keng goh january 2020 in practice - state street corporation...5 ‘value and momentum everywhere’...

1

FX Factors and Media

Abstract

In October 2018, through our partnership with MKT MediaStats, we

introduced our suite of FX Macro Media Indicators that track media

coverage of currencies. Based on an extensive body of research by

MKT’s founding partners, Professor Ronnie Sadka of Boston College,

Professor Emeritus Ken Froot of Harvard Business School, and Gideon

Ozik, affiliate professor at École EDHEC Business School, these

indicators parse tens of thousands of news publications on a daily basis

to gather information about market sentiment and its potential impact on

foreign exchange. This near real-time pulse of broad media sentiment

enables investors to evaluate the impact of online chatter, including the

impact of unusual media coverage and the degree of disagreement in

opinion.

In this In Practice issue, we introduce a simple approach of combining

FX Macro Media Indicators with traditional FX factors such as

Momentum, Value and Carry to improve the risk-adjusted performance

of these standard currency factors. In our analysis, the excess returns

achieved by incorporating Media is +2.5% per year for Momentum,

+2.5% per year for Value, and +1.8% per year for Carry in G10 markets

above their respective stand-alone factors. In Emerging Markets, the

excess return is +1.8% per year for Momentum, +1.3% per year in Value,

and +0.1% in Carry. These performance improvements are broad-based

when media is taken into account, with most currencies within a factor

outperforming their stand-alone counterparts. Finally, these gains are

accompanied by lower returns volatility and drawdowns, suggesting

increased diversification benefits from incorporating media, whilst also

preserving the original factor attribute. By combining traditional FX

factors with media, we are capturing a currency’s factor desirability with

what people are saying about the currency in the media.

In Practice Series

State Street Associates’ research

agenda is rooted in financial theory

yet recognizes that theory must bend

to real-world complexities. Our In

Practice series provides investment

practitioners with concrete insights

into how our indicators and tools can

be applied.

State Street Associates

State Street’s research partnership

with renowned academics, State

Street Associates, offers a full

spectrum of indicators and advisory

research services.

MKT MediaStats

MKT MediaStats LLC is a pioneer in

extracting financial markets insights

from large sets of unstructured data.

Through our partnership with MKT

MediaStats, State Street offers a full

spectrum of media-based indicators

for companies, global equity indices

and foreign exchange.

Keng Goh January 2020 State Street Associates

In Practice

This paper is not intended for trading purposes. The paper is not appropriate for the purposes of making a decision to carry out a transaction or trade. Nor does it provide any form of advice

(investment, tax, legal) amounting to investment advice, or make any recommendations regarding particular financial instruments, investments or products. State Street MediaStats may

discontinue or change the paper content at any time, without notice. State Street MediaStats does not guarantee or warrant the accuracy, completeness or timeliness of the paper. For more

detailed disclaimer, please refer to the Disclaimers and Important Risk Information in back cover of this document. 2906950.1.1.GBL.

https://globalmarkets.statestreet.com/research/service/v2/resource/pdf/68c38801-c81c-44f0-914f-15eadcf3cd34

Information Classification: General 2906950.1.1.GBL State Street Corporation 2

IN PRACTICE: FX FACTORS AND MEDIA

Contents

Introduction p. 3

State Street MediaStats FX Indicators p. 3

FX Factors p. 5

Combining FX Factors and Media p. 8

Conclusions p. 12

References p. 13

Appendix p. 14



Our In Practice series provides practitioners with concrete insights into how they can incorporate State Street

indicators and tools into their investment process. In this issue, we introduce a simple framework of combining our

FX Macro Media Indicators with traditional FX factors such as Momentum, Value and Carry.

