The Scientific Don’t just be smart. Be Scientific. Beta Report … · 2018-06-21 · Nestle SA...

Beyond Ordinary ETFs 600 LEXINGTON AVE20TH FLNEW YORK, NY 10022

1 (888) GX-FUND-1GLOBALXFUNDS.COM@GLOBALXFUNDS

The Scientific Beta Report

All data as of 9/30/2017 TickerGross Expense

Ratio

Net Expense

Ratio1Since Fund Inception 1 Year

Annualized Since Fund

Inception

Global X Scientific Beta US ETF

SCIU 0.35% 0.19%

NAV 21.60% 15.23% 8.55%

Market Price 21.68% 15.17% 8.58%

SBUXRHMG Index 22.43% 15.51% 8.84%

Global X Scientific Beta Europe ETF

SCID 0.38% —

NAV 18.59% 23.30% 7.41%

Market Price 18.96% 23.01% 7.55%

SBRXRHMN Index 19.44% 23.54% 7.72%

Global X Scientific Beta Asia ex-Japan ETF

SCIX 0.38% —

NAV 9.14% 10.63% 3.74%

Market Price 10.26% 10.59% 4.18%

SBAXRHMN Index 8.43% 11.11% 3.44%

Global X Scientific Beta Japan ETF

SCIJ 0.38% —

NAV 25.26% 14.67% 9.90%

Market Price 25.81% 14.30% 10.11%

SBJURHMN Index 26.14% 15.06% 10.22%

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. Indices are unmanaged and do not include the effect of fees, expenses, or sales charges. One cannot invest

directly in an index. For performance data current to the most recent month end, please call 1-888-gxfund-1 or visit our website at globalxfunds.com.

1Fee waivers are contractual and in effect until at least March 1, 2018.

Don’t just be smart. Be Scientific.

OVERVIEW

The Global X Scientific Beta ETFs are a family of funds that provide core equity exposure to U.S. and international markets. The ETFs may be considered viable alternatives to actively managed funds as they seek to outperform market capitalization weighted indexes by following a methodology rooted in academic research, while preserving the lower costs and transparency of an ETF.

SCIUUnited States

SCIDEurope

SCIXAsia ex-Japan

SCIJJapan



Total 19.11%

Apple, Inc. 3.69%

Microsoft Corporation 2.66%

Facebook, Inc. Class A 1.88%

Amazon.com, Inc. 1.78%

Berkshire Hathaway, Inc. Class B 1.63%

Johnson & Johnson 1.62%

Exxon Mobil Corporation 1.61%

JPMorgan Chase & Co. 1.56%

Alphabet, Inc. Class A 1.34%

Alphabet, Inc. Class C 1.34%

Holdings subject to change.

1 Since inception of SCIU ETF, 5/12/15.2 Diversified index is represented by the Scientific Beta Multi-Strategy Index for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

SCIU TOP 10 HOLDINGSSource: Global X Funds. As of 9/30/17.

S&P 500 INDEX TOP 10 HOLDINGSSource: SPDR. As of 9/30/17.

SINCE INCEPTION¹ PERFORMANCE AS OF 9/30/2017Source: Bloomberg, September 2017

Global X Scientific Beta US S&P 500 Index SciBeta United States Multi-Beta Multi-Strategy ERC

-15%

30%

15%

0%

May 15 Aug 15 Oct 15 Apr 16Jan 15 Sept 17Jun 17Mar 16Dec 16 Sep 16 Jul 16

26.28%

22.43%

21.60%

VOLATILITYSource: Bloomberg, September 2017

7.34% 7.08% 6.69% 7.43%

Global X Scientific Beta US S&P 500 Index

Q3 2017 1 Year

HOLDINGS OVERLAPSource: Global X Funds, Bloomberg and SPDR.

43% Overlap by weight between SciBeta U.S. and S&P 500

418 Number of overlapping holdings

91% Holdings in SciBeta U.S.

also in S&P 500

83% Holdings in S&P 500 also in SciBeta U.S.

57% Active share

S&P 500Index

Global XScientific Beta U.S.

43%

ONE YEAR AND MOST RECENT QUARTER RETURNSSource: ERI Scientific Beta and Bloomberg, September 2017

Value LowVolatility

DiversifiedIndex²

Global XSciBeta U.S.

