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May 31, 2020

US-Listed Monthly Flash Flows

Welcome Back, T.I.N.A.

Matthew Bartolini, CFA

Head of SPDR Americas Research

State Street Global Advisors

Fueled by a near-record 95% of firms trading above their 50-day moving average,

the S&P 500 is now just 9% off its highs while outpacing other regions this year.

Equity investors have been selective with their capital once again in May. Non-US

exposures had $9 billion of outflows, while US funds had $7 billion of inflows.

Following record inflows in April, gold funds took in $5 billion in May. Their two-month

total is now $12.4 billion, the largest back-to-back flow totals for gold funds ever.

Led by a record-setting $28.5 billion haul in May, bond ETFs have now taken in over

$50 billion in the past two months – also their largest back-to-back total ever..

The Lead

The greatest trick the market ever pulled is trying to convince investors that this

recession doesn’t exist. In May, all US sectors had positive returns, with 23 out of 24

industries up as well. Globally, only 12 countries had negative returns, with 62% of all

global stocks up on the month. That is just for May, starting from the market’s bottom

(March 24), and 85% of stocks around the world have positive returns.1

Year to date, as a result of the sizable drawdown witnessed in March, that figure dips to

25% and 22% for all global and US stocks,2 respectively. But even then, this runs

counter to the fundamental and economic trends resulting from COVID-19. Global

earnings-per-share estimates for 2020 have fallen by 29% since the start of the year. In

the US, every S&P 500 sector has had 2020 earnings growth cut ─ six by double digits.3

In fact, out of the S&P 500 firms – where 29% have positive year-to-date performance –

89% of firms have seen earnings estimates decline this year.4 And that is for a market

that is closer to its pre-crisis highs than any other region. Diving further down the cap

spectrum reveals even more pain. Top-down earnings growth has been slashed by 43%

and 61% for mid- and small-cap firms, respectively, compared with 28% for S&P 500.5

Economically, millions of jobs have been lost around the globe, and some industries

(leisure, hospitality, travel, office real estate) may not get back to “normal” for years – if at

all. Global GDP growth is now expected to decline by 3% in 2020,6 with numerous

developed and emerging market nations entering a technical recession. And this pain

has renewed tensions among – and within – nations.

Yet, even with all this anguish – economic, fundamental, mental and societal – the stock

market appears to be a bit unfazed. No one is routing for double-digit losses and

depressed stock prices, but there is a disagreement between the tape and the news flow.

There is a justification for it, however. . T.I.N.A. is back, as There Is No Alternative to

stocks right now, as a result of the generation-defining low interest rates. The US 10-year

yield is 0.65%. Accounting for inflation, the real yield is 0.31%. Real yields in Japan and

the Eurozone are negative. In order to earn a real return, investors have to take risks and

own risky assets, like stocks.

It might be just that simple, as cynical as it is. But it’s not a surprise, given that central

banks from around the world have injected trillions of stimulus into the financial markets

in hopes of it trickling down into the real economy. Unfortunately, it’s unlikely for it to be

on a dollar-for-dollar basis in the end ─ potentially stoking more divisiveness and

inequality unless there are other policy changes aimed at remedying those longer-term

issues.

In the near term, however, there are risks to the T.I.N.A trade. Negative earnings and

downbeat economic data may catch up to it, as T.I.N.A. is walking on a knife’s edge.

Macro volatility remains high, economic uncertainty is at record levels,7 and COVID-19

cases are still rising, albeit at a much slower pace. Given the risks of a T.I.N.A.-driven

market, a portfolio’s core should likely have a defensive, high-quality bias.

Yet, the resurgent stock market is one beacon of positivity in the sea of despair that is

2020. There are reasons to be fearful. And it’s easier to be fearful in times like these and

cast a cynical eye to any ray of positivity, as there is no shortage of depressing news that

can drive divisions. But it’s better to be positive. As a society, we can create change and

do great things. Look no further than the Dragon 2 SpaceX launch at the end of the

month or the technological enhancements that will drive more digital connectivity in a

less physically connected world.

