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April 28, 2017

The Role of Gold in Today’s Global Multi-Asset Portfolio April 2017    |    by George Milling-Stanley, Head of Gold Strategy, SPDR ETFs, Robin Tsui, APAC Gold Strategist, SPDR ETFs Howard Wen, Senior Gold Strategist, SPDR ETFs and Diego Andrade, Gold Strategist, SPDR ETFs The expanding universe of investable asset classes and the Sharpe ratio and lowered its maximum drawdown compared to relative ease of shifting across different assets means today’s a portfolio without any gold-backed investments that is based typical multi-asset fund looks a lot different than “balanced” on the asset weightings set forth in Figure 9. stock-and-bond funds of the past. Since the global ?nancial crisis, which was characterized by an extended period of low Global Multi-Asset Market Portfolio rates, the bene?ts of holding a truly diversi?ed multi-asset portfolio have become clear. Gold, a unique asset class that Since 1971, when President Nixon removed the US dollar from has historically low or negative correlation with most other the Gold Standard, the price of gold has increased from $43.28 asset classes, is one of those assets that is ?nding its way into oz. to $1,145.90/oz. at the end of 2016. Since that policy move, many multi-asset strategies. Gold has historically been used by which we call “The Initial Public Offering of Gold,” the dollar portfolio managers to potentially counter volatility, especially gold price has increased at an average rate of 7.66 percent per in periods of uncertainty. We believe gold should be considered year.2 What the “IPO of Gold” did was unleash gold’s a core diversi?ying asset that should have a long-term strategic longstanding currency-like characteristics, giving it the presence in multi-asset portfolios. potential to become a mainstream investment. That potential became tangible with the launch of GLD in November 2004. In this paper, we examine how gold, through investing in The ETF gathered $1 billion in assets under management in SPDR® Gold Shares (GLD®), can improve the risk-return just three days, making it very tradable almost immediately characteristics of a hypothetical multi-asset portfolio that and allowing exposure to gold to rival the ease and efficiency includes global stocks, various classes of ?xed-income, real of owning stocks. GLD’s arrival also made the multi-asset estate, private equity, commodities and, of course, gold. We portfolios including gold as an exchange-traded product found that holding between 2 percent and 10 percent of GLD convenient for the ?rst time. The modern multi-asset portfolio between January 1, 20051 and December 31, 2016 would have can now be more efficient, with gold playing a crucial role as a improved the hypothetical portfolio’s cumulative returns, its potential core portfolio diversi?er. Figure 1: IPO of GOLD USD/Oz 2000 “I have directed Secretary Connally to suspend temporarily the convertibility of the dollar into gold or other reserve assets, except 1500 in amounts and conditions determined to be in the interest of Fiat Currency World monetary stability and in the best interests of the United States.” Gold* 1000 – President Richard Nixon    (August 15, 1971) 500 0 Dec Dec Dec Dec Dec Dec Dec Dec Dec Dec 1925 1935 1945 1955 1965 1975 1985 1995 2005 2016 * Sources: From 1900–1967, The dollar price of gold is calculated from the average annual exchange rates of the dollar against the British pound taken from a table published for the London and Cambridge Economic Service by Times Newspapers Ltd. as part of The British Economy: Key Statistics. From 1968 — March 19, 2015, the gold price is based on the London Gold Fix, a daily survey of spot gold prices conducted by telephone. From March 20, 2015-present, the gold price is based on the LBMA Gold Price, which is determined twice each business day (10:30 a.m. and 3:00 p.m. London time) by participants in a physically settled, electronic and tradable auction. All gold prices from 1968-present based on data compiled by Bloomberg Finance L.P.    

