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Global X Income Outlook June 2021 Table of Contents

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Global X Income Outlook June 2021 Table of Contents Global X Income Outlook June 2021 Table of contents • Charts: o Yield By Sector and Asset Class o Duration by Fixed Income Asset Class o Equity and Sector Valuations o Dividend Yields by US & Ex-US High Dividend Equities o Implied Volatility Vs Implied Option Premium Charts o Index Characteristics o Fixed Income Duration and Yields o Treasury Yield Spreads o Yield by Credit-Rating Comparison o Asset Class Correlation • Income Family: Explore Our Funds • Definitions • Risk Information © Global X Management Company LLC 1 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 YIELD BY ASSET CLASS 1 (%) Source: Bloomberg and Federal Reserve as of 6/30/2021 12 9.17 8 7.37 6.33 5.23 4.60 4.88 1.96 4.09 3.85 3.92 4 2.85 3.06 1.45 2.09 1.35 1.89 0 MLPs High Yield Fixed Rate Preferreds Emerging REITS Corporate Bonds US Equities Bonds Market Bonds Current Yields (%) 5 Year Average (%) Current 10 Year Treasury 5 Year Average 10 Year Treasury S&P 500 SECTOR YIELD (%) Source: Bloomberg as of 6/30/2021 5 4.03 4 3.41 2.76 3 2.43 2 1.71 1.69 1.52 1.35 1.33 0.84 1 0.81 0.55 0 Energy Utilities Consumer Real Estate Materials Financials Health Care Industrials Information Communications Consumer Staples Technology Services Discretionary Current Yield S&P 500 Yield (1) Asset class representations are as follows, MLPs, S&P MLP Index; High Yield Bonds, Bloomberg Barclays US Corporate High Yield Total Return Index; Emerging Market (EM) Bonds, Bloomberg Barclays EM USD Aggregate Total Return Index; Corporate Bonds, Bloomberg Barclays US Corporate Total Return Index; REITs, FTSE NAREIT All Equity REITS Index; Equities, S&P 500 Index; and Preferreds, BofA Merrill Lynch Fixed Rate Preferred Securities Index. © Global X Management Company LLC 2 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 EQUITY VALUATIONS (EV/EBITDA) – 5 YEAR AVERAGE 2 Source: Bloomberg as of 6/30/2021 30 22.63 20 19.08 15.87 13.28 11.78 10.80 8.99 10.04 9.54 9.22 10 7.64 8.23 8.60 7.59 5.82 6.33 0 REITs US Small Cap US Large Cap High MLPs Global High Asia ex-Japan High European High Emerging Market Equities Dividend Equities Dividend Equities Dividend Equities Dividend Equities High Dividend Current 5 Year Avg Equities S&P 500 SECTOR VALUATIONS (EV/EBITDA) Source: Bloomberg as of 6/30/2021 30 23.79 19.86 18.84 20 16.19 14.96 12.54 13.45 13.28 10.92 10 7.80 7.64 0 Real Estate Information Consumer Industrials Consumer Staples Communications Health Care Utilities Materials Energy Financials Technology Discretionary Services (2) Asset class representations are as follows, MLPs, S&P MLP Index; US Small Cap Equities, Russell 2000 Index; Emerging Market High Dividend Equities, MSCI Emerging Markets High Dividend Yield Index; Asia ex-Japan High Dividend Equities, MSCI AC Asia ex Japan High Dividend Yield Index; REITs, FTSE NAREIT All Equity REITS Index; US Large Cap High Dividend Equities, MSCI USA High Dividend Yield Index; and European High Dividend Equities, MSCI Europe High Dividend Yield Index; Global High Dividend Equities, MSCI ACWI High Dividend Yield Index. © Global X Management Company LLC 3 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 Dividend Yields by US & Ex-US High Dividend Equities3 Source: Bloomberg as of 6/30/2021 International high dividend equities offer meaningful yield spreads compared to their US counterparts. The slower international COVID-19 recovery and the underperformance of value stocks in Q2 likely kept spreads wide, but regional opportunities in international equities exist for income investors in Europe and Asia. US & Ex-US High Dividend Equity Yields 7% 6% 5% 4% 3% 2% Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20 Feb-21 Jun-21 US High Dividend Equities Ex-US High Dividend Equities (3) Asset class representations are as follows, US High Dividend Equities, MSCI USA High Dividend Yield Index; Ex US High Dividend Equities, MSCI ACWI Ex USA High Dividend Yield Gross Total Return USD Index © Global X Management Company LLC 4 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 S&P 500 IMPLIED VOLATILITY VS IMPLIED 1-MONTH AT-THE-MONEY-OPTION PREMIUM Source: Bloomberg & CBOE as of 6/30/2021. Premiums measured by Black Scholes model for an S&P 500 Index Option with 1-Month At- The-Money Vanilla European Call Option sold using standard index option dates of third Thursday closeout and third Friday open. The COVID-19 pandemic drove volatility on major equity indices up, and options premiums stayed elevated with it. Higher implied volatility is positively correlated to higher options premiums. Implied volatility today remains higher than pre-pandemic levels for indexes like the Nasdaq 100 and Russell 2000. 