1. Introduction

Currency management styles or factors are now firmly part of the active currency management landscape. Rule-

based active currency factors such as Momentum, Value and Carry have been shown to generate positive risk-

adjusted returns over the long term1, though their performance can be sensitive through time. In October 2018, we

introduced media as a new source of alternative data2 and the three distinct measures of media coverage called

Sentiment, Disagreement and Intensity – each producing investment strategies that can be, in general, orthogonal

and uncorrelated to traditional currency management strategies. In this issue, we introduce a simple framework of

combining these measures of media with traditional FX factors such as Momentum, Value and Carry, to help

enhance returns, reduce risk, and improve risk-adjusted performance.

2. State Street MediaStats FX Indicators

State Street MediaStats’ Indicators® provide a timely measure of media sentiment drawn from hundreds of

thousands of curated, unstructured data sources. Over the past six years, we have found that this source of data

can generate timely insights into the performance of foreign currencies. This near real-time pulse of broad media

sentiment enables investors to evaluate the impact of online chatter, including the impact of unusual media

coverage and the degree of disagreement in opinion. Tone, volume and dispersion of media news are the three

dimensions we measure which we call Sentiment, Intensity and Disagreement.

Sentiment

The Sentiment indicator is designed to measure the tone of media coverage on a currency each day. We start by

applying sentiment analysis scoring for each article in the set. As a general rule, the scoring process works such

that detailed articles, which are highly relevant to country finances and that express consistent views (either

optimistic or pessimistic) tend to receive high absolute sentiment scores (positive or negative) .

As documented in the literature, articles exhibiting clusters of positive or negative terms are typically associated

with high absolute sentiment scores across a variety of sentiment scoring techniques (including ours). Our

approach is holistic and contextual, examining an article at its entirety. A distinction between sentiment scoring of

currency and other assets is that the former requires attention to trading conventions. An article about the strength

of the Yen might refer to the strength of “JPY” or the weakness of the “USDJPY pair.” Our system adjusts

accordingly. Once article scoring is completed, one has to adjust for the fixed effects (e.g. EUR tends to receive

negative coverage on average; China tends to be covered negatively on Mondays). Our adjusted sentiment scores

1 “Currency Management Style through the Ages” by James Binny, The Journal of Alternative Investments Winter 2005, 8 (3) 52-59 2 “In Practice – Media Coverage and Foreign Exchange Returns”, by Michael Guidi, State Street Associates In Practice series, October 2018



represent the difference between the measured sentiment and the expected sentiment for a country’s currency

each day.

Our studies3 have shown, unsurprisingly, that high sentiment tends to lead positive currency returns.

Intensity

The Intensity indicator is designed to measure the abnormal quantity of media coverage on a currency each day.

We document several fixed effects; For example, on average, some currencies tend to receive more media

coverage than other currencies. Additionally, some media sources tend to cover specific currencies on the same

day-of-the-week. The Financial Times may cover Russia every Tuesday and China every Thursday. Our system

controls for such effects and the distributed indicators represent the abnormal coverage beyond predictable

patterns.

In our studies3, high intensity of media coverage is associated with lower future currency returns. The intuition for

these findings follow the theoretical work of Merton (1987). In his model, some investors are not aware of the

opportunity of investing in certain assets (these are the neglected assets)—and therefore will not include them in

their optimal portfolios. In equilibrium, the neglected assets are under‐invested, thereby resulting in a low expected

return for better‐known assets relative to less‐known assets. Using media coverage intensity of a currency to proxy

for how well investors are familiar with it, we find evidence consistent with predictions, that is, high‐intensity

currencies tend to underperform in the short term.

Disagreement

As articles are collected from thousands of different sources, they may naturally express different opinions with

respect to a country’s currency. The Disagreement indicator measures the degree to which these opinions vary.

The sentiment scores of articles covering a given country's currency are pooled and Disagreement measures the

standard deviation of sentiment across the pooled distribution.

Our analysis3 show that high disagreement currencies tend to outperform those with low levels of media

disagreement, on average. The intuition for this follows the traditional risk‐return trade-off assertion that currencies

for which there is high disagreement about fundamental value are riskier, and, therefore, should be low‐priced and

earn high expected return.