The Role of Gold in Today’s Global Multi-Asset Portfolio The Case for Gold in a Global Figure 3: Gold has had Low or Negative Correlation with Multi-Asset Portfolio Major Equity Markets Since 2000 When building a multi-asset portfolio, investors must consider Correlation not only the potential or forecasted risk-return characteristics 1.00 of a particular asset class or market segment, but also how that asset class or market segment behaves relative to other 0.29 0.50 investments. Asset classes with high forecasted risk-adjusted 0.20 0.12 returns are obviously preferred. But investors should also look 0.00 0.00 for asset classes that move differently relative to one another. -0.08 -0.09 With these factors in mind, we identi?ed three potential bene?ts of gold that are key reasons why multi-asset portfolio -0.50 managers should consider including gold in their portfolios. 1. Increased Portfolio Diversi?cation -1.00 Japanese Global US European APAC Latin ex Japan America A low correlation between the asset classes would lower portfolio volatility and therefore, all else being equal, increase Source: Bloomberg Finance L.P., SSGA, data from January 1, 2000 to Dec 31, 2016. portfolio diversi?cation and enhance the overall risk-adjusted Correlations are calculated from monthly returns in USD. Asset classes represented return of the portfolio. Figures 3 and 4 depict the historical by the following indices — Japanese: MSCI Japan Index; MSCI AC World Daily correlation of gold relative to major equity and bond markets. TR Index; US: S&P 500 Index; European: MSCI Europe Index; APAC ex Japan: The very low or negative correlations highlight the potential MSCI ASIA PAC Ex Japan Index; Gold: LBMA Gold Price PM. Latin America: MSCI diversi?cation bene?ts of adding gold to a multi-asset portfolio. Emerging Markets Latin America Index. 2. Tail Risk Hedging 3. Managing In?ation Gold has historically been used to provide potential tail Gold also has a long track record of offering some potential risk mitigation during times of market stress, as it has preservation of purchasing power in varying in?ationary tended to rise during stock market pullbacks. Figure 2 environments. Analyzing gold’s historical price performance shows that gold was able to deliver competitive returns since 1970 shows that during periods when the annual rate of and outperformed other asset classes during a number of in?ation in the US has been below 2 percent, the gold price has past ‘black swan’ events. This demonstrated that including risen at an average rate of 6.7 percent a year. Moreover, during gold in a multi-asset portfolio may provide portfolio managers periods of moderate inflation — defined as an annual increase with a means of moderating market volatility and reducing between 2 and 5 percent — gold has risen at an average rate of portfolio drawdown. Figure 2: Gold as a Tail Risk Hedge — Performance in Market Downturn % 40 20 0 -20 -40 -60 Dot Com September 11th 2002 GFC Sovereign Sovereign Debt Brexit Meltdown Recession Debt Crisis I Debt Crisis II Ceiling Crisis ? LBMA Gold Price PM? Bloomberg Commodity Index? Bloomberg Barclays 7–10 Yr Treasury Index? Bloomberg Barclays US Aggregate Bond Index? MSCI All Country World Index ? US Dollar Index Source: Bloomberg Finance L.P., SSGA, as of December 31, 2016. Notes: Dot-Com Meltdown: 2/29/2000–3/30/2001; September 11 Terrorist Attacks: 8/31/2001–9/28/2001; 2002 Recession: 2/28/2002–8/30/2002; Global Financial Crisis: 11/30/2007–3/31/2009; Sovereign Debt Crisis I: 4/30/2010–8/31/2010; Sovereign Debt Crisis II: 2/28/2011–10/31/2011; Debt Ceiling Crisis: 7/22/2011–8/8/2011; Brexit: 6/22/2016–6/27/2016. Past performance is not a guarantee of future results. Performance above does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling exchange traded funds. Performance above is not meant to represent the performance of any investment product. Performance data above derived from total return indices. State Street Global Advisors 2