90% 8% 80% 7% 70% 6% 60% 5% 50% 4% 40% 3% 30% 20% 2% 10% 1% 0% 0% Jul-16 Nov-16 Feb-17 Jun-17 Sep-17 Dec-17 Apr-18 Jul-18 Nov-18 Feb-19 Jun-19 Sep-19 Jan-20 Apr-20 Jul-20 Nov-20 Feb-21 Jun-21 Implied Volatility (LHS) Implied Premium (RHS) NASDAQ 100 IMPLIED VOLATILITY VS IMPLIED 1-MONTH AT-THE-MONEY-OPTION PREMIUM Source: Bloomberg & CBOE as of 6/30/2021. Premiums measured by Black Scholes model for a Nasdaq 100 Index Option with 1-Month At- The-Money Vanilla European Call Option sold using standard index option dates of third Thursday closeout and third Friday open. 80% 8% 60% 6% 40% 4% 20% 2% 0% 0% Jul-16 Nov-16 Mar-17 Jun-17 Oct-17 Feb-18 May-18 Sep-18 Jan-19 Apr-19 Aug-19 Dec-19 Mar-20 Jul-20 Nov-20 Feb-21 Jun-21 Implied Volatility (LHS) Implied Premium (RHS) © Global X Management Company LLC 5 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 RUSSELL 2000 IMPLIED VOLATILITY VS IMPLIED 1-MONTH AT-THE-MONEY-OPTION PREMIUM Source: Bloomberg & CBOE as of 6/30/2021. Premiums measured by Black Scholes model for a Russell 2000 Index Option with 1-Month At- The-Money Vanilla European Call Option sold using standard index option dates of third Thursday closeout and third Friday open. 90% 8% 80% 7% 70% 6% 60% 5% 50% 4% 40% 3% 30% 20% 2% 10% 1% 0% 0% Jul-16 Nov-16 Mar-17 Jun-17 Oct-17 Feb-18 May-18 Sep-18 Jan-19 Apr-19 Aug-19 Dec-19 Mar-20 Jul-20 Nov-20 Feb-21 Jun-21 Implied Volatility (LHS) Implied Premium (RHS) INDEX CHARACTERISTICS Source: Bloomberg as of 6/30/2021 Index Dividend Yield (%) Top 3 Sectors and Weights (%) 1. Information Technology (27.42) S&P 500 (SPX) 1.35% 2. Health Care (12.99) 3. Consumer Discretionary (12.28) 1. Information Technology (57.26) NASDAQ 100 (NDX) 0.69% 2. Consumer Discretionary (20.02) 3. Consumer Staples (8.56) 1. Health Care (21.13) Russell 2000 (RUT) 1.05% 2. Financials (14.77) 3. Industrials (14.25) © Global X Management Company LLC 6 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 DURATION BY FIXED INCOME ASSET CLASS 4 (Years) Source: Bloomberg as of 6/30/2021 10 8.72 8 6.92 6.56 6.58 6 5.05 3.84 3.85 4.16 4 2.25 2 1.64 0 Convertible Variable Rate High Yield Broad MBS Municipal Bonds TIPS Investment Emerging Corporate Bonds Preferreds Bonds Preferreds Grade Bonds Market Bonds Bonds FIXED INCOME YIELDS (YIELD TO WORST) – 5 YEAR AVERAGE 4 Source: Bloomberg as of 6/30/2021 7 5.91 6 4.88 5 4.86 3.81 4 3.75 3.05 3.01 3 2.21 2.49 2.32 2.04 1.77 2.03 1.94 2 1.39 1.50 1.00 1.07 1.18 1.04 1 0 High Yield Variable Rate EM Bonds Corporate Broad MBS Investment Municipal Bonds TIPS Convertible Bonds Preferreds Bonds Preferreds Grade Bonds Bonds Current 5 Year Avg (4) Asset class representations are as follows, Convertible Bonds, Bloomberg Barclays US Convertible Bond Index; Variable Rate Preferreds, ICE US Variable Rate Preferred Securities Index; MBS, Bloomberg Barclays US MBS Index; High Yield Bonds, Bloomberg Barclays US Corporate High Yield Total Return Index; Broad Preferreds, ICE BofAML Diversified Core US Preferred Securities Index; Municipal Bonds; Bloomberg Barclays Municipal Bond Index; Bloomberg Barclays Agg Index, Bloomberg Barclays US Aggregate Bond Index; Emerging Market (EM) Bonds, Bloomberg Barclays EM USD Aggregate Total Return Index; TIPS, Bloomberg Barclays US Treasury Inflation Notes TR Index; Corporate Bonds, Bloomberg Barclays US Corporate Total Return Index © Global X Management Company LLC 7 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 US 10-YEAR BREAKEVEN TO CONSUMER PRICE INDEX (%) Source: Bloomberg as of 6/30/2021 Breakeven Treasury yields measure the market’s inflation expectations based on the difference between nominal bond yields and inflation protected bond yields of the same maturity. Q2 CPI numbers were significantly higher due to lower COVID-19 induced base numbers, but these high levels are expected to be transitory. 6.00 5.00 4.00 3.00 2.34 Difference 2.00 Difference 1.00 0.00 Jul-16 Jul-17 Jul-18 Jun-19 Jun-20 Jun-21 CPI Inflation Index 10 Year Breakeven Treasury Yield © Global X Management Company LLC 8 Confidential | All numbers are approximate GLOBAL X INCOME OUTLOOK 6/30/2021 SWAP SPREAD TO TREASURY YIELDS Source: Bloomberg as of 6/30/2021 Swap spreads are the difference between the fixed-rate payment on a swap and the yield on government bonds of the same maturity.
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