3 “In Practice – Media Coverage and Foreign Exchange Returns”, by Michael Guidi, State Street Associates In Practice series, October 2018



3. FX Factors

In this issue, we look at three standard FX Factors – Momentum, Value, and Carry. For completeness, we also

include a ‘Media’ factor which is formed by taking Sentiment + Disagreement – Intensity measures into a single

media composite score as described in our previous In Practice publication (“In Practice – Media Coverage and

Foreign Exchange Returns”, October 2018). Briefly, Sentiment and Disagreement were shown to be positively

correlated to a currency’s return, while Intensity tended to negatively predict a currency’s future return (hence the

‘-‘ sign in the composite score).

Factor Definition

Momentum – one month spot return from two months ago to one month ago4.

Value – five-year change in CPI (relative to US) minus the five-year FX return (relative to USD)5

Carry – short term interest rate of currency

Media – composite aggregate of Sentiment + Disagreement – Intensity6.

Each factor above is constructed as a long/short portfolio. Each day, we rank currencies by their factor scores as

defined above and construct long/short portfolios by taking the top/bottom terciles. Currencies in each long/short

portfolio are weighted equally and held for 20-days following the approach of Jegadeesh and Titman (1993)7.

Figures 1 and 2 illustrate the performance of each factor for G10 and EM markets respectively8. The FX factors

simulated here are not intended to be ‘optimal’ or to maximize profits. Rather, the objective is to demonstrate that

active strategies can be constructed to extract specific premia that exist in currency markets and they serve as

benchmarks for our analysis when we incorporate media information. As a stand-alone factor, we can see from

Figures 1(C) and 2(C) that Media is generally uncorrelated to the other FX factors.

4 ‘Currency Momentum Strategies’ by Menkhoff, Sarno, Schmeling, Schrimp, BIS Working Papers No 366, December 2011 5 ‘Value and Momentum Everywhere’ by C. Asness, T. Moskowitz, L. Pedersen, The Journal of Finance, Vol. 68, No. 3, June 2013 6 We use the 28-day lookback indicator version. 7 ‘Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency’ by N. Jegadeesh and S. Titman, The Journal of Finance Vol. 48, No. 1 (Mar., 1993), pp. 65-91 8 We measure factor performance from 2013 onwards to span the period for which we have media data.





Figure 1: FX factors, G10 currencies

(A) Cumulative return

(B) Performance statistics

Statistics Momentum Value Carry Media

Return (Ann) -1.5% 0.9% 0.0% 3.3%

Volatility (Ann) 5.1% 5.4% 7.3% 4.2%

Sharpe Ratio -0.3 0.2 0.0 0.8

t-stat -0.8 0.4 0.0 2.0

Turnover 17x 4x 0x 16x

Maximum Drawdown 22.4% 12.5% 17.3% 4.2%

(C) Returns correlation

Momentum Value Carry Media

Momentum 100%

Value -8% 100%

Carry -19% -21% 100%

Media -1% -1% -18% 100%

Source: State Street Global Markets®. Mar’13-September 2019, G10 currencies: AUD, CAD, CHF, EUR, GBP, JPY, NOK, NZD, SEK, USD

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Figure 2: FX factors, EM currencies


(B) Performance statistics


Return (Ann) 2.1% 2.3% 2.5% 2.5%

Volatility (Ann) 5.4% 6.1% 6.9% 4.0%

Sharpe Ratio 0.4 0.4 0.4 0.6

t-stat 1.0 1.0 0.9 1.6

Turnover 15x 3x 0x 15x

Maximum Drawdown 11.2% 12.8% 15.0% 8.7%

(C) Returns correlation


Momentum 100%

Value -23% 100%

Carry -32% 6% 100%

Media 21% -32% -19% 100%

Source: State Street Global Markets®. Mar’13-September 2019, EM currencies: BRL, CLP, CNY, COP, CZK, HUF, IDR, INR, KRW, MXN,

MYR, PEN, PHP, PLN, RUB, THB, TRY, TWD, ZAR

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4. Combining traditional FX factors with media

Data and methodology

In the below tests, we employ a framework of creating a multi-factor score for each currency by combining a

currency’s factor score with its media score. Each day, we calculate a composite score for each currency by

summing the cross-sectional factor z-score with the cross-sectional media z-score i.e. factor z-score + media z-

score. We then rank the currencies by this composite score, and evenly allocate the long portion of our portfolio

with the top tercile of currencies, and we evenly allocate the short portion of our portfolio with the bottom tercile.

