component.

-4.0%

-3.3%

-2.8%

-1.5%

-4.2%

-3.8%

-2.1%

-3.0%

-4.5%

-6% -4% -2% 0%

EBIT/EV 12M Fwd

B/P 12M Fwd

S/P 12M Fwd

CF/P 12M Fwd

E/P 12M Fwd

S/P (Trailing)*

CF/P (Trailing)*

E/P (Trailing)*

Value

EM


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Leverage has delivered substantial relative gains this year, putting it among the top-performing Emerging Markets factor

over the past 12 months. Low debt/equity significantly outperforming the other two component in both periods.


Yield significantly lagged in Q1 2020, pushing it into negative territory for the 12-month period. Forward and trailing

dividend yields contributed similar relative losses for both periods.


-5.4%

-5.0%

-5.1%

-8% -6% -4% -2% 0%


Dividend Yield 12M

Yield (High)

-5.1%

-5.0%

-4.8%

-6% -4% -2% 0%


Dividend Yield 12M

Yield (High)


Q1 2020 Relative Component Returns 12-MonthRelative Component Returns

4.2%

0.5%

3.0%

0% 2% 4% 6%

Leverage All

Profitability All

Quality (High)

7.2%

3.2%

6.3%

0% 2% 4% 6% 8%

Leverage All

Profitability All

Quality (High)


Quality continued to advance in Q1 2020, placing it (along with Leverage) as the top-performing EM factors over the past

12 months. The leverage component significantly outpaced the profitability component in both periods.

8.1%

4.9%

4.7%

4.2%

0% 2% 4% 6% 8% 10%


Leverage Ratio*

Low Gearing

Leverage (Low)

12.2%

6.8%

8.7%

7.2%

0% 3% 6% 9% 12%


Leverage Ratio*

Low Gearing

Leverage (Low)

EM


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Momentum continued to outperformed this year, significantly boosting its 12-month performance.


Low Volatility performed in line with the broad market in Q1 2020, and modestly outperformed for the 12-month period.


Size suffered steep losses YTD, ranking it as the worst-performing factor in Emerging Markets for the 12-month period.

Emerging Market Size, Momentum and Volatility


Emerging Market Size, Momentum and Volatility


-0.1%

1.8%

-7.1%

-9% -6% -3% 0% 3%

Low Vol

Momentum

Size

1.2%

3.9%

-8.8%

-12% -9% -6% -3% 0% 3% 6%

Low Vol

Momentum

Size


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Emerging Markets Factor Indicator Macro Sensitivity

Macro Sensitivity

In stark contrast to developed peers, correlations between Profitability and US Treasury prices have gone from positive to

negative over the past two years, while those with Quality have grown less positive. Size and Value has grown more positively

correlated to oil price swings. Overall, EM macro sensitivities are far more subdued than those of developed markets.

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20%

60%

100%




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Petrochina (H) Oil & Gas 0.18% 0.39% NIO ADS (N Shares) Consumer Goods 0.05% 0.00%

Surgutneftegas (PREF A) Oil & Gas 0.09% 0.21% Anxin Trust (A) (SC SH) Financials 0.00% 0.00%

Oil & Natural Gas Oil & Gas 0.06% 0.17% Jiangxi Special Electric M otor (A) (SC SZ)Industrials 0.00% 0.00%

Yanzhou Coal M ining (H) Basic M aterials 0.04% 0.08% OBI Pharma Health Care 0.01% 0.00%

Turk Hava Yollari Consumer Services 0.02% 0.04% Smartfren Telecom Telecommunications 0.00% 0.00%



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Shanghai Shibei Hi-Tech (B) Financials 0.00% 0.02% Alibaba Group Holding ADS (N Shares)Consumer Services 8.11% 0.06%

Shanghai Bailian Group (B) Consumer Services 0.00% 0.02% Tencent Holdings (P Chip) Technology 6.66% 0.05%

Shanghai Huayi Group (B) Consumer Goods 0.00% 0.02% Taiwan Semiconductor M anufacturingTechnology 5.16% 0.04%

Tianjin Capital Environmental Protection (H)Utilities 0.00% 0.01% China Construction Bank (H) Financials 1.81% 0.01%