S&P500

3.01%

16.61%

4.69%

18.26%

12.49%

1.99%

15.25%

2.41%

15.84%

2.96% 4.48%

3.19%

15.23%

18.61%

Momentum Size

Q3 2017 1 Year

0%

20%

40%

60%

80%

100%

SCIBETA U.S. HISTORICAL ALLOCATION SINCE INCEPTION¹Source: ERI Scientific Beta, September 2017

20.98%

24.67%

31.52%

22.83%

20.32%

24.00%

29.99%

25.68%

Q2 2015 Q2 2017 Q3 2017

21.65%

24.90%

31.39%

22.06% Momentum

Value

Size

Low Volatility

InformationTechnology

EnergyHealthCare

ConsumerStaples

TelecomServices

ConsumerDiscretionary

IndustrialsMaterialsReal EstateFinancialsUtilities

-1.45% -1.34%

0.06%

6.59%

-1.22% -0.81% -1.04%

1.29% 2.94%

7.14%

-12.39%

SCIBETA U.S. SECTOR OVERWEIGHT/UNDERWEIGHT VS. S&P 500 Source: Global X Funds, Bloomberg and SPDR.

Total 6.36%

Annaly Capital Management, Inc. 0.72%

Xcel Energy Inc. 0.69%

Arch Capital Group Ltd. 0.68%

Aetna, Inc. 0.67%

KeyCorp. 0.62%

WEC Energy Group, Inc. 0.62%

CME Group, Inc. 0.62%

Anthem, Inc. 0.61%

Regions Financial Corp. 0.57%

FNF Group. 0.57%


PERFORMANCE AND ATTRIBUTION RISK AND DIVERSIFICATION

U.S. ETF Q3 2017 GLOBAL X SCIENTIFIC BETA SCIU



Total 16.60%

Nestle SA 2.65%

Novartis AG 2.17%

HSBC Holdings PLC 2.06%

Roche Holding AG 1.83%

British American Tobacco PLC 1.46%

Royal Dutch Shell PLC 1.39%

TOTAL SA 1.37%

BP PLC 1.29%

Siemens AG 1.22%

Sanofi SA 1.16%


SINCE INCEPTION¹ PERFORMANCE AS OF 9/30/2017 Source: Bloomberg, September 2017

May 15 Aug 15 Nov 15 Jan 16 Jul 17 Sep 17Apr 17Jan 16Oct 16Jul 16Apr 16

Global X Scientific Beta Europe ETF STOXX Europe 600 Index

SciBeta Extended Developed Europe Multi-Beta Multi-Strategy ERC

-30%

-20%

20%

10%

-10%

0%

18.59%

9.91%

19.44%

Q3 2017 1 Year

9.93%

7.78% 7.68%

9.99%

Global X Scientific Beta Europe ETF

STOXX Europe 600 Index


HOLDINGS OVERLAPSource: Global X Funds, Bloomberg and S&P.

44% Overlap by weight between SCID and STOXX Europe 600 Index

524 # of overlapping holdings

95% Holdings in SCID also in benchmark

87% Holdings in Benchmark also in SCID

56% Active share

STOXX Europe 600

Index

Global X Scientific Beta

Europe ETF

44%


7.75%

28.39%

8.64%

23.30% 24.07%

7.04%

19.19%

5.44%

23.75%

7.14% 6.46% 6.93%

23.30% 22.32%

Q3 2017 1 Year

STOXX Europe600 Index

SCIDDiversifiedIndex2

Low VolatilitySizeHigh MomentumValue

0%

20%

40%

60%

80%

100%

34.39%

17.58%

28.28%

19.76%

20.39%

18.40%

43.28%

17.92%

SCID HISTORICAL ALLOCATION SINCE INCEPTION¹Source: ERI Scientific Beta, September 2017

Q3 2017Q2 2016Q2 2015

20.80%

19.19%

41.82%

18.19% Momentum

Value

Size

Low Volatility

ConsumerStaples

HealthCare

EnergyTelecomServices



UtilitiesFinancialsMaterialsIndustrialsReal Estate

4.71% 4.57% 2.69%

1.02% 0.56%

-0.11%

0.48%

-0.37% -0.99%

-5.46% -6.87%

SCID SECTOR OVERWEIGHT/UNDERWEIGHT VS. STOXX EUROPE 600 INDEXSource: Global X Funds, Bloomberg and STOXX.

Total 5.14%

Alstom SA 0.59%

Orpea SA 0.56%

Bouygues SA 0.55%

Carnival PLC 0.53%

Hiscox Ltd. 0.51%

Sofina SA 0.51%

Rubis SCA 0.50%

Snam SpA 0.47%

NN Group NV 0.46%

KION Group AG 0.45%


1 Since inception of SCID ETF, 5/12/15.2 Diversified index is represented by the Scientific Beta Multi-Strategy Index for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

GLOBAL X SCIENTIFIC BETA

SCID TOP 10 HOLDINGSSource: Global X Funds. As of 9/30/17.

STOXX EUROPE 600 INDEX TOP 10 HOLDINGSSource: STOXX. As of 9/30/17.