The Role of Gold in Today’s Global Multi-Asset Portfolio Figure 4: Gold has had Low Correlation with Major Bonds 7.4 percent a year. But gold has shown its greatest historical Markets Since 2000 effectiveness in preserving purchasing power during periods when in?ation has been running above 5 percent a year. During Correlation such times, the gold price has increased by an average annual 1.0 rate of 15.2 percent. 0.34 In addition, the price of gold has been in?uenced historically 0.5 0.28 0.27 0.22 by real rates of return. One of the main reasons why the gold 0.12 0.12 price did not appreciate during the 1980s and 1990s was 0.0 because other asset classes performed so well. Conversely, gold has appreciated at times when real returns on assets -0.5 like bonds have been low. We compared gold prices with real returns, with real returns calculated by subtracting the US -1.0 US Aggregate US Corportate Euro US Treasury US Corporate Emerging core consumer price index (excluding food and energy) from Bonds High Yield Aggregate Market Debt the yield of US 10-year Treasury notes (Figure 6). Debt Corportate Debt In the 1980s, T-notes averaged a real rate of return of 4.50 Source: Bloomberg Finance L.P., SSGA, data from January 1, 2000 to percent, and 3.44 percent in the 1990s. Real returns continued December 31, 2016. to drop in the ?rst decade of the new century, averaging 2.28 Correlations are calculated from monthly returns in US Dollars. Asset classes percent. Since the start of this decade, real rates have averaged represented by the following indices — US Aggregate Bonds: Bloomberg Barclays 0.61 percent—the latest sharp drop relating to the Global US Aggregate Bond Index Total Return; US Corporate High Yield Debt: Bloomberg Financial Crisis and the extraordinary central bank policies Barclays US Corporate High Yield Bond Index Total Return; Euro Aggregate Corporate Debt: Bloomberg Barclays Europe Aggregate Corporate Bond Index Total Return; US such as quantitative easing that followed. The last time real Treasury: Bloomberg Barclays US Treasury Bond Index Total Return; US Corporate rates were so low was in the 1970s when they averaged 1.02 Investment Grade Bonds: Bloomberg Barclays US Corporate Bond Index; Emerging percent. Those low real rates were one of the major reasons Market Debt: Bloomberg Barclays Emerging Markets USD Aggregate Bond Index why the price of gold appreciated from $43 an ounce at the Gold: LBMA Gold Price PM. time of the “IPO of Gold” to $512 at the end of 1979. Again, the disin?ationary trend over the past 35-plus years and the low-to-negative real rates around the world that still prevail have been in gold’s favor, as Figure 6 shows. Figure 5: Gold Returns In Different In?ation Scenarios* Figures 6: Gold Returns Vs Real T-Note Returns Since 1970** % 18 $/Oz % 15.2 2000 16 1800 14 1600 12 12 1400 10 7.4 8 6.7 1200 6 1000 6 4 800 600 2 0 400 -2 0 Low In?ation Moderate In?ation High In?ation 200 -4 (<2%) (2%–5%) (>5%) 0 1970 1976 1982 1988 1993 1999 2005 2011 2016 -6 Source: Bloomberg Finance L.P., SSGA, data from January 31, 1970 to — Gold Price — Real Rates December 31, 2016. Past performance is not a guarantee of future results. Performance Source: Bloomberg Finance, L.P., State Street Global Advisors, as of above does not reflect charges and expenses associated with the fund December 31, 2016. or brokerage commissions associated with buying and selling exchange Past performance is not a guarantee of future results. Performance traded funds. Performance above is not meant to represent the performance above does not reflect charges and expenses associated with the fund of any investment product. or brokerage commissions associated with buying and selling exchange * Computed using average monthly gold returns and US CPI Figures from traded funds. Performance above is not meant to represent the performance January 31, 1970 to December 31, 2016. of any investment product. ** Gold Price represented by LBMA Gold Price; Real Rates represented by 10-year Treasury note yield minus US core Consumer Price Index (excluding food and energy). State Street Global Advisors 3

The Role of Gold in Today’s Global Multi-Asset Portfolio Figure 7: Gold ETFs vs. Other Gold Investment Vehicles Gold ETFs Mutual Funds Gold Futures Gold Mining Stocks Gold Bars or Coins Paper Gold Accounts Potential Advantages • Transparency • Mostly actively • Leverage • Leverage • Physical possession • Ease of use managed • Intraday Trading • Intraday Trading • Intraday Trading • Transparency • Transparency Capability* • May be able to Capability* Capability* generate alpha • Mostly backed by • Relatively large • Offers operating and physical gold positions with financial leverage low commissions Consideration • Asset-Weighted Expense • Asset-Weighted • Management • Have not exhibited • Transport costs • Not backed by ratio (?37 bps)** Expense ratio (?102 bps)** of position exhibited perfect physical gold • Storage costs tracking to gold price • Basis risk • Insurance costs • Exposed to company specific factors • Required to pay a ‘premium’ over spot Trade Characteristics • Tactical and Strategic • Strategic • Tactical • Tactical and Strategic • Strategic • Strategic Source: SSGA, Bloomberg Finance L.P., as of December 31, 2016. * There can be no assurance that a liquid market will be maintained. ** Source: Bloomberg Finance L.P. and SSGA. Based on