Bengang Steel Plates (B) Basic M aterials 0.00% 0.01% Reliance Industries Oil & Gas 1.08% 0.01%



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WEG Ord Industrials 0.11% 0.22% Vodafone Idea Telecommunications 0.01% 0.00%

Country Garden Services Holdings (P Chip)Financials 0.12% 0.21% Smartfren Telecom Telecommunications 0.00% 0.00%

M agazine Luiza SA ON Consumer Services 0.11% 0.18% Henan Senyuan Electric (A) (SC SZ)Industrials 0.00% 0.00%

Impala Platinum Hlds Basic M aterials 0.07% 0.11% HengTen Networks Group (P Chip)Consumer Goods 0.00% 0.00%

Sibanye Stillwater Basic M aterials 0.07% 0.11% Telkom SA SOC Telecommunications 0.01% 0.00%



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Chunghwa Telecom Telecommunications 0.32% 0.47% NIO ADS (N Shares) Consumer Goods 0.05% 0.00%

Far Eastern International BankFinancials 0.02% 0.02% Eurobank Ergasias Services and Holdings SAFinancials 0.03% 0.00%

PPB Group Consumer Goods 0.06% 0.09% Alpha Bank Financials 0.03% 0.00%

Public Bank BHD Financials 0.27% 0.34% Gigadevice Semiconductor Beijing (A) (SC SH)Technology 0.01% 0.00%

Taiwan M obile Telecommunications 0.13% 0.19% National Bank of Greece S.A. Financials 0.02% 0.00%



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Fortress REIT Ltd (B) Financials 0.00% 0.01% Alibaba Group Holding ADS (N Shares)Consumer Services 8.11% 0.10%

AES Gener S.A. Utilities 0.01% 0.02% M eituan Dianping (P Chip) Consumer Services 0.98% 0.01%

Redefine Properties Financials 0.02% 0.03% JD.com ADS (N Shares) Consumer Services 0.65% 0.01%

Hyprop Investments Ltd Financials 0.01% 0.02% Baidu ADS (N Shares) Technology 0.66% 0.01%

TATNEFT (PREF A) Oil & Gas 0.02% 0.04% TAL Education Group ADS (N Shares)Consumer Services 0.44% 0.01%



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Country Garden Services Holdings (P Chip)Financials 0.12% 0.22% NIO ADS (N Shares) Consumer Goods 0.05% 0.00%

RM B Holdings Financials 0.05% 0.09% Vodafone Idea Telecommunications 0.01% 0.00%

HDFC Asset M anagement Financials 0.03% 0.06% Adani Power Utilities 0.01% 0.00%

3M India Industrials 0.01% 0.02% OBI Pharma Health Care 0.01% 0.00%

Hansoh Pharmaceutical Group (P Chip)Health Care 0.08% 0.15% iQIYI ADS (N Shares) Consumer Services 0.10% 0.00%

Emerging Markets Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)


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Emerging Markets Factor Indicator Top/Bottom Stocks (Ranked by Z-Scores)




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Anta Sports Products (P Chip)Consumer Goods 0.21% 0.40% Innovent Bio logics (P Chip) Health Care 0.12% 0.00%

Country Garden Services Holdings (P Chip)Financials 0.12% 0.23% iQIYI ADS (N Shares) Consumer Services 0.10% 0.00%

Nestle India Consumer Goods 0.12% 0.21% B2W Cia Digital Consumer Services 0.04% 0.00%

BB Seguridade Participacoes S.A. ONFinancials 0.08% 0.16% NIO ADS (N Shares) Consumer Goods 0.05% 0.00%

HDFC Asset M anagement Financials 0.03% 0.07% Bilibili ADS (N Shares) Consumer Services 0.03% 0.00%



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ZhongAn Online P & C Insurance (H)Financials 0.01% 0.02% NIO ADS (N Shares) Consumer Goods 0.05% 0.00%

HDFC Asset M anagement Financials 0.03% 0.06% OBI Pharma Health Care 0.01% 0.00%

GSX Techedu ADS (N Shares)Consumer Services 0.04% 0.08% Sistema JSFC Financials 0.01% 0.00%