SCIDEurope ETF Q3 2017



Total 37.08%

Commonwealth Bank of Australia 6.06%

AIA Group Ltd. 5.28%

Westpac Banking Corp. 4.99%

Australia & New Zealand Banking Group 4.05%

National Australia Bank Ltd. 3.92%

BHP Billiton Ltd. 3.86%

CSL Ltd. 2.83%

Wesfarmers Ltd. 2.18%

CK Hutchison Holdings Ltd. 2.05%

Hong Kong Exchanges and Clearing Ltd. 1.86%



MSCI Pacific ex-Japan Index2

SciBeta Developed Asia-Pacificex-Japan Multi-Beta Multi-Strategy ERC

-30%

20%

0%

10%

-10%

-20%

May 15 Aug 15 Nov 15 Feb 16 Sep 17Jun 17Mar 16 Nov 16Aug 16May 16

9.14%

8.43%


9.81%

8.39% 9.23%

7.74%

10.27%



MSCI Pacific ex-Japan Index

Q3 2017 1 Year

42% Overlap by weight between SCIX and MSCI Pacific ex-Japan Index

120 # of overlapping holdings

85% Holdings in SCIX also in benchmark

78% Holdings in Benchmark also in SCIX

58% Active share

MSCI Pacific ex-Japan

Index

Global X Scientific Beta Asia ex-Japan

ETF

42%

HOLDINGS OVERLAPSource: Global X Funds, Bloomberg and iShares.


5.64%

14.41%

4.99%

11.10% 10.38%

4.03%

9.22%

2.94%

12.79%

4.40% 3.66% 3.60%

10.63%

14.44%

Q3 2017 1 Year

Value Low Volatility DiversifiedIndex3

SCIX MSCI Pacific ex-Japan Index

Momentum Size

0%

20%

40%

60%

80%

100%

SCIX HISTORICAL ALLOCATION SINCE INCEPTION¹Source: ERI Scientific Beta, September 2017

Q3 2017Q2 2017Q2 2015

27.36%

19.62%

25.73%

27.29%

22.16%

25.05%

29.53%

23.26%

22.10%

24.64%

29.37%

23.89% Momentum

Value

Size

Low Volatility

FinancialsMaterialsEnergyTelecomServices

HealthCare

IndustrialsUtilitiesConsumerStaples


Real EstateConsumerDiscretionary

SCIX SECTOR OVERWEIGHT/UNDERWEIGHT WITH MSCI PACIFIC EX-JAPAN INDEXSource: Global X Funds, Bloomberg and MSCI.

12.46% 10.79% 5.66% 3.72% 3.60%

-1.23%

2.86% 0.84%

-1.55% -5.76%

-31.84%

Total 18.21%

Venture Corp Ltd. 3.17%

MTR Corp Ltd. 2.50%

NWS Holdings Ltd. 1.70%

Yue Yuen Industrial Holdings Ltd. 1.64%

Shenzhou Intnl Group Holdings Ltd. 1.58%

Link Real Estate Investment Trust 1.58%

Singapore Airlines Ltd. 1.57%

Contact Energy Ltd. 1.52%

Hopewell Holdings Ltd. 1.48%

CapitaLand Mall Trust 1.48%


1 Since inception of SCIX ETF, 5/12/15.2 MSCI Daily Net Total Return Asia Pacific ex-Japan USD Index 3 Diversified index is represented by the Scientific Beta Multi-Strategy Index for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

SCIX TOP 10 HOLDINGSSource: Global X Funds. As of 9/30/17.

MSCI PACIFIC EX-JAPAN INDEX TOP 10 HOLDINGSSource: MSCI. As of 9/30/17.



Asia Ex-Japan ETF Q3 2017SCIX



Total 19.12%

Toyota Motor Corp. 4.70%

Mitsubishi UFJ Financial Group 2.36%

Softbank Group Corp. 2.01%

Keyence Corp. 1.56%

Sumitomo Mitsui Financial Group 1.56%

Honda Motor Co Ltd. 1.54%

KDDI Corp. 1.44%

Sony Corp. 1.42%

Mizuho Financial Group, Inc. 1.27%

Nintendo Co Ltd. 1.26%



Global X Scientific Beta Japan ETF MSCI Japan Index2 SciBeta Japan Multi-Beta Multi-Strategy ERC

-25%

-15%

-5%

5%

15%

35%

25%

May 15 Aug 15 Oct 15 Jan 16 Jun 17 Sep 17Mar 17Dec 16Oct 16Jul 16Apr 16

25.26%

26.14%

12.02%

Global X Scientific Beta Japan ETF MSCI Japan Index


9.07%

12.37%

8.86%

12.85%

Q3 2017 1 Year

44% Overlap by weight between SCIJ and MSCI Japan Index244 # of overlapping holdings 93% Holdings in SCIJ also in benchmark76% Holdings in benchmark also in SCIJ55% Active share

MSCI JapanIndex

Global X Scientific Beta Japan ETF

44%

HOLDINGS OVERLAPSource: Global X Funds, Bloomberg and iShares.