From an investment perspective, in a world where it is easy to be disheartened and

cynical, the positive thinker’s playbook may be to seek balance in the core while focusing

on the areas driving innovation (advanced health, tele-heath, e-learning, digital

payments, smart cities, renewable energy, and cyber security), aiming to improve our

society for the future.

Bonds… Gold

Bonds

The flow trends we saw in April (below-average equity flows but above-average gold

and bond flows) remained in May and appear at odds with performance over the past

two months. Global equities have rallied 23% off their lows, while broad bonds are up

only 4%.8 The flows are not at odds, however, when considering the macro risk

environment, where the global economy is still dealing with the first-order effects of the

COVID-19 pandemic.

While the record monthly flows into fixed income may indicate defense, diving into the

details reveals that the majority of flows went to credit-sensitive instruments. This

indicates investors’ willingness to express some risk in portfolios. However, that risk is

credit, and not broad-based equity risk. And credit may actually be one avenue to seek

out a return without overextending a portfolio in an idiosyncratic market.

Investment-grade credit is up 13% since the market lows, with far less volatility than

equities.9 It is also higher up in the capital structure, and as a result of the Federal

Reserve’s (Fed) lending facilities, it is a market segment that has both explicit and

implicit support from the central bank.

https://www.ssga.com/us/en/institutional/etfs/insights/insight-on-the-federal-reserve-purchasing-of-etfs

Figure 1

Asset Class

Figure 2

Fixed Income ETF Two-

Month Fund Flow Totals

($Billions)

In Millions May Year to

Date Trailing 3

Mth Trailing 12

Mth Year to Date (% of AUM)

Equity -2,319 50,711 24,614 193,664 1.47%

Fixed Income 28,687 62,675 29,388 173,084 7.39%

Commodity 6,376 30,269 25,392 41,333 36.92%

Specialty -273 -142 196 191 -5.26%

Mixed Allocation 50 333 -220 1,874 2.29%

Alternative 206 250 21 62 7.24%

Top two and bottom two categories per period are highlighted. Past performance is not a guarantee of future

results. Source: Bloomberg Finance L.P., State Street Global Advisors, as of May 31, 2020.

The $28 billion into bond funds is a record. This comes just two months after posting

the most outflows on record ($19 billion of outflows in March). As shown below, the

$28 billion, along with the $22 billion of inflows in April, raises bond ETFs’ two-month

total to over $50 billion. This figure is more than three times the median figure, as well,

and one-and-a-half times greater than the number two spot ($34 billion covering

January 2020 and December 2019).

The resurgence in flows is a sign of confidence in the vehicle, speaking to its flexibility

in providing market exposures that allow investors to tailor portfolios in a liquid,

transparent, and cost-efficient manner.

Past performance is not a guarantee of future results. Source: Bloomberg Finance L.P., State Street Global

Advisors, as of May 31, 2020.

Bond funds were not the only market segment that saw consistent positioning from

April to May. Gold funds also saw another month of outsized inflows, amassing over

$4 billion and driving their two-month total north of $12 billion – a record high.

In fact, gold funds have now registered five consecutive months of over $1 billion of

inflows – a record as well. This has pushed their 2020 total to over $18 billion. If the

year ended today, this would be the largest amount of gold flows into U.S.-listed ETFs

for a year ever.

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Feb-14 May-15 Aug-16 Nov-17 Feb-19 May-20

Two Month Fund Flow Totals Median

Figure 3

Gold ETF Two-Month

Fund Flow Totals

($Billions)

Gold is up 13% this year, while broader commodities are down 22%. The biggest

macro factors for the price of gold are likely to remain in the metal’s favor: continued

heightened risk regime, lower-for-longer real rates, and the potential for further fiscal

spending weakening the outlook for key reserve currencies, particularly the US dollar.