China Reinsurance (Group) (H)Financials 0.00% 0.01% Qatar Gas Transport Co NakilatIndustrials 0.04% 0.00%

China East Education Holdings (P Chip)Consumer Services 0.02% 0.03% Guizhou Bailing Group Pharmaceutical (A) (SC SZ)Health Care 0.00% 0.00%

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Appendix I

Note on Market Maps Factor Indicator Data

FTSE Russell employs a bottom-up (or "tilting") approach to create factor indexes. The method begins with a set of

weights that are modified by multiplying them by stock- and factor-specific scores that range from 0 to 1: high factor

scores are given for stocks with large factor values and close-to-zero scores for stocks with the smallest factor

values.

This approach means that stocks are weighted in consideration of all their factor characteristics simultaneously. All

data in the Market Maps Regional Factor Indicator Report have been set to Tilt 1.

See FTSE Global Factor Index Series Ground Rules v4.4, January 2019, below for further details on rules-based

factor calculations and construction methodology.

Links to FTSE Russell Factor Research Papers

Implementation considerations for defensive strategies: A look at three approaches (Feb 2019)

Alternative approaches to multi-factor index construction: Like-for-like comparisons (Nov 2018)

Factor indexes and factor exposure matching: Like-for-like comparisons (Oct 2018)

Multi-factor indexes: The power of tilting (August 2018)

Implication considerations for factor investing (Mar 2018)

Top-down or bottom-up? Balancing exposure and diversification in multi-factor index construction (Mar 2018)

Factor exposure and portfolio concentration (Apr 2017)

Factor exposures of smart beta indexes (Sep 2015)

Information on Factor Index Ground Rules and Construction Methodology

FTSE Global Factor Index Series Ground Rules v4.4, January 2019

Factor exposure indexes: Index Construction Methodology (Aug 2014)

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https://www.ftserussell.com/sites/default/files/implementation-considerations-for-defensive-strategies-a-look-at-three-approaches.pdf

https://www.ftserussell.com/sites/default/files/alternative-approaches-to-multi-factor-index--construction-like-for-like-comparisons_0.pdf

https://www.ftserussell.com/sites/default/files/factor-indexes-and-factor-exposure-matching-like-for-like-comparisons_0.pdf

https://www.ftserussell.com/sites/default/files/multi-factor-indexes--the-power-of-tilting-final.pdf

https://www.ftserussell.com/sites/default/files/research/implementation_considerations_of_factor_investing.pdf

https://www.ftserussell.com/sites/default/files/top_down_or_bottom_up.pdf

https://www.ftserussell.com/sites/default/files/research/factor_exposure_and_portfolio_concentration_final.pdf

https://www.ftserussell.com/sites/default/files/research/factor_exposures_of_smart_beta_indexes-final.pdf

https://www.ftse.com/products/downloads/FTSE_Global_Factor_Index_Series_Ground_Rules.pdf

https://www.ftserussell.com/sites/default/files/research/factor_exposure_indexes-index_construction_methodology_final_0.pdf


Appendix II: Glossary of Terms

Source: FTSE Russell. For professional investors only.

VALUE

Earnings Yield (E/P) – Latest reported annual earnings per share divided by full market capitalization. Earnings are based on net

income from continuing operations, before amortization of goodwill and extraordinary items and after tax, minority interests,

preferred dividend, at fiscal year end.

Cash-Flow Yield (CF/P) – Latest reported annual cash-flow yield is cash earnings per share divided by full market capitalization.

Cash earnings are earnings plus depreciation, amortization, deferred taxes, other non-cash items, extraordinary item and

changes in working capital for the most recent fiscal year.

Sales-to-Price (S/P) – Latest annual sales from continuing operations per share for the full fiscal year divided by full market

capitalization. Sales values are generally as reported but occasional adjustments may be made. They are also computed for

banks, insurance and other financial companies based on appropriate definitions. Sales are attributed across different share

classes, where common equity is comprised of more than one share type.

Earnings Yield (E/P) 12M Forward – Current consensus estimates of 12-month-forward earnings per share divided by full

market capitalization. Earnings are based on net income from continuing operations, before amortization of goodwill and

extraordinary items and after tax, minority interests, preferred dividend, at fiscal year end.

