1) U.S. Undercurrents | December 2015 CAP SIZE PERFORMANCE “U.S. Undercurrents” is a new series of briefs covering the U.S. stock market and the disparity between its various size and sector segments. The series begins with an exploration of historic divergence across size benchmarks. We’ll use the S&P 500® to represent the domestic large-cap segment, the S&P MidCap 400® to cover mid-cap issues, and the S&P SmallCap 600® to represent small-cap stocks. OVERVIEW During the sample period of December 1994 through November 2015, all three size segments handily outpaced U.S. inflation, as measured by the Consumer Price Index for All Urban Consumers (CPI-U), which grew at a compound rate of approximately 2.24% per year. However, there were some periods when the results looked less encouraging. For example, as of February 2009 (the trough of the global financial crisis), the cumulative 10-year total return (including reinvested dividends) of the S&P 500 was approximately -29.5%. This was a period during which inflation had risen by about 29.2%. This left large-cap investors with an impairment to their cumulative purchasing power on the order of -58.7% over the preceding 10 years. On the other hand, investors in mid- and small-cap shares stayed ahead of the game. Even at the market low of the financial crisis, the S&P MidCap 400 and S&P SmallCap 600 enjoyed 10-year cumulative returns of 42.3% and 41.8%, respectively—both comfortably ahead of inflation. Exhibit 1: Divergence Among Size Benchmarks Mid-caps have shined since 1995, but all major size segments have outpaced inflation Rebased Indices (Log Scale) 10,000 S&P 500 S&P MidCap 400 S&P SmallCap 600 CPI-U 1,000 1990s IT Boom Housing Boom/ Equity Rally Financial Crisis Post Financial Crisis IT Bust 100 Source: S&P Dow Jones Indices LLC, Federal Reserve Economic Data. Rebased index levels derived from monthly total returns. Data from December 1994 to November 2015. Past performance is no guarantee of future results. Chart is provided for illustrative purposes. Contributor: Philip Murphy, CFA, Vice President, North American Equities, philip.murphy@spdji.com S&P Dow Jones Indices’ Market Attributes® series provides market commentary highlighting developments across various asset classes. 

2) Market Attributes | U.S. Undercurrents: Cap Size Performance December 2015 RECENT BOOMS AND BUSTS Over the past 20 years or so, investors in the U.S. stock market have endured several boom and bust cycles. Booms have generally lasted longer than busts. The average duration of the IT Boom, the Housing Boom and concurrent equity rally, and the Post-Crisis Recovery was 70 months (as of November 2015). The average duration of the IT Bust and the Financial Crisis is about 21 months. Perhaps this is not surprising, as recovering from deep price corrections takes time—the arithmetic of market cycles tell us that a 50% price decline requires a subsequent price appreciation of 100% to break even. The market, as the old saying goes, climbs a “wall of worry.” In all of the boom and bust periods, large caps consistently offered the lowest volatility but not always the best risk-adjusted return (see Exhibit 2). S&P 500 From the outset of 1995 through the bursting of the IT bubble in 2000, large-cap stocks recorded gains in excess of both mid- and small-cap stocks. But since the low of September 2002, the large caps have yet to regain their leadership—though the S&P 500 (TR) has provided lower volatility than its siblings (14.18% versus 16.59% for the S&P MidCap 400 and 17.98% for the S&P SmallCap 600). S&P MIDCAP 400 From January 1995 to November 2015, mid caps have led the pack in both absolute return (compounding at a rate of 12.37% per year, including dividends) and risk-adjusted return (0.71). During the IT cycle of the late 1990s, mid caps participated in the upside, but they did not give as much back as large caps on the downside, from 2000 to 2002. This set them up for outperformance over the remainder of the period, through November 2015. S&P SMALLCAP 600 The technology bust of 2000-2002 produced a relatively mild correction in small-cap stock prices, though these shares had not run up as much as large- or mid-cap shares. For the entire sample period, small-cap issues provided an absolute return premium to large caps, but they trailed the mid-cap segment. Though small caps outperformed large caps, these stocks consistently exhibited the most volatility, so periods of relative outperformance were not a free lunch. 2 