This long/short portfolio is then held for 20 days following the approach of Jegadeesh and Titman (1993). By

combining standard FX factors with media, we are capturing a currency’s factor desirability with what people are

saying about the currency in the media.

Results

Figures 3, 4 and 5 illustrate the factor performances of Momentum, Value and Carry respectively when combined

with media in G10 markets. All three factors show incremental benefits when media data is incorporated into their

construction. Taking Momentum as an example, Figure 3(D) shows that by including media information into the

Momentum factor (i.e. Momentum+Media), an additional gain of +2.5% return per year is achieved above stand-

alone Momentum. In addition, volatility of the factor drops 50bps (from 5.1% to 4.6% risk) while the maximum

drawdown reduces notably from 22.4% to 12.0% as can be seen from Figure 3(B), suggesting that the media-

enhanced factor is taking on more diversified currencies. From Figure 3(C), we can see that the performance

improvement is broad-based with most currencies outperforming their respective stand-alone counterparts when

media is taken into account.

Figure 3(E) illustrates the returns correlation of Momentum, Momentum+Media and Media. We can see that

Momentum+Media largely preserves its factor attribute as can be shown from the high correlation between

Momentum+Media and stand-alone Momentum. This factor preservation is consistent across all factors in both

G10 and EM markets (results for EM in Appendix section).



Figure 3: Momentum + Media, G10 currencies


(B) Volatility and maximum drawdown (C) Attribution

(D) Performance statistics (E) Returns correlation

Statistics Momentum Momentum + Media

Excess

Return (Ann) -1.5% 1.0% 2.5%

Volatility (Ann) 5.1% 4.6% 3.5%

Sharpe Ratio -0.3 0.2 0.7

t-stat -0.8 0.6 1.8

Turnover 17x 16x N/A

Max. Drawdown 22.4% 12.0% N/A

Momentum Media Momentum +

Media

Momentum 100%

Media -1% 100%

Momentum + Media 74% 55% 100%

Source: State Street Global Markets®. Mar’13-Sep’19, G10 currencies: AUD, CAD, CHF, EUR, GBP, JPY, NOK,NZD, SEK, USD

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Volatility, ann. Max Drawdown


-1.5%

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1.5%

AUD CAD CHF EUR GBP JPY NOK NZD SEK

Ret

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ann

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Momentum Momentum+Media Excess



Figure 4: Value + Media, G10 currencies




Value Value + Media Excess

Return (Ann) 0.9% 3.4% 2.5%


Sharpe Ratio 0.2 0.7 0.7

t-stat 0.4 1.8 1.7

Turnover 4x 11x N/A

Max. Drawdown 12.5% 6.7 N/A

Value Media Value + Media

Value 100%

Media -1% 100%

Value + Media 73% 53% 100%


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Value Value+Media

-2.0%-1.5%-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%2.5%


retu

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nn.

Value Value+Media Excess



Figure 5: Carry + Media, G10 currencies




Carry Carry + Media Excess

Return (Ann) 0.0% 1.7% 1.8%



t-stat 0.0 0.8 1.0

Turnover 0x 11x N/A


Carry Media Carry + Media

Carry 100%

Media -18% 100%

Carry + Media 80% 29% 100%


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retu

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Carry Carry+Media Excess



5. Conclusions

The results of our analysis show that media information can be used to improve the risk-adjusted performance of

standard currency factors like Momentum, Value and Carry. The excess returns achieved by incorporating Media

is +2.5% per year for Momentum, +2.5% per year for Value, and +1.8% per year for Carry in G10 markets above

their respective stand-alone factors. In Emerging Markets, the excess return is +1.8% per year for Momentum,

