Current Cycle of Growth Dominance Remains Near an Extreme

Recent Value Outperformance has been Modest in Context

Value is Starting to Outperform Growth, Still Near Relative Extreme

U.S. Large Cap Growth vs. Value: Tech Bubble vs. 2021

U.S. Small Cap Growth vs. Value: Tech Bubble vs. 2021

Prospects of Reopening the Economy Helped Catalyze Reversal

Growth Has Benefited from Multiple Expansions this Cycle, Value Has Not

U.S. Growth is Remains More Expensive than Value Relative to Earnings

Market is Now Implying Modest Perpetual EPS Growth for U.S. Value Stocks

Growth & Value Relative Sector Weights

In the S&P 500, Technology & Consumer Discretionary are Squeezing Out Traditional alue Sectors Like Energy & Financials

In the S&P 500, Technology & Consumer Discretionary Squeezed Out Traditional Value Sectors Like Energy & Financials with Potential for Significant Mean Reversion

LCG Narrowly Retains Position as Top-Performing Long-Term Style Box

Value Generally Outperforms During Risk-Off Periods

Value Dramatically Outperformed Growth Post-Tech Bubble, but Has Lagged Since the Global Financial Crisis

Trailing Return and Volatility

Trailing Return and Volatility cont.

Definitions
INDEX DEFINITIONS
Russell 1000 Index:
The Russell 1000® Index measures the performance of the large-cap segment of the US equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® represents approximately 92% of the US market.
Russell 1000 Value Index:
The Russell 1000® Value Index measures the performance of the large cap value segment of the US equity universe. It includes those Russell 1000® companies with lower price-to book ratios and lower expected growth values.
Russell 1000 Growth Index:
The Russell 1000® Growth Index measures the performance of the large cap growth segment of the US equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
Russell 2000 Index: The Russell 2000® Index measures the performance of the small-cap segment of the US equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
Russell 2000 Value Index:
The Russell 2000® Value Index measures the performance of small cap value segment of the US equity universe. It includes those Russell 2000® companies with lower price-tobook ratios and lower forecasted growth values.
Russell 2000 Growth Index:
The Russell 2000® Growth Index measures the performance of the small cap growth segment of the US equity universe. It includes those Russell 2000® companies with higher price-to-value ratios and higher forecasted growth values.
Russell 3000 Index:
The Russell 3000® Index measures the performance of the largest 3,000 US companies representing approximately 98% of the investable US equity market.
Russell 3000 Value Index:
The Russell 3000® Value Index measures the performance of the broad value segment of the US equity value universe. It includes those Russell 3000® companies with lower price-to-book ratios and lower forecasted growth values.
Russell 3000 Growth Index:
The Russell 3000® Growth Index measures the performance of the broad growth segment of the US equity universe. It includes those Russell 3000® companies with higher priceto-book ratios and higher forecasted growth values.
Russell Microcap Index:
The Russell Microcap Index measures the performance of the microcap segment of the U.S. equity market. Microcap stocks make up less than 3% of the U.S. equity market (by market cap) and consist of the smallest 1,000 securities in the small-cap Russell 2000® Index, plus the next 1,000 smallest eligible securities by market cap.
Russell Microcap Value Index:
The Russell Microcap Value Index measures the performance of the microcap value segment of the U.S. equity market. It includes Russell Microcap companies that are considered more value oriented relative to the overall market as defined by Russell.
Russell Microcap Growth Index:
The Russell Microcap Growth Index measures the performance of the microcap growth segment of the U.S. equity market. It includes Russell Microcap companies that are considered more growth oriented relative to the overall market as defined by Russell.
S&P 500 Index:
The S&P 500® is an index of large-cap U.S. equities. The index includes 500 leading companies and covers approximately 80% of available market capitalization.
S&P 500 Value Index:
S&P measures value stocks using three factors: the ratios of book value, earnings, and sales to price. S&P Style Indices divide the complete market capitalization of each parent index into growth and value segments. Constituents are drawn from the S&P 500®.
S&P 500 Growth Index:
S&P measures growth stocks using three factors: three-year change in earnings per share over price per share, three-year sales per share growth rate, and momentum (12-month percent price change). S&P Style Indices divide the complete market capitalization of each parent index into growth and value segments. Constituents are drawn from the S&P 500®.
S&P 500 Pure Value Index:
S&P measures value stocks using three factors: the ratios of book value, earnings, and sales to price. S&P Style Indices weight stocks in proportion to their relative style propensity. Constituents are drawn from the S&P 500®. The S&P Pure Style index series contains no overlapping stocks in each respective Style index i.e. Pure Growth and Pure Value do not have overlapping stocks.
S&P 500 Pure Growth Index:
S&P measures growth stocks using three factors: three-year change in earnings per share over price per share, three-year sales per share growth rate, and momentum (12-month percent price change). S&P Style Indices weight stocks in proportion to their relative style propensity. Constituents are drawn from the S&P 500®. The S&P Pure Style index series contains no overlapping stocks in each respective Style index i.e. Pure Growth and Pure Value do not have overlapping stocks.
MSCI World Index:
The MSCI World Index captures large and mid cap representation across 23 Developed Markets countries. With 1,646 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI World Value Index:
The index captures large and mid cap securities exhibiting overall value style characteristics across 23 Developed Markets countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
MSCI World Growth Index:
The index captures large and mid cap securities exhibiting overall growth style characteristics across 23 Developed Markets countries. The growth investment style characteristics for index construction are defined using five variables: 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.
MSCI USA Index:
The MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. With 638 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the US.
MSCI USA Value Index:
The index captures large and mid cap US securities exhibiting overall value style characteristics. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
Definitions & Calculations
MSCI USA Growth Index:
The index captures large and mid cap securities exhibiting overall growth style characteristics in the US. The growth investment style characteristics for index construction are defined using five variables: 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.
MSCI World ex USA Index:
The MSCI World ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries–excluding the United States. With 1,008 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI World ex USA Value Index:
The index captures large and mid cap securities exhibiting overall value style characteristics across 22 of 23 Developed Markets countries–excluding the United States. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
MSCI World ex USA Growth Index:
The index captures large and mid cap securities exhibiting overall growth style characteristics across 22 of 23 Developed Markets countries–excluding the United States. The growth investment style characteristics for index construction are defined using five variables: 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.
CALCULATIONS
Implied Perpetuity Growth Rate :
Growth rates were calculated using the Gordon Growth Model framework and assumes all earnings are paid as dividends. Forward P/E multiples are 12-month estimates from Bloomberg. Cost of equity is calculated using a fixed 5% equity risk premium and respective 36-month betas to the MSCI USA Index and MSCI World ex USA Index. U.S. risk free rates are represented by 10-year U.S. Treasury yields. World ex USA risk free rates are represented by an equal-weighted average of Japan, UK, France, Canada, Switzerland, and Germany 10-year sovereign yields.