Strong gold demand from the investment sector driven by these dynamics may

continue to offset softness in the cyclical demand (i.e., jewelry) for gold. As gold may

provide key return and diversification benefits – more so than traditional commodities –

these current flow trends may continue.



No International

Travel

The theme of consistent positioning from April to May carries over to how investors

have allocated geographically. Similar to April, investors favored US over non-US

exposures – mirroring the performance trends, as the US has been outperforming non-

US markets by almost 7% since the start of April.

With the exception of global mandates, all other non-US segments had outflows.

International single-country funds had the most outflows in May, driving the year-to-

date outflow total to over $10 billion. And it’s not just from one country, either, as 52%

of countries tracked had net outflows in May. Asian nations had the most, however.

In addition to a majority of funds with outflows, single-country ETFs, as a combined

category, had outflows on 100% of the days in May. There is clear negative sentiment

toward these exposures, as trend is negative (% of days), depth is negative (number

of countries with outflows) and magnitude (outflow amount) is the worst out of the

group.

Asian nations, led by China, are, however, some of the first to begin their reopening

process, and their valuations are constructive. Combined with the out-of-consensus

positioning, a contrarian relative value opportunity may be available.

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Jan-07 Sep-08 May-10 Jan-12 Sep-13 May-15 Jan-17 Sep-18 May-20

Two Month Fund Flow Totals Median Flow Totals

Figure 4

Equity Geographical

Figure 5

US Versus Rest-of-World

Rolling Three-Month ETF

Fund Flows

($Billions)

In Millions May Year to Date

Trailing 3 Mth

Trailing 12 Mth

Year to Date (% of AUM)

U.S. 7,072 69,887 55,648 188,629 2.71%

Global 2,582 4,603 4,599 8,889 4.22%

International-Developed -3,681 5,621 -7,234 29,411 1.38%

International-Emerging Markets

-2,989 -10,888 -11,829 -11,605 -5.50%

International-Region -1,043 -5,135 -5,500 -6,747 -9.69%

International-Single Country

-3,848 -10,380 -8,326 -10,477 -10.90%

Currency Hedged -411 -2,996 -2,745 -4,434 -15.2%



Breaking out the flow patterns in a time series by US versus rest-of-the-world more

clearly illustrates the trends detailed above. As shown below, over the past three

months, investors have fled non-US equity ETF exposures faster than ever before.

Over $30 billion has been redeemed from non-US equity focused ETFs. Last month

was the prior record, at $19 billion. Meanwhile, $61 billion has been deposited into US-

targeted strategies, leading to a differential of nearly $91 billion – the largest

differential over the time period measured.

Unlike the other periods, however, this one was marked by non-US outflows, not just

rampant US inflows. This positioning is a byproduct of non-US exposures

underperforming the US for 25 consecutive months – the fourth-longest stretch ever.

The underperformance, however, has strengthened the valuation case. Relative to the

US, both developed ex-US and emerging market exposures are trading in the top 90th

percentile – some at the 100th – across four valuation metrics compared with a 15-year

history.10

Similar to the single-country level, the positioning and valuations may start to

lure contrarian investors.



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Mar-13 May-14 Jul-15 Sep-16 Nov-17 Jan-19 Mar-20

Rolling 3-Mth US Minus Non-US Rolling 3-Mth US Equity

Rolling 3-Mth Non-US Equity

Healthy Sector

Flows

Figure 6

Sector Flows

Once again, a trend in April carried over to May. Over $6 billion was allocated to sector

funds in May, following $14 billion in April. In April, sector flows represented 175% of

all US fund flows, while in May, they are 97% – an indication of investors looking to

participate in the rally by picking their spots and not indiscriminately buying broad beta.

While the inflows were broad, as only three sectors had outflows, there does appear to

be a rotation underway. Utilities and Staples – two recessionary sectors – had outflows

and reversed their year-to-date and three-month trend.