+1.3% per year in Value, and +0.1% in Carry. These performance improvements are broad-based when media is

taken into account, with most currencies within a factor outperforming their stand-alone counterparts. The media-

enhanced versions also preserve their original factor attribute as shown by the high returns correlations with their

respective stand-alone factors. Finally, these gains are accompanied by lower returns volatilities and drawdowns,

suggesting increased diversification benefits from incorporating media. By combining standard FX factors with

media, we are capturing a currency’s factor desirability with what people are saying about the currency in the

media. As a stand-alone factor, Media is broadly orthogonal and uncorrelated to traditional currency factors in

general.



6. References

N. Jegadeesh and S. Titman, ‘Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency’, The Journal of Finance Vol. 48, No. 1 (Mar., 1993), pp. 65-91 J. Binny, "Currency Management Style through the Ages," Journal of Alternative Investments, Winter 2005, 8 (3) 52-59 L. Menkhoff, L. Sarno, M Schmeling, A. Schrimp, ‘Currency Momentum Strategies’, BIS Working Papers No 366, December 2011 C. Asness, T. Moskowitz, L. Pedersen, ‘Value and Momentum Everywhere’, The Journal of Finance, Vol. 68, No. 3, June 2013



7. Appendix

Figure A1: Momentum + Media, EM currencies



(A) Cumulative Return


(D) Performance Statistics (E) Strategy Correlations Momentum Momentum

+ Media Excess

Return (Ann) 2.1% 4.0% 1.8%



t-stat 1.0 2.1 1.6

Turnover 15x 15x N/A


Momentum Media Momentum +

Media

Momentum 100%

Media 21% 100%

Momentum + Media 84% 60% 100%

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5.4%

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12.0%

Volatility, ann. Max. Drawdown


-0.6%-0.4%-0.2%0.0%0.2%0.4%0.6%0.8%1.0%

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Momentum Momentum+Media Excess



Figure A2: Value + Media, EM currencies






Value Value + Media Excess

Return (Ann) 2.3% 3.6% 1.3%



t-stat 1.0 2.0 1.0

Turnover 3x 10x N/A


Value Media

Value + Media

Value 100%

Media -32% 100%

Value + Media 82% 11% 100%

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Value Value+Media

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Figure A3: Carry + Media, EM currencies






Carry Carry + Media Excess

Return (Ann) 2.5% 2.6% 0.1%



t-stat 0.9 1.3 0.1

Turnover 0x 9x N/A

Max. Drawdown 15% 10.2% N/A

Carry Media Carry + Media

Carry 100%

Media -19% 100%

Carry + Media 88% 8% 100%

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Disclaimers and Important Risk Information

Important Legal Information – Please Read

The information provided herein is not intended to suggest or recommend any investment or investment strategy, does not constitute investment advice, does not constitute securities, futures, or swap research, is not market commentary, and is not a solicitation to buy or sell securities, derivatives, foreign exchange or any financial product. It does not take into account any investor's particular investment objectives, strategies or tax status. Clients should be aware of the risks trading foreign exchange, equities, fixed income or derivative instruments or in investments in non-liquid or emerging markets. Derivatives generally involve leverage and are therefore more volatile than their underlying cash investments. Past performance is no guarantee of future results. This communication is not intended for and must not be provided to retail investors. The products and services described in this communication may not be available in all jurisdictions and this communication is not intended for distribution in any jurisdiction where such distribution would be prohibited. The products and services outlined herein are only offered to professional clients or eligible counterparties through State Street Bank and Trust Company, authorized and regulated by the Federal Reserve Board. State Street Bank and Trust Company is registered with the Commodity Futures Trading Commission as a Swap Dealer and is a member of the National Futures Association. Please note that certain foreign exchange business (spot and certain forward transactions) are not regulated. This document is a marketing communication, and the information contained herein has not been prepared in accordance with legal requirements designed to promote the independence of investment research. It is for clients to determine whether they are permitted to receive research of any nature.