expense ratios of the 22 currently-listed gold mutual funds and the four currently-listed US gold bullion ETFs, per Bloomberg. (Comparison excludes US leveraged and inverse gold bullion ETFs). Asset-weighting more accurately reflects what investors in general are currently paying for their exposure. Ways for Multi-Asset Portfolio Managers to Figure 8: GLD has had Low Correlation to Other Asset Invest in Gold Classes in the Hypothetical Portfolio There are many ways for portfolio managers to gain exposure Bloomberg Commodity Index to gold, ranging from physical gold, gold ETFs, mutual funds, 0.49 gold futures and gold mining stocks. LPX Composite Listed -0.08 Private Equity Index Investment in physical gold bullion is the most direct way Global Property Research 0.23 to invest in gold, but it may involve higher ongoing costs for General Index transport, storage and insurance. Gold mining companies Bloomberg Barclays Emerging Markets USD 0.38 may be in?uenced by the gold price, but their growth and Aggregate Bond Index performance also depend on effective management, production Bloomberg Barclays costs, reserves and exploration, among other factors. Gold Global Corporate High 0.20 Yield Bond Index futures are widely used by investors looking for exposure to Bloomberg Barclays gold and have the bene?t of being traded in standardized World In?ation 0.46 contracts on exchanges. Futures do not require full funding up Linked Bond Index front, which may be preferable to those investors looking for Bloomberg Barclays Global Aggregate 0.42 leverage, but the requirement to regularly roll futures contracts Corporation Bond Index to maintain exposure does mean ongoing management of the Bloomberg Barclays gold position is required for a longer-term strategic allocation. Global Aggregate 0.52 Government Bond Index US-listed mutual funds with a precious metal strategy on MSCI All Country 0.16 World Index average are more expensive than gold ETFs.3 US mutual funds focused on precious metals together have an asset-weighted -1.00 -0.50 0.00 0.50 1.00 average expense ratio of just below 102 basis points compared Correlation with an asset-weighted average expense ratio of about 37 bps Source: Bloomberg Finance L.P., SSGA, data from January 1, 2005 to for US-listed ETFs backed by physical gold. Also, investing in December 31, 2016. physical-backed gold ETFs may help to eliminate many of the All correlation calculations above derived from mothly total return indices in issues mentioned above as this investment vehicle seeks to US dollars. provide a cost-effective way to track the price of gold. State Street Global Advisors 4

The Role of Gold in Today’s Global Multi-Asset Portfolio Case Study: Strategic Allocation to GLD in a • Subtracting the weight equally from the equities and Global Multi-Asset Portfolio government-bonds asset classes (two asset classes with the highest weights) to add in GLD at 2% (Portfolio B), A recent paper, “A Case for Global Diversification: Harnessing 5% (Portfolio C) and 10% (Portfolio D). the Global Multi-Asset Market Portfolio” by State Street Global Advisors (SSGA) Investment Solutions Group (ISG)4, examined Returns of the hypothetical blended portfolios cover the the global investable opportunity set and its implications for period between January 1, 2005 and December 31, 2016, and investors. They de?ned the Global Multi-Asset Market Portfolio the portfolios are rebalanced every 12 months to maintain (GMP) as the portfolio consisting of all investable capital target portfolio weights. assets, where the proportion invested in each asset corresponds From the results shown in Figure 10, we found that under to that asset’s market value divided by the sum of the market our hypothetical scenario: value of all assets in the portfolio. It is the sum of all investors’ holdings and a de facto proxy for the investable opportunity • Portfolios B, C and D had higher Sharpe ratios, lower set available to all investors globally, or what is usually known maximum drawdowns and lower standard deviations as the ‘market portfolio.’ This represents a good starting point with higher returns compared to Portfolio A; for many investors looking to build a globally diversi?ed • Portfolio D had the highest Sharpe Ratio (0.44) and highest investment portfolio. cumulative return (93.45%); We examined the results of adding a 2%, 5% and 10% of GLD • Portfolio D had the lowest maximum drawdown (-25.10%). into a multi-asset portfolio under a hypothetical scenario. The hypothetical portfolio is based on the concept of the From a risk-adjusted return perspective, our hypothetical GMP developed by SSGA’s ISG and incorporates additional blended portfolio results have shown that adding 2%, 5%, 10% assumptions for the purpose of our case study. We constructed of GLD to the portfolio would have improved Sharpe ratios. the hypothetical global multi-asset portfolio by: The results illustrated that this hypothetical scenario using broad indices to represent various asset classes that includes • Replicating the asset classes in the GMP with non invest-able allocations of anywhere from 2% to 10% to GLD right after market indices; the ETF’s inception would have outperformed multi-asset • Slightly adjusting each asset weighting in the GMP to also portfolios with identical exposure to indices but without include commodities in the portfolio and assume no gold equivalent allocations to GLD. From a risk-management exposure at the start (Portfolio A) and; perspective, hypothetical portfolios with a GLD allocation had lower maximum drawdowns. For example, a 10% allocation in GLD would have reduced maximum drawdown by almost 300 bps compared to no allocation in GLD.5 Figure 9: Asset Class Weightings for Hypothetical Blended Portfolios A, B, C and D Weighting (%) Asset Class Index Portfolio A Portfolio B Portfolio C Portfolio D Equity MSCI All Country World Index 40 39 37.5 35 Total Equity 40 39 37.5 35 Government Bonds Bloomberg Barclays Global Aggregate Government Bond Index 25 24 22.5 20 IG Credit Bloomberg Barclays Global Aggregate Corporation Bond Index 16 16 16 16 Inflation Linked Bonds Bloomberg Barclays World Inflation Linked Bond Index 2 2 2 2 HY Bonds Bloomberg Barclays Global Corporate High Yield Bond Index 2 2 2 2 EM Debt Bloomberg Barclays Emerging Markets USD Aggregate Bond Index 5 5 5 5 Total Fixed Income 50 49 47.5 45 Real Estate Global Property Research General Index9286 4 4 4 4 Private Equity LPX Composite Listed Private Equity Index 4 4 4 4 Commodities Bloomberg Commodity Index 2 2 2 2 Gold SPDR® Gold Shares (GLD®) 0 2 5 10 Total Alternative 10 12 15 20 Portfolio Total 100 100 100 100 Source: SSGA as of December 31, 2016. The asset allocation scenario is for hypothetical purposes only and is not intended to represent a specific asset allocation strategy or recommend a particular allocation. Each investor’s situation is unique and asset allocation decisions should be based on an investor’s risk tolerance, time horizon and financial situation. It is not possible to invest directly in an index. State Street Global Advisors 5

The Role of Gold in Today’s Global Multi-Asset Portfolio Figure 10: Hypothetical Blended Portfolio Results GLD Annualized Cumulative Annualized Maximum Porfolio Allocation % Return % Return % Standard Deviation % Sharpe Ratio* Drawdown (%) A 0 5.21 84.01 10.42 0.38 -28.0 B 2 5.30 85.91 10.31 0.39 -27.4 C 5 5.44 88.74 10.16 0.41 -26.6 D 10 5.65 93.45 9.95 0.44 -25.1 * Assumes risk-free rate of Citigroup 3-month T-bills. Source: Bloomberg Finance L.P., FactSet, SSGA, as of December 31, 2016. Past performance is not a guarantee of future results. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income. Returns do not represent those of a specific product managed by SSGA Funds Management, Inc, but were achieved by mathematically combining the actual performance data of the constituents as listed in Figure 9, according to their weightings detailed in Figure 9. Performance of the hypothetical blended portfolio assumes no transaction and rebalancing costs, so actual results will differ. Performance of SPDR® Gold Shares (GLD®) reflects annual expense ratio of 0.40 percent. All data based on monthly measures of performance. GLD’s performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit spdrs.com for most recent month end performance. Conclusion 1 SPDR Gold Shares was listed on the New York Stock Exchange on November Global multi-asset portfolio managers should consider the 18,2004, so returns of our hypothetical blended portfolio began with the first full year of GLD’s existence. merits of including gold in their portfolios. We saw in our case 2 Bloomberg Finance L.P., SSGA, August 13, 1971–December 31, 2016 study that adding a 2% to 10% strategic asset allocation to GLD 3 Source: Bloomberg Finance L.P. and SSGA. Based on expense ratios of the in a hypothetical multi-asset portfolio between January 1, 2005 22 currently-listed gold mutual funds and the four currently-listed US gold and December 31, 2016 would have improved risk-adjusted bullion ETFs, per Bloomberg. (Comparison excludes US leveraged and inverse return and reduced maximum drawdown compared to the gold bullion ETFs). Asset-weighting more accurately reflects what investors in general are currently paying for their exposure. portfolio without any exposure to gold-backed investments. 