Four cyclical sectors – Consumer Discretionary, Industrials, Financials and Materials –

had mirror-opposite trend reversals. Prior to this month, they were all in net outflows,

but they garnered inflows in May.

Based on this apparent rotation, investors may be hopeful that a recovery will be more

imminent with states and countries beginning to reopen. However, with Tech and

Health Care the most-favored sectors once again this month, there is still a great deal

of positioning toward defensive, secular high-growth segments, with strong earnings

sentiment poised to benefit from a shift in consumer and corporate behaviors in a post-

COVID-19 world.

In Millions May Year to

Date Trailing 3

Mth Trailing 12


Technology 2,314 7,892 5,714 10,698 7.36%

Financial 150 -3,005 -1,257 -6,685 -5.93%

Health Care 3,211 10,144 10,084 7,684 16.05%

Consumer Discretionary 1,228 -81 -586 -776 -0.35%

Consumer Staples -458 1,594 831 3,206 7.17%

Energy 398 4,204 3,056 6,011 9.46%

Materials 1,208 644 1,126 841 2.01%

Industrials 384 -1,270 -1,218 -1,137 -4.85%

Real Estate -2,153 -3,061 -4,377 1,434 -3.93%

Utilities -801 1,217 103 2,146 6.26%

Communications 1,396 2,762 2,118 3,779 26.5%



https://www.ssga.com/library-content/products/fund-docs/etfs/us/insights-investment-ideas/sector-business-cycle-analysis.pdf

https://www.ssga.com/us/en/institutional/etfs/insights/spotting-trends-sectors-to-consider-in-a-market-downturn

Figure 7

Sector Two-Month

Flow Totals

($ Billions)

Unlike the back-to-back flow totals for bond and gold ETFs, sector two-month flow

totals are not at record levels. But they are extremely close and are their second-

highest level of all-time, as shown below.



Magnitude, trend, and depth are three lenses that we apply to fund flow analysis, as

shown earlier, in the single country section. The chart below goes one level deeper for

trend, at the individual sector level. It shows the percent of days a sector had inflows

over the past one and two months.

A key takeaway is the consensus around Communication Services, where last month,

the sector had inflows on over 90% of the days. Like Technology, this sector is also

poised to benefit from a shift to a more digitally connected but physically separate

world.

The other interesting takeaway is the jump up Materials and Consumer Discretionary

had this past month, reinforcing the notional flow figures above that depict a turn in

sentiment.

The chart also can capture depth (i.e., a lot of sectors with more than 50%). The depth

is somewhat there, as only four sectors had inflows on less than 50% of the days over

the past one and two months.

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Two Month Fund Flow Totals Median

Figure 8

Percent of Days with

Inflows

(%)

Figure 9

Rolling Three-Month

Health Care Flows

($ Billions)



With its highest monthly flows ever in April, and its second-highest ever in May, the

rolling three-month figure for Health Care is at all-time highs. As shown below, this

trend has massively rebounded from a time period when political risk during the onset

of the Democratic primaries curtailed sentiment toward the sector. Flows are now in

rarified air, with the potential to remain elevated, given the macro (COVID-19

treatments and vaccines) and micro (earnings sentiment) trends referenced earlier.

And as shown in the percent of days chart above, Health Care has seen a consistent

rate of flows over the past two months, registering inflows on two thirds of the days.



0%

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Trailing One Month Trailing Two Month

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Health Care Rolling 3 Month 10th Percentile 90th Percentile

Yield Hunting

Figure 10

Fixed Income Flows

Only two fixed income ETF sectors had outflows in May – EM Bond and Government.

The latter of which had been the darling in 2020, amassing $27 billion through the first

four months and raising its asset levels by nearly 20%. The outflows in Government

exposures are largely driven by shorter-term funds, as shown further below in the

maturity section.

The rest of the sectors tracked had inflows, led by Aggregate funds. However,

corporate credit (investment grade and high yield), as a combined unit, fueled the

record haul for the broader bond ETF category. Similar to all of the trends discussed

earlier, the sizable inflows into credit in May are a carbon copy of the trend from April.