The products and services outlined in this document are generally offered in the United States, Latin America, and Japan, by State Street Bank and Trust Company. EMEA: (i) State Street Bank and Trust Company, London Branch, authorised and regulated by Federal Reserve Board, authorised by the Prudential Regulation Authority, subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. Details about the extent of regulation by the Prudential Regulation Authority are available upon request; and/or (ii) State Street Bank International GmbH, authorised by Deutsche Bundesbank and the German Federal Financial Supervisory Authority and, in respect of State Street Bank International GmbH, London Branch, subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of regulation by the Financial Conduct Authority and Prudential Regulation Authority are available upon request. Brazil: The products in this marketing material have not been and will not be registered with the Comissão de Valores Mobiliários - the Brazilian Securities and Exchange Commission ("CVM"), and any offer of such products is not directed to the general public within the Federative Republic of Brazil ("Brazil"). The information contained in this marketing material is not provided for the purpose of soliciting investments from investors residing in Brazil and no information in this marketing material should be construed as a public offering or unauthorized distribution of the products within Brazil, pursuant to applicable Brazilian law and regulations. The products and services outlined in this document are generally offered in Canada by State Street Bank and Trust Company. This communication is made available in Hong Kong by State Street Bank and Trust Company which accepts responsibility for its contents, and is intended for distribution to professional investors only (as defined in the Securities and Futures Ordinance). This communication is made available in Australia by State Street Bank and Trust Company ABN 70 062 819 630, AFSL 239679 and is intended only for wholesale clients, as defined in the Corporations Act 2001. This communication is made available in Singapore by State Street Bank and Trust Company, Singapore Branch (“SSBTS”), which holds a wholesale bank license by the Monetary Authority of Singapore. In Singapore, this communication is only distributed to accredited, institutional investors as defined in the Singapore Financial Advisers Act (“FAA”). Note that SSBTS is exempt from Sections 27 and 36 of the FAA. When this communication is distributed to overseas investors as defined in the FAA, note that SSBTS is exempt from Sections 26, 27, 29 and 36 of the FAA. The products and services outlined in this document are made available in South Africa through State Street Bank and Trust Company, which is authorized in South Africa under the Financial Advisory and Intermediary Services Act, 2002 as a Category I Financial Services Provider; FSP No. 42671. This communication is made available in Israel by State Street Bank and Trust Company, which is not licensed under Israel’s Regulation of Investment Advice, Investment Marketing and Portfolio Management Law, 1995. This communication may only be distributed to or used by investors in Israel which are “eligible clients” as listed in the First Schedule to Israel’s Regulation of Investment Advice, Investment Marketing and Portfolio Management Law 1995. This communication is made available in Qatar by State Street Bank and Trust Company and its affiliates. The information in this communication has not been reviewed or approved by the Qatar Central Bank, the Qatar Financial Markets Authority or the Qatar Financial Centre Regulatory Authority, or any other relevant Qatari regulatory body. This communication is made available in Malaysia by State Street Bank and Trust Company, which is authorized and regulated by the Federal Reserve Board. State Street Bank and Trust Company is not licensed within or doing business within Malaysia and the activities that are being discussed are carried out off-shore. The written materials do not constitute, and should not be construed as constituting: 1) an offer or invitation to subscribe for or purchase securities or futures in Malaysia or the making available of securities or futures for purchase or subscription in Malaysia; 2) the provision of investment advice concerning securities or futures; or 3) an undertaking by State Street Bank and Trust Company to manage the portfolio of securities or futures contracts on behalf of other persons. This communication is made available in Turkey by State Street Bank and Trust Company and its affiliates. The information included herein is not investment advice. Investment advisory services are provided by portfolio management companies, brokers and banks without deposit collection licenses within the scope of the investment advisory agreements to be executed with clients. Any opinions and statements included herein are based on the personal opinions of the commentators and authors. These opinions may not be suitable to your financial status and your risk and return preferences. Therefore, an investment decision based solely on the information herein may not be appropriate to your expectations. This communication is made available in United Arab Emirates by State Street Bank and Trust Company and its affiliates. This communication does not, and is not intended to, constitute an offer of securities anywhere in the United Arab Emirates and accordingly should not be construed as such. Nor does the addressing of this communication to you constitute, or is intended to constitute, the carrying on or engagement in banking, financial and/or investment consultation business in the United Arab Emirates under the rules and regulations made by the Central Bank of the United Arab Emirates, the Emirates Securities and Commodities Authority or the United Arab Emirates Ministry of Economy. Any public offer of securities in the United Arab Emirates, if made, will be made pursuant to one or more separate documents and only in accordance with the applicable laws and regulations. Nothing contained in this communication is intended to endorse or recommend a particular course of action or to constitute investment, legal, tax, accounting or other professional advice. Prospective investors should consult with an appropriate professional for specific advice rendered on the basis of their situation. Further, the information contained within this communication is not intended to lead to the conclusion of any contract of whatsoever nature within the territory of the United Arab Emirates. This communication has been forwarded to you solely for your information, and may not be reproduced or passed on, directly or indirectly, to any other person or published, in whole or in part, for any purpose. This communication is addressed only to persons who are professional, institutional or otherwise sophisticated investors. This communication is made available in South Korea by State Street Bank and Trust Company and its affiliates, which accept responsibility for its contents, and is intended for distribution to professional investors only. State Street Bank and Trust Company is not licensed to undertake securities business within South Korea, and any activities related to the content hereof will be carried out off-shore and only in relation to off-shore non-South Korea securities. This communication is made available in Indonesia by State Street Bank and Trust Company and its affiliates. Neither this communication nor any copy hereof may be distributed in Indonesia or to any Indonesian citizens wherever they are domiciled or to Indonesian residents except in compliance with applicable Indonesian capital market laws and regulations. This communication is not an offer of securities in Indonesia. Any securities referred to in this communication have not been registered with the Capital Market and Financial Institutions Supervisory Agency (BAPEPAM-LK) pursuant to relevant capital market laws and regulations, and may not be offered or sold within the