Cash-Flow Yield (CF/P) 12M Forward – Current consensus estimates of 12-month-forward cash earnings per share divided by

full market capitalization. Cash earnings are earnings plus depreciation, amortization, deferred taxes, other non-cash items,

extraordinary item and changes in working capital for the most recent fiscal year.

Sales-to-Price (S/P) 12M Forward – Current consensus estimates of 12-month-forward sales from continuing operations per

share for the fiscal year divided by full market capitalization.

Book-to-Price (B/P) 12M Forward – Current consensus estimates of 12-month-forward book value per share divided by full

market capitalization. Book value is based on common equity, excluding minority interest and preferred stock at the most recent

fiscal year end. Goodwill written off may also be added back.

EBIT/EV 12M Forward – EBIT/EV is calculated as current consensus estimates of 12-month-forward earnings before interest and

taxes divided by enterprise value.

PROFITABILITY

Return-on-Assets (ROA) − Net income divided by average total assets, calculated relative to the regional median stock level.

Delta Turnover − Net sales revenue divided by average total assets, calculated relative to the regional median stock level.

Accruals − Net operating assets (NOA) for the most recent reporting period minus NOA from the previous reporting period, as

calculated with following formula: Change in working capital + change in non-current net operating assets + change in net

financial assets ([short-term investments + long-term investments] – [long-term debt + short-term debt + preferred stock]), divided

by average total assets. Calculated relative to the regional median stock level.

Return-on-Equity (ROE) 12M Forward – Current consensus estimates of net income divided by average common equity. Net

income is the fiscal-year earnings from continuing operations after tax, minority interests, preferred dividends and before

extraordinary items and amortization of goodwill and may be adjusted for dilution. ROE is expressed as a percentage and is not

calculated when average common equity is negative.

Gearing − Total debt divided by total shareholder’s equity.

Net Margin 12M Forward − Consensus estimates for 12-month-forward aftertax income divided by estimated revenues.

LEVERAGE

Net Debt-to-Equity 12M Forward – Consensus 12-month-forward estimates for total liabilities divided by shareholder's equity,

net of cash.

Leverage Ratio − Operating cash flow divided by total debt. A company whose net operating cash flow is greater than total debt

or has no debt is assigned a maximum Leverage Ratio of one.

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QUALITY

Combination of profitability (return on assets), efficiency (change in asset turnover), earnings quality (accruals) and leverage.

SIZE

Size is calculated as the natural logarithm of each company’s full market capitalization in local currency terms.

LONG-TERM MOMENTUM

Measure of changes in total stock returns in local currency terms over those of the previous year.

VOLATILITY (LOW)

Standard deviation of five years of weekly local total returns prior to the rebalance month. A minimum of 52 weekly return

observations are required to calculate volatility.

YIELD

Dividend Yield 12M − Calculated as the natural logarithm of each company’s 12-month trailing dividend yield.

Dividend Yield 12M Forward − Stock-level dividend yield is current consensus estimates of 12-month-forward gross annual stock

dividend divided by the stock price.

Appendix II: Glossary of Terms

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© 2020 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 Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) MTSNext

Limited (“MTSNext”), (5) Mergent, Inc. (“Mergent”), (6) FTSE Fixed Income LLC (“FTSE FI”), (7) The Yield Book Inc (“YB”) and (8) Beyond Ratings S.A.S. (“BR”). All rights

reserved.

FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “MTS®”,

“FTSE4Good®”, “ICB®”, “Mergent®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered)

are trademarks 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, FTSE Canada, Mergent, FTSE FI, YB or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a

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All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to

be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided "as is" without

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No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained herein or accessi-

ble through FTSE Russell products, including statistical data and industry reports, should be taken as constituting financial or investment advice or a financial promotion.

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

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Equity markets data is based on the following: FTSE USA, FTSE UK, FTSE Developed Europe ex UK, FTSE Japan and FTSE Asia Pacific ex Japan Indexes.


Notes


Notes

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+6.7% +8.4% - research.ftserussell.com · Value Size (Smaller Cap) Long Term Mom. Low Vol Yield (High) Quality (High) Relative Value factor sector exposures vs. sector-weighted contributions