4 Frederic Dodard and Abigail Greenway, A Case For Global Diversification: The “IPO of Gold” helped legitimize gold as an asset class in Harnessing the Global Multi-Asset Market Portfolio, IQ Insights, SSGA ISG 1971 and the arrival of GLD in November 2004 transformed EMEA, 2015. gold into a conveniently investable asset. We believe that as the 5 Maximum portfolio loss for Portfolio A, B, C and D occurred during 2007–2009, size and the number of investable asset classes continue to grow at the height of the global financial crisis. in the future, gold, an asset with historically low and negative correlation with other asset classes, ought to play a more permanent role in multi-asset portfolios. SPDR® Gold Shares Standard Performance as of March 31, 2017 Since Inception 1 Month (%) QTD (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%) 11/18/2004 (%) Quarter End NAV -0.89 7.29 7.29 0.24 -1.62 -6.00 6.09 8.30 Market Value -0.43 8.31 8.31 0.92 -1.34 -6.04 6.08 8.20 LBMA Gold Price PM -0.86 8.64 8.64 0.63 -1.22 -5.62 6.52 8.73 Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit spdrs.com for most recent month end performance. Gross Expense Ratio: 0.40%. The gross expense ratio is the fund’s total annual operating expense ratio. It is gross of any fee waivers or expense reimbursements. It can be found in the fund’s most recent prospectus. State Street Global Advisors 6

The Role of Gold in Today’s Global Multi-Asset Portfolio Glossary Debt Ceiling Crisis A contentious debate in July 2011 regarding the maximum amount of money that the US government should be allowed to borrow. Congress 10-Year US Treasury Note A debt obligation issued by the US government that did end up immediately raising the “debt ceiling” by $400 billion, from $14.3 trillion matures in 10 years. The debt pays interest at a fixed rate once every six months to $14.7 trillion, with the possibility of future increases included in the agreement as and pays the face value to the holder at maturity. Black Swan An event that is beyond what is normally in the realm of what is well, but the contentious nature of the debate led Standard and Poor’s to downgrade expected and is thus very difficult to foresee. The term was made popular by the US’credit rating from AAA to AA+, even though the U.S. did not default. Fiat Currency Currency that a government declares to be legal tender, but that it is Nassim Nicholas Taleb, a finance professor and trader who has authored a number not backed by a physical commodity. The value of fiat money is linked to supply and of books on uncertainty, including “The Black Swan,” a discussion on the impact of demand rather than the value of the material that the money is made of, such as gold random events. Bloomberg Barclays Emerging Markets USD Aggregate Index A hard or silver historically. Fiat money’s value is instead based solely on the faith and credit currency emerging markets debt benchmark that includes US dollar-denominated debt of the economy. Global Financial Crisis The economic crisis that occurred from 2007-2009 that is from sovereign, quasi-sovereign, and corporate issuers in the developing markets. Bloomberg Barclays Euro-Aggregate Corporate Bond Index A rules-based generally considered biggest economic challenge since the Great Depression of the benchmark measuring investment grade, euro-denominated, fixed rate issued by 1930s. The GFC was triggered largely by the sub-prime mortgage crisis, which led to corporations. Only bonds with a maturity of 1 year and above are eligible. the collapse of systemically vital US investment banks such as Lehman Brothers. The crisis began with the collapse of two Bear Stearns hedge funds in June 2007, and the Bloomberg Barclays Global Aggregate Corporate Bond Index A benchmark stabilization period began in late 2008 and continued until the end of 2009. of global investment-grade, fixed-rate corporate debt. This multi-currency benchmark Global Property Research General Index A broad-based global real estate includes bonds from developed and emerging markets issuers within the industrial, benchmark that contains all listed real estate companies that conform to General utility and financial sectors. Property Research’s index-qualification rules, bringing the number of index Bloomberg Barclays Global Aggregate Government Bond Index A benchmark constituents to more than 650. The index’s inception date was Dec. 31 1983. that provides a broad-based measure of the global investment-grade fixed income Gold Standard A monetary standard under which the basic unit of currency is markets, with a focus on Treasuries and government-related debt from both defined by a stated quantity of gold. In 1971 US President Richard Nixon ended the developed- and emerging-market issuers. ability to convert US dollars into gold at the fixed price of $35 per ounce. Bloomberg Barclays Global Corporate High Yield Bond Index LBMA Gold Price The LBMA Gold Price is determined twice each business day — A multi-currency fixed-income benchmark of the global high yield debt market. 