4.12%

19.93%

5.27%

12.63% 10.51%

2.05%

8.00%

2.48%

12.65%

3.59% 3.97% 3.38%

14.67% 14.09%

Q3 2017 1 Year

Value LowVolatility

DiversifiedIndex3

SCIJ MSCI JapanIndex

Momentum Size


0%

20%

40%

60%

80%

100%

SCIJ HISTORICAL ALLOCATION SINCE INCEPTION¹Source: ERI Scientific Beta, September 2017

19.25%

21.80%

34.16%

24.79%

13.19%

16.14%

57.98%

12.70%

Q2 2015 Q3 2017Q2 2017

12.49% 14.10%

62.90%

10.51% Momentum

Value

SizeLow Volatility

TelecomServices


FinancialsInformationTechnology

ConsumerStaples

HealthCare

Real EstateEnergyUtilitiesIndustrialsMaterials

-4.59% -4.35% -3.87%

-1.35%

1.30%

-0.40%

4.24% 3.65%

-0.61% -1.17%

6.45%

SCIJ SECTOR OVERWEIGHT/UNDERWEIGHT WITH MSCI JAPAN INDEXSource: Global X Funds, Bloomberg and MSCI.

Total 12.18%

LIXIL Group Corp. 1.46%

Asahi Kasei Corp. 1.39%

Kajima Corp. 1.36%

NH Foods Ltd. 1.31%

Mitsubishi Tanabe Pharma Corp. 1.26%

Mitsubishi Motors Corp. 1.16%

JXTG Holdings Inc. 1.11%

Obayashi Corp. 1.05%

Komatsu Ltd. 1.05%

Taiheiyo Cement Corp. 1.03%


1 Since inception of SCIJ ETF, 5/12/15.2 MSCI Daily Net Total Return Japan USD Index3 Diversified index is represented by the Scientific Beta Multi-Strategy Index for the relevant region. The index represents the performance of the Scientific Beta Multi-strategy weighting scheme without applying factor tilts.

SCIJ TOP 10 HOLDINGSSource: Global X Funds. As of 9/30/17

MSCI JAPAN INDEX TOP 10 HOLDINGSSource: MSCI. As of 9/30/17



Japan ETF Q3 2017 SCIJ



Definitions:

The objective of the Scientific Beta Multi-Beta Multi-Strategy Equal Risk Contribution Indexes (USA, Japan, Extended Developed Europe, Asia ex-Japan) is to represent the performance of large and medium capitalization companies from their respective regions while outperforming the capitalization-weighted reference index for that region, with a limited amount of relative risk against that reference.

The S&P 500 is an index of 500 stocks chosen by factors such as market size, liquidity and industry grouping. The Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large-cap universe.

The STOXX Europe 600 Index is derived from the STOXX Europe Total Market Index (TMI) and is a subset of the STOXX Global 1800 Index. With a fixed number of 600 components, the STOXX Europe 600 Index represents large, mid and small capitalization companies across 18 countries of the European region: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.

The MSCI Pacific ex Japan Index captures large and mid cap representation across 4 of 5 Developed Markets (DM) countries in the Pacific region (excluding Japan). With 150 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

The MSCI Japan Index is designed to measure the performance of the large and mid cap segments of the Japanese market. With 318 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Japan.

Active Share is the percentage of holdings in a portfolio that do not overlap with the benchmark index.

Carefully consider the Funds’ investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds’ summary or full prospectus, which may be obtained by calling 1-888-GX-FUND-1 (1.888.493.8631), or by visiting www.globalxfunds.com. Read the prospectus carefully before investing. Investing involves risk, including the possible loss of principal. In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. For the Scientific Beta Japan ETF, the Japanese economy may be subject to considerable degrees of economic, political and social instability, which could have a negative impact on Japanese securities. In addition, Japan is subject to the risk of natural disasters, such as earthquakes, volcanoes, typhoons and tsunamis, which could negatively affect the Fund. Diversification may not protect against market risk. There is no assurance the goals of the strategy discussed will be met. Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Global X NAVs are calculated using prices as of 4:00 PM Eastern Time. The market price is the Mid-Point between the Bid and Ask price as of the close of exchange and do not represent the returns you would receive if you traded shares at any other times.

EDHEC Risk Institute Asia Ltd. indexes have been licensed for use by Global X Management Company, LLC. Global X Funds are not sponsored, endorsed, issued, sold, or promoted by EDHEC Risk Institute Asia Ltd. nor does this company make any representations regarding the advisability of investing in the Global X Funds. Global X Management Company, LLC serves as an advisor to the Global X Funds. The Funds are distributed by SEI Investments Distribution Co., One Freedom Valley Drive, Oaks, PA, 19456, which is not affiliated with Global X Management Company, LLC.


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