The $6.2 billion of inflows into high yield in May is just $100 million less than the record

tallied in April. Meanwhile, the $9.3 billion of inflows into investment grade did surpass

its own April record, and it did so by a wide margin – taking in nearly $2 billion more.

These are two more segments that now have the greatest two-month flow totals ever.

In Millions May Year

to Date Trailing 3

Mth Trailing 12


Aggregate 9,761 10,938 -5,187 50,324 4.09%

Government -1,250 25,509 17,358 40,895 17.28%

Inflation Protected 1,461 -2,570 -3,118 1,410 -5.71%

Mortgage-Backed 796 2,236 -3,279 10,891 5.91%

IG Corporate 9,370 17,777 14,216 32,859 10.64%

High Yield Corp. 6,283 11,290 16,025 23,634 20.10%

Bank Loans -72 -2,606 -1,334 -1,418 -25.12%

EM Bond -5 -2,672 -2,836 -1,203 -9.25%

Preferred 323 537 -1,344 5,258 1.57%

Convertible 165 -280 -310 133 -5.40%

Municipals 1,854 2,517 -802 10,300 5.1%


results. Source: Bloomberg Finance L.P., State Street Global Advisors, as of May 31, 2020

As shown below, the flow trends for investment-grade and high yield ETFs took off

once the Fed announced its lending facilities on March 23. This created a turn in

sentiment for the underlying asset class, and investors positioned accordingly, as

some of the risk of owning debt has been lessened if the Fed is going to support the

credit markets. Part of the program allows for the purchase of ETFs, but those

purchases did not take place until early May.

As of the most recent report,11

the Fed has purchased roughly $1.3 billion of ETFs,

resulting in $27 billion of the year-to-date credit inflows coming from actual investors.

And all of that makes sense ─ the Fed’s new lending programs have transformed

once-risky bonds such as corporates, fallen angels and even junk bond ETFs into risky

bonds that are now explicitly and implicitly backed by the Fed.

The chart below depicts investors running the “Don’t Fight the Fed”12

playbook in order

to hunt for yield in a low-rate environment where the US 10-Year Yield is below 0.70%.

Figure 11

High Yield and

Investment-Grade

Corporate Bond ETF

Cumulative 2020

Fund Flows

($ Billions)



HML, SMB. SMH

Figure 12

US Style Flows

Even with a rally, value and small-cap strategies still had a hard time finding buyers.

Small caps actually outperformed large in May, and over the past two weeks, value

trumped growth. It was not enough, however, as investor still prefer larger, higher-

growth firms, given the sizable uncertainty in the market.


to Date Trailing 3

Mth Trailing 12


Broad Market 2,306 18,676 10,941 44,494 6.34%

Large-Cap 506 32,454 29,004 109,334 4.10%

Mid-Cap -129 -2,031 -2,109 863 -0.97%

Small-Cap -1,374 -602 1,331 8,447 -0.27%

Growth 4,759 21,741 17,316 26,942 6.74%

Value -1,960 3,499 4,337 20,837 1.38%



In April, the monthly rotation to growth from value was the strongest ever, at $5 billion.

In May, the difference kept growing, as shown below. The difference between growth

and value reached almost $7 billion, evidence of investors seeking out any pocket of

growth when growth is scarce.

The rotations we are witnessing here are in agreement with the trends we witnessed

from a sector perspective, as investors have gravitated toward the segments with the

strongest earnings potential (Technology and Health Care). And in agreement with the

broader April fund flow trends carrying over into May narrative.

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IG Corp High Yield

Figure 13

Growth over Value

Monthly Fund Flows

($ Billions)



The Risk Is Back

On! Rotate!

Figure 14

Maturity Flows

While the broad government category was in net outflows, not all tenors were. The

outflows were mainly concentrated on the short end of the curve, as intermediate-term

government bond ETFs had inflows in May.

