Source: MSCI. MSCI ACWI Quality Value: Top FCF/EV quintile of the MSCI ACWI Value Index, rebalanced monthly and equally weighted. MSCI ACWI Factor Indices: Value: Companies exhibiting value characteristics defined by book value to price, 12-month forward earnings to price and dividend yield. High Dividend Yield: Companies with higher dividend yield than average, applying quality screens and to omit stocks that could cut or reduce dividends due to deteriorating fundamentals. Momentum: Companies with high 12-month price momentum. Low Volatility: Companies within a minimum variance strategy seeking the lowest absolute risk with a given set of constraints. Growth: Companies exhibiting growth characteristics defined by long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Small Cap: Companies within the small cap segment of the market. Sortino Ratio: Risk-adjusted performance metric measuring return of an investment relative to its downside risk (return above risk-free rate divided by standard deviation of negative returns). You cannot invest directly in an index. For illustrative purposes only. Not performance of any strategy. PAST PERFORMANCE MAY NOT BE INDICATIVE OF FUTURE RESULTS.