territory of the Republic of Indonesia or to Indonesian citizens through a public offering or in circumstances which constitute an offer within the meaning of the Indonesian capital market law and regulations. This communication is made available in Oman by State Street Bank and Trust Company and its affiliates. The information contained in this communication is for information purposes and does not constitute an offer for the sale of foreign securities in Oman or an invitation to an offer for the sale of foreign securities. State Street Bank and Trust Company is neither a bank nor financial services provider registered to undertake business in Oman and is neither regulated by the Central Bank of Oman nor the Capital Market Authority. Nothing contained in this communication report is intended to constitute Omani investment, legal, tax, accounting, investment or other professional advice. This communication is made available in Taiwan by State Street Bank and Trust Company and its affiliates, which accept responsibility for its contents, and is intended for distribution to professional investors only. State Street Bank and Trust Company is not licensed to undertake securities business within Taiwan, and any activities related to the content hereof will be carried out off-shore and only in relation to off-shore non-Taiwan securities. Peoples Republic of China (“PRC”). This communication is being distributed by State Street Bank and Trust Company. State Street Bank and Trust Company is not licensed or carrying on business in the PRC in respect of any activities described herein and any such activities it does carry out are conducted outside of the PRC. These written materials do not constitute, and should not be construed as constituting: 1) an offer or invitation to subscribe for or purchase securities or futures in PRC or the making available of securities or futures for purchase or subscription in PRC; 2) the provision of investment advice concerning securities or futures; or 3) an undertaking by State Street Bank and Trust Company to manage the portfolio of securities or futures contracts on behalf of other persons.

State Street Global Markets® is a registered trademark of State Street Corporation® used for its financial markets businesses. State Street Associates® is a registered trademark of State Street Corporation, and the analytics and research arm of State Street Global Markets. Please contact your State Street representative for further information.

SSA 2019-08

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