While the rush into ultra-short exposures abated in May, the segment has still taken in

nearly 40% of its start-of-year assets. However, if the markets keep rallying, the

outflow trends from May could continue, as the majority of the ultra-short and short

term inflows came at a time when the market was in severe risk-off territory.


to Date Trailing 3

Mth Trailing 12


Ultra Short -1,658 12,867 12,975 14,612 38.18%

Short Term 467 8,334 6,107 11,780 16.78%

Intermediate 298 5,835 2,165 12,778 14.73%

Long Term (>10 yr) -476 -1,908 -4,159 1,440 -8.3%



Inflows into ultra-short and short-term government bond ETFs at a time of market

stress are not just a trend from this year, but over the past three years. There have

been twice as many inflows when the S&P 500 Index is below its 200-day moving

average than when the S&P 500 is above that technical trend indicator.

As of the end of the month, the S&P 500 finished three consecutive days above that

level. For any tactical, trend-following portfolio that uses the 200-day line as a signal, it

may start to re-risk and rotate out of defensive bonds and into riskier markets.

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Jan-13 Mar-14 May-15 Jul-16 Sep-17 Nov-18 Jan-20

Growth Minus Value Monthly Flows Average 90th Percentile

Figure 15

Ultra-short & Short-term

Gov’t Bond ETF Flows

vs. Technical Levels

As shown below, as the S&P 500 got closer to the 200-day moving average, the

inflows slowed and just recently turned negative. This is one relationship to watch, as it

could mean a reversal of inflows into a space that has taken in close to half of its start-

of-year assets in just four months.



Quality or Bust

Factor investors continued to favor Quality, pushing the factor to lead in terms of flows

for the year as well as over the past three months. These flows coincide with the

strong relative performance of the Quality factor, as it is the best-performing factor

year to date – outperforming market cap-weighted beta by 4.6%.

Investors shunned all other factor exposures, leading to smart beta strategies, as a

combined category, to have three consecutive months of outflows – their longest

stretch on record.

But let’s not throw the factor baby out with the smart beta bathwater, as dividend and

low-volatility funds have led the way. They have comprised two thirds of the outflows

over the past three months. And to a degree, it makes sense once examining the

performance. The sizable drawdown and ensuing rally have resulted in the low-

volatility factor underperforming broad beta year-to-date. As for dividend strategies,

they, too, have underperformed. Partly as a result of their value bias, but also as a

result of negative fundamental news, given the high number of firms cutting dividends

to preserve cash, shore up balance sheets, and pay staff amid the pandemic.

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ws

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iffe

ren

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S&P 500 % Difference to 200 Day Moving Average

Rolling 30 Day Ultra-Short & Short-Term Gov't Bond Flow

https://www.ssga.com/us/en/institutional/etfs/insights/charting-the-market-a-high-preference-for-quality

https://www.ssga.com/us/en/institutional/etfs/insights/understanding-the-performance-of-dividend-strategies-through-a-factor-lens

https://www.ssga.com/us/en/institutional/etfs/insights/the-impact-of-crisis-driven-dividend-cuts

Figure 15

Factor Flows

Figure 16

Cumulative Dividend ETF

Flows versus US 10 Year

Yield


to Date Trailing 3

Mth Trailing 12


Dividend -1,355 -240 -3,321 19,441 -0.11%

Growth -84 -644 -460 -892 -11.30%

Low Volatility -588 -3,600 -5,804 8,373 -4.09%

Momentum -120 -1,035 -1,549 -1,131 -6.34%

Multi-Factor -296 -1,957 -2,921 126 -3.82%

Quality 1,330 4,813 3,285 10,947 17.91%

Size -79 -4,207 -3,494 -3,419 -19.78%

Value -405 267 673 2,420 0.62%



Low bond yields have not driven demand for dividend-paying stocks either, as a result

of the trends mentioned above. Initially, the strategies saw inflows, but once broader

concern crept into the market and the stability of a firm’s dividend was questioned, the

trend reversed course quickly.