3) Market Attributes | U.S. Undercurrents: Cap Size Performance December 2015 Exhibit 2: Monthly Total Returns During Different Economic Cycles IT Boom January 1995-August 2000 (%) Number of Months Number of Years S&P 500 S&P MidCap 400 S&P SmallCap 600 265.54 247.13 149.32 68 68 68 5.7 5.7 5.7 Annualized Return (%) 25.70 24.56 17.49 Standard Deviation (%) 4.16 4.96 5.23 Annualized Standard Deviation (%) 14.40 17.18 18.13 Annualized Return/Annualized Risk 1.8 1.4 1.0 -44.73 -23.33 -14.61 IT Bust September 2000-September 2002 (%) Number of Months 25 25 25 Number of Years 2.1 2.1 2.1 -24.77 -11.97 -7.30 Annualized Return (%) Standard Deviation (%) 5.11 6.00 6.74 Annualized Standard Deviation (%) 17.69 20.79 23.34 Annualized Return/Annualized Risk -1.4 -0.6 -0.3 108.39 136.51 140.32 Number of Months 61 61 61 Number of Years 5.1 5.1 5.1 Annualized Return (%) 15.54 18.45 18.83 Standard Deviation (%) 2.78 3.22 3.72 Annualized Standard Deviation (%) 9.62 11.17 12.88 Annualized Return/Annualized Risk 1.6 1.7 1.5 -50.95 -49.37 -51.35 Housing Boom/Equity Rally October 2002-October 2007 (%) Financial Crisis November 2007-February 2009 (%) Number of Months 16 16 16 Number of Years 1.3 1.3 1.3 Annualized Return (%) -41.39 -39.98 -41.75 Standard Deviation (%) 5.66 7.36 7.58 Annualized Standard Deviation (%) 19.62 25.49 26.27 Annualized Return/Annualized Risk -2.1 -1.6 -1.6 Post-Crisis Recovery March 2009-November 2015 (%) 226.61 259.89 273.15 Number of Months 81 81 81 Number of Years 6.8 6.8 6.8 Annualized Return (%) 19.17 20.89 21.54 Standard Deviation (%) 3.92 4.65 5.07 Annualized Standard Deviation (%) 13.58 16.10 17.56 Annualized Return/Annualized Risk 1.4 1.3 1.2 Source: S&P Dow Jones Indices LLC. Cumulative total returns calculated from monthly total return index levels. Data from January 1995 to November 2015. Past performance is no guarantee of future results. Table is provided for illustrative purposes. 3 

4) Market Attributes | U.S. Undercurrents: Cap Size Performance December 2015 CALENDAR YEARS The IT Boom during the late 1990s saw a string of consecutive years in which the size premium, theorized by professors Eugene Fama and Kenneth French, turned out to be negative. But small- and mid-cap stocks have generally been the (relative) winners since 2000. Over the entire sample period, the average calendar year outperformance of mid caps relative to large caps was 2.52%, while for small caps relative to large caps it was 1.23%. The overall range in performance among all three size benchmarks varied from less than 1% (YTD 2015) to almost 30% in 1998, at the height of the IT Boom. It has paid to be diversified across cap-size segments, but more in some years than in others. Exhibit 3: Relative Size Performance Based on Monthly Returns Year S&P 500 (%) S&P MidCap 400 (%) S&P SmallCap 600 (%) Range (%) Relative Size Performance (%) (Max-Min) (Small-Large) (Small-Mid) (Mid-Large) 1995 37.58 30.95 29.96 7.62 -7.62 -0.99 -6.63 1996 22.96 19.20 21.32 3.76 -1.64 2.12 -3.76 1997 33.36 32.25 25.58 7.78 -7.78 -6.67 -1.11 1998 28.58 19.11 -1.31 29.88 -29.88 -20.42 -9.46 1999 21.04 14.72 12.40 8.64 -8.64 -2.32 -6.32 2000 -9.10 17.51 11.80 26.61 20.90 -5.71 26.61 2001 -11.89 -0.60 6.54 18.42 18.42 7.14 11.28 2002 -22.10 -14.51 -14.63 7.59 7.47 -0.12 7.59 2003 28.68 35.62 38.79 10.10 10.10 3.17 6.93 2004 10.88 16.48 22.65 11.77 11.77 6.17 5.60 2005 4.91 12.56 7.68 7.64 2.77 -4.87 7.64 2006 15.79 10.32 15.12 5.48 -0.68 4.80 -5.48 2007 5.49 7.98 -0.30 8.28 -5.79 -8.28 2.49 2008 -37.00 -36.23 -31.07 5.92 5.92 5.16 0.77 2009 26.46 37.38 25.57 11.81 -0.89 -11.81 10.92 2010 15.06 26.64 26.31 11.58 11.24 -0.33 11.58 2011 2.11 -1.73 1.02 3.84 -1.10 2.75 -3.84 2012 16.00 17.88 16.33 1.87 0.32 -1.55 1.87 2013 32.39 33.50 41.31 8.93 8.93 7.81 1.11 2014 YTD as of November 2015 13.69 9.77 5.76 7.93 -7.93 -4.01 -3.92 3.01 2.08 2.95 0.93 -0.05 0.88 -0.93 Mean Size 1.23 -1.29 2.52 Premium: Median Size -0.05 -0.33 1.11 Premium: Source: S&P Dow Jones Indices LLC. Calculated from monthly total return index levels. Data from January 1995 to November 2015. Dark blue cells represent best performers and light blue cells represent worst performers. Past performance is no guarantee of future results. Table is provided for illustrative purposes. - TRAILING PERIODS In each time period in Exhibit 4, as was also the case in our boom and bust table (Exhibit 2), the smallcap benchmark experienced the highest volatility and the large-cap benchmark exhibited the lowest. Though the S&P MidCap 400 has been the performance leader throughout our sample, different benchmarks have led in different periods. In terms of risk-adjusted performance, leadership has also shifted between size segments. 4 

