The Scientific Beta Report
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The Scientific Don’t just be smart. Be Scientific. Beta Report 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 SCIU SCID SCIX SCIJ actively managed funds as they seek to outperform market capitalization weighted United States Europe Asia ex-Japan Japan indexes by following a methodology rooted in academic research, while preserving the lower costs and transparency of an ETF. Gross Expense Net Expense Annualized Since Fund All data as of 12/31/2017 Ticker Since Fund Inception 1 Year Ratio Ratio1 Inception NAV 28.78% 18.81% 10.08% Global X Scientific Beta SCIU 0.35% 0.19% Market Price 28.82% 18.45% 10.09% US ETF SBUXRHMG Index 29.75% 19.13% 10.37% NAV 22.92% 31.99% 8.15% Global X Scientific Beta SCID 0.38% — Market Price 22.84% 32.10% 8.12% Europe ETF SBRXRHMN Index 23.88% 32.27% 8.45% NAV 16.76% 27.56% 6.06% Global X Scientific Beta SCIX 0.38% — Market Price 17.32% 28.29% 6.25% Asia ex-Japan ETF SBAXRHMN Index 16.10% 28.05% 5.82% NAV 36.09% 24.57% 12.41% Global X Scientific Beta SCIJ 0.38% — Market Price 36.49% 25.39% 12.53% Japan ETF SBJURHMN Index 37.04% 24.77% 12.68% 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. Beyond Ordinary ETFs 600 LEXINGTON AVE 1 (888) GX-FUND-1 20TH FL GLOBALXFUNDS.COM NEW YORK, NY 10022 @GLOBALXFUNDS GLOBAL X SCIENTIFIC BETA U.S. ETF SCIU Q4 2017 PERFORMANCE AND ATTRIBUTION RISK AND DIVERSIFICATION SINCE INCEPTION¹ PERFORMANCE AS OF 12/31/2017 SCIU TOP 10 HOLDINGS S&P 500 INDEX TOP 10 HOLDINGS Source: Bloomberg, December 2017 Source: Global X Funds. As of 12/31/17. Source: S&P. As of 12/31/17. Global X Scientific Beta US SciBeta United States Multi-Beta Multi-Strategy ERC S&P 500 Index Total 6.56% Total 19.84% Aetna, Inc. 0.71% Apple, Inc. 3.81% 45% 34.67% Anthem, Inc. 0.71% Microsoft Corporation 2.89% Wal-Mart Stores, Inc. 0.70% Amazon.com, Inc. 2.05% 30% Annaly Capital Management, Inc. 0.69% Facebook, Inc. Class A 1.84% 29.75% 15% Xcel Energy Inc. 0.66% Berkshire Hathaway, Inc. Class B 1.67% 28.78% CME Group, Inc. 0.63% Johnson & Johnson 1.64% 0% Regions Financial Corp. 0.63% JPMorgan Chase & Co. 1.63% Consolidated Edison, Inc. 0.63% Exxon Mobil Corporation 1.55% -15% WEC Energy Group, Inc. 0.63% Alphabet, Inc. Class A 1.38% May 15 Aug 15 Oct 15 Jan 15 Apr 16 Jul 16 Sep 16 Dec 16 Mar 16 Jun 17 Sept 17 Dec 17 Arch Capital Group Ltd. 0.59% Alphabet, Inc. Class C 1.38% Holdings subject to change. Holdings subject to change. ONE YEAR AND MOST RECENT QUARTER RETURNS Source: ERI Scientific Beta and Bloomberg, December 2017 VOLATILITY HOLDINGS OVERLAP Source: Bloomberg, December 2017 Source: Global X Funds, Bloomberg and SPDR. Q4 2017 1 Year Global X Scientific Beta US S&P 500 Index 44% Overlap by weight 23.68% 21.83% between SciBeta U.S. 19.07% 19.12% 18.81% and S&P 500 16.94% 17.81% 422 Number of overlapping 6.68% 6.51% 43% holdings 6.54% 5.54% 5.56% 5.69% 5.52% 6.45% 6.18% 5.90% 6.64% 91% Holdings in SciBeta U.S. also in S&P 500 Global X S&P 500 84% Holdings in S&P 500 Scientific Beta U.S. Index also in SciBeta U.S. Value Momentum Size Low Diversified Global X S&P Volatility Index² SciBeta U.S. 500 Q4 2017 1 Year 56% Active share SCIBETA U.S. HISTORICAL ALLOCATION SINCE INCEPTION¹ Source: ERI Scientific Beta, December 2017 SCIBETA U.S. SECTOR OVERWEIGHT/UNDERWEIGHT VS. S&P 500 100% Source: Global X Funds, Bloomberg. 22.06% Momentum 22.59% 80% 25.68% 7.35% 6.11% 60% Value 31.40% 3.02% 29.99% 31.39% 1.25% 0.57% 40% 24.00% 24.90% Size 23.87% -0.48% -1.09% -1.17% -1.56% -1.98% 20% 20.32% 21.65% Low Volatility 22.14% 0% -12.31% Q2 2015 Q3 2017 Q4 2017 Utilities Financials Real Estate Materials Industrials Health Consumer Telecom Consumer Energy Information Care Staples Services Discretionary Technology 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. Beyond Ordinary ETFs 600 LEXINGTON AVE 1 (888) GX-FUND-1 20TH FL GLOBALXFUNDS.COM NEW YORK, NY 10022 @GLOBALXFUNDS GLOBAL X SCIENTIFIC BETA Europe ETF SCID Q4 2017 PERFORMANCE AND ATTRIBUTION RISK AND DIVERSIFICATION SINCE INCEPTION¹ PERFORMANCE AS OF 12/31/2017 SCID TOP 10 HOLDINGS STOXX EUROPE 600 INDEX TOP 10 HOLDINGS Source: Bloomberg, December 2017 Source: Global X Funds. As of 12/31/17. Source: STOXX. As of 12/31/17. 23.88% Global X Scientific Beta Europe ETF SciBeta Extended Developed Europe STOXX Europe Total 5.52% Total 16.76% 600 Index Multi-Beta Multi-Strategy ERC 22.92% Bouygues SA 0.60% Nestle SA 2.67% 30% Hiscox Ltd. 0.60% HSBC Holdings PLC 2.10% 20% Carnival PLC 0.59% Novartis AG 2.07% 10% Neste Oyj 0.57% Roche Holding AG 1.77% 0% 12.28% Alstom SA 0.56% British American Tobacco PLC 1.55% Orpea SA 0.56% Royal Dutch Shell PLC 1.51% -10% Snam SpA 0.56% BP PLC 1.40% -20% Rubis SCA 0.56% TOTAL SA 1.39% -30% NN Group NV 0.47% Siemens AG 1.18% May 15 Aug 15 Nov 15 Jan 16 Apr 16 Jul 16 Oct 16 Jan 16 Apr 17 Jul 17 Sep 17 Dec 17 Sofina SA 0.45% SAP SE 1.12% Holdings subject to change. Holdings subject to change. ONE YEAR AND MOST RECENT QUARTER RETURNS Source: ERI Scientific Beta and Bloomberg, December 2017 VOLATILITY HOLDINGS OVERLAP Q4 2017 1 Year Source: Bloomberg, December 2017 Source: Global X Funds, Bloomberg and S&P. Global X Scientific STOXX Europe 600 44% Overlap by weight 35.39% Beta Europe ETF Index between SCID and STOXX 32.49% 34.06% 31.99% 30.88% 31.53% Europe 600 Index 25.89% 520 # of overlapping 44% 9.16% 9.13% holdings 7.68% 7.24% 95% Holdings in SCID also in benchmark 4.28% 2.71% 3.75% 3.61% 3.46% 3.65% 2.16% Global X STOXX 86% Holdings in Benchmark Scientific Beta Europe 600 also in SCID Q4 2017 1 Year Europe ETF Index Value High Momentum Size Low Volatility Diversified SCID STOXX Europe 56% Active share Index2 600 Index SCID HISTORICAL ALLOCATION SINCE INCEPTION¹ SCID SECTOR OVERWEIGHT/UNDERWEIGHT VS. STOXX EUROPE 600 INDEX Source: ERI Scientific Beta, December 2017 Source: Global X Funds, Bloomberg. 100% 19.76% 18.19% Momentum 17.83% 80% 4.89% 3.58% 2.65% 28.28% 60% 41.82% Value 43.27% 1.51% 0.98% 0.95% -0.14% 40% 17.58% -0.49% -1.53% 19.19% Size 18.63% 20% 34.39% -5.48% 20.80% Low Volatility 20.27% -6.75% 0% Q2 2015 Q3 2017 Q4 2017 Real Estate Industrials Materials Financials Utilities Consumer Telecom Information Energy Health Consumer Discretionary Services Technology Care Staples 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. Beyond Ordinary ETFs 600 LEXINGTON AVE 1 (888) GX-FUND-1 20TH FL GLOBALXFUNDS.COM NEW YORK, NY 10022 @GLOBALXFUNDS GLOBAL X SCIENTIFIC BETA Asia Ex-Japan ETF SCIX Q4 2017 PERFORMANCE AND ATTRIBUTION RISK AND DIVERSIFICATION SINCE INCEPTION¹ PERFORMANCE AS OF 12/31/2017 SCIX TOP 10 HOLDINGS MSCI PACIFIC EX-JAPAN INDEX TOP 10 HOLDINGS Source: Bloomberg, December 2017 Source: Global X Funds. As of 12/31/17. Source: MSCI. As of 12/31/17. Global X Scientific Beta SciBeta Developed Asia-Pacific MSCI Pacific Total 18.77% Total 36.34% 2 Asia ex-Japan ETF ex-Japan Multi-Beta Multi-Strategy ERC ex-Japan Index 17.51% Venture Corp Ltd. 3.08% Commonwealth Bank of Australia 6.02% 20% MTR Corp Ltd. 2.48% AIA Group Ltd. 5.70% 10% Shenzhou International Group Hldgs. Ltd. 1.96% Westpac Banking Corp. 4.61% Yue Yuen Industrial Holdings Ltd. 1.86% BHP Billiton Ltd. 4.11% 0% 16.76% Link Real Estate Investment Trust 1.80% Australia & New Zealand Banking Group 3.65% -10% 16.10% Singapore Airlines Ltd. 1.60% National Australia Bank Ltd. 3.44% -20% CapitaLand Mall Trust 1.56% CSL Ltd.