10:30 a.m. London time (i.e., the LBMA Gold Price AM) and 3:00 p.m. London time The index represents the union of the US High Yield, the Pan-European High Yield, (i.e., the LBMA Gold Price PM) by the participants in a physically settled, electronic and Emerging Markets (EM) Hard Currency High Yield Indices. The high yield and and tradable auction. emerging markets sub-components are mutually exclusive. LPX Composite Listed Private Equity Index A broad global listed private equity Bloomberg Barclays World Inflation Linked Bond Index A fixed-income index whose number of constituents is not limited. The LPX Composite includes benchmark that measures the performance of investment grade, government all major private equity companies listed on global stock exchanges that fulfils the inflation-linked debt from 12 different developed-market countries. index provider’s liquidity criteria. The index composition is well diversified across listed private equity categories, styles, regions and vintage years. The index has two Bloomberg Barclays US Aggregate Bond Index A benchmark that provides a versions: a price index (PI) and a total return index (TR) that includes all payouts. measure of the performance of the U.S. dollar denominated investment grade bond market. The “Agg” includes investment-grade government bonds, investment-grade MSCI ACWI Index, or MSCI All Country World Index A free-float weighted corporate bonds, mortgage pass through securities, commercial mortgage backed global equity index that includes companies in 23 emerging market countries and 23 securities and asset backed securities that are publicly for sale in the US. developed market countries and is designed to be a proxy for most of the investable equities universe around the world. Bloomberg Barclays US Corporate Bond Index Real Rate of Return The return realized on an investment, usually expressed A fixed-income benchmark that measures the investment-grade, fixed-rate, taxable annually as a percentage, which is adjusted to reflect the effects of inflation or other corporate bond market. It includes USD denominated securities publicly issued by US external factors, on the so-called nominal return. The real rate of return is calculated and non-US industrial, utility and financial issuers. as follows: Real Rate of Return = Nominal Interest Rate — Inflation. Sharpe Ratio A Bloomberg Barclays Emerging Markets USD Aggregate Index A hard measure for calculating risk-adjusted returns that has become the industry standard currency emerging markets debt benchmark that includes US dollar-denominated debt for such calculations. It was developed by Nobel laureate William F. Sharpe. The from sovereign, quasi-sovereign, and corporate issuers in the developing markets. Sharpe ratio is the average return earned in excess of the risk-free rate per unit of Bloomberg Barclays US High Yield Corporate Bond Index The Barclays volatility or total risk. The higher the Sharpe ratio the better. U.S. High Yield Index covers the universe of fixed rate, non-investment grade debt. Sharpe Ratio A measure for calculating risk-adjusted returns that has become Eurobonds and debt issues from countries designated as emerging markets (sovereign the industry standard for such calculations. It was developed by Nobel laureate rating of Baa1/BBB+/BBB+ and below using the middle of Moody’s, S&P, and Fitch) William F. Sharpe. The Sharpe ratio is the average return earned in excess of the are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG risk-free rate per unit of volatility or total risk. The higher the Sharpe ratio the better. countries are included. The index includes both corporate and non-corporate sectors. Sovereign Debt Crisis A period of time beginning in 2008 when several European Bloomberg Barclays US Treasury Bond Index A benchmark of US dollar- countries on the periphery of the Eurozone became unable to repay or refinance denominated, fixed-rate, nominal debt issued by the US Treasury. Treasury bills are government debt or bail out banks without the assistance of the European Central excluded by the maturity constraint, but are part of a separate Short Treasury Index. Bank and the International Monetary Fund. It was brought to heel in July 2012 Bloomberg Commodity Index A broadly diversified commodity price index with the ECB’s pledge to save the euro and the