ESG Still Chipping

Away While Active

Is Chugging Along

After witnessing outflows in March for only the third time in 60 months, active ETFs

rebounded with inflows in April and now May. Fixed income active strategies

dominated, taking in 78% of the active ETF fund flows.

ESG funds continued to take in assets, and have now taken in almost 60% of their

start-of-year assets. There is some concentration to the flows, but the trend has been

broadly favorable and consistent.

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US 10 Year Yield (%) Cumulative Dividend ETF 2020 Fund Flows

Figure 17

Strategy Flows


to Date Trailing 3

Mth Trailing 12


Active 5,980 14,058 4,972 32,517 14.06%

Smart Beta -1,619 -9,066 -15,634 33,120 -1.84%

Sector Smart Beta 135 -1,567 -1,190 -1,249 -11.61%

ESG 2,008 13,403 7,633 18,791 59.6%



Definitions

Basis point: 1/100th of 1 percent

Credit Spread: The difference in yield between two bonds of similar maturity but different credit quality

S&P 500 Index: A stock market index that measures the stock performance of 500 large companies listed on stock

exchanges in the United States

S&P 1500 Composite Index: A stock market index that measures the stock performance of 1500 large companies

listed on stock exchanges in the United States

MSCI ACWI Index: MSCI ACWI is a market capitalization weighted index designed to provide a broad measure of

equity-market performance throughout the world.

Bloomberg Barcalys US Corporate Bond Index: The Bloomberg Barclays US Corporate Bond Index measures

the investment grade, fixed-rate, taxable corporate bond market.

Bloomberg Barcalys US Aggregate Bond Index: The Bloomberg Barclays US Aggregate Bond Index measures

the investment grade, US dollar-denominated, fixed-rate taxable bond market.

Growth: Characterized by higher price levels relative to fundamentals, such as earnings.

Value: Characterized by lower price levels relative to fundamentals, such as earnings.

Quality Factor: Characterized by stocks, or a basket of stocks, with a more stable earnings growth and less debt

held on their balance sheet.

Smart Beta: A term for rules-based investment strategies that don’t use conventional market-cap weightings.

ESG: An investing style focsued on enivornmental, social, and governance

TIPS: Treasury Inflation-Protected Securities (TIPS) are a form of U.S. Treasury bond designed to help investors

protect against inflation. These bonds are indexed to inflation, have U.S. government backing, and pay investors a

fixed interest rate as the bond's par value adjusts with the inflation rate.

Endnotes

1 Bloomberg Finance L.P. as of 05/31/2020, calculations by SPDR Americas Research based upon the MSCI ACWI universe

2 Bloomberg Finance L.P. as of 05/31/2020, calculations by SPDR Americas Research based upon the S&P 1500 Composite

universe

3 FactSet as of 05/31/2020

4 FactSet as of 05/31/2020

5 Bloomberg Finance L.P. as of 05/31/2020

6 Bloomberg Finance L.P. as of 05/31/2020

7 Baker, Bloom and Davis Uncertainty Index hit all-time highs in May

8 Bloomberg Finance L.P. as of 05/31/2020 based on the MSCI ACWI Index and Bloomberg Barclays US Aggregate Index

9 Based on the Bloomberg Barclays US Corporate Index

10 Price-to-Sales, Price-to-Earnings, Price-to-Next-Twelve-month Earnings, and Price to Book based on data from FactSet as of

05/15/2020, calculations by SPDR Americas Research

11 https://www.federalreserve.gov/monetarypolicy/files/smccf-transition-specific-disclosures-5-29-20.xlsx

12 An old Wall Street mantra of “Don’t fight the Fed” refers to the notion that investors can do well by investing in a way that aligns

with the Fed’s current monetary policies rather than against them

https://www.federalreserve.gov/monetarypolicy/files/smccf-transition-specific-disclosures-5-29-20.xlsx

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