5) Market Attributes | U.S. Undercurrents: Cap Size Performance December 2015 Exhibit 4: Benchmark Comparison Entire Period (January 1995-Novomber 2015) S&P 500 S&P MidCap 400 S&P SmallCap 600 9.55 12.37 11.24 Annualized Standard Deviation (%) 15.08 17.34 18.62 Annualized Return/Annualized Risk 0.63 0.71 0.60 Annualized Return (%) 16.09 15.19 16.70 Annualized Standard Deviation (%) 10.49 11.46 12.94 Annualized Return/Annualized Risk 1.53 1.33 1.29 Annualized Return (%) 14.40 13.05 14.25 Annualized Standard Deviation (%) 11.90 13.91 15.01 Annualized Return/Annualized Risk 1.21 0.94 0.95 7.48 8.71 8.44 15.05 17.75 19.04 0.50 0.49 0.44 5.15 9.16 10.12 Annualized Standard Deviation (%) 15.00 17.28 18.72 Annualized Return/Annualized Risk 0.34 0.53 0.54 8.38 11.45 10.42 Annualized Standard Deviation (%) 15.32 17.63 18.87 Annualized Return/Annualized Risk 0.55 0.65 0.55 Annualized Return (%) 3 Years to November 2015 5 Years to November 2015 10 Years to November 2015 Annualized Return (%) Annualized Standard Deviation V Annualized Return/Annualized Risk 15 Years to November 2015 Annualized Return (%) 20 Years to November 2015 Annualized Return (%) Source: S&P Dow Jones Indices LLC. Cumulative total returns calculated from monthly total return index levels. Data from January 1995 to November 2015. Returns annualized through November 2015. Past performance is no guarantee of future results. Table is provided for illustrative purposes. CONCLUSION Performance disparity among segments of the stock market can be observed in various ways, and the S&P U.S. Equity indices provide a convenient framework for this analysis. While all three major size segments of the U.S. stock market almost always move in the same direction, the magnitude of performance differences among them can sometimes be quite significant. From January 1995 through November 2015, the S&P MidCap 400 was the leader in terms of absolute and risk-adjusted performance. In upcoming briefs, we’ll take a closer look at size benchmark fundamentals, followed by an examination of economic sectors across cap sizes. LIKE WHAT YOU READ? Sign up to receive updates on a broad range of index-related topics and complimentary events. 5 

6) Market Attributes | U.S. Undercurrents: Cap Size Performance December 2015 GENERAL DISCLAIMER © S&P Dow Jones Indices LLC, a part of McGraw Hill Financial, Inc. 2016. All rights reserved. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”), a subsidiary of McGraw Hill Financial. Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). Trademarks have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Closing prices for S&P US benchmark indices and Dow Jones US benchmark indices are calculated by S&P Dow Jones Indices based on the closing price of the individual constituents of the index as set by their primary exchange. Closing prices are received by S&P Dow Jones Indices from one of its third party vendors and verified by comparing them with prices from an alternative vendor. The vendors receive the closing price from the primary exchanges. Real-time intraday prices are calculated similarly without a second verification. These materials have been prepared solely for informational purposes based upon information generally available to the public and from sources believed to be reliable. No content contained in these materials (including index data, ratings, credit-related analyses and data, research, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse-engineered, reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of S&P Dow Jones Indices. The Content shall not be used for any unlawful or unauthorized purposes. S&P Dow Jones Indices and its third-party data providers and licensors (collectively “S&P Dow Jones Indices Parties”) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Dow Jones Indices Parties are not responsible for any errors or omissions, regardless of the cause, for the results obtained from the use of the Content. The Content is provided on an “as is” basis. S&P DOW JONES INDICES PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Dow Jones Indices Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, research and valuations are generally provided by affiliates of S&P Dow Jones Indices, including but not limited to Standard & Poor’s Financial Services LLC and Capital IQ, Inc. Such analyses and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. Any opinion, analyses and rating acknowledgement decisions are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P Dow Jones Indices does not assume any obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P Dow Jones Indices LLC does not act as a fiduciary or an investment advisor. While S&P Dow Jones Indices has obtained information from sources they believe to be reliable, S&P Dow Jones Indices does not perform an audit or undertake any duty of due diligence or independent verification of any information it receives. S&P Dow Jones Indices keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P Dow Jones Indices may have information that is not available to other business units. S&P Dow Jones Indices has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. In addition, S&P Dow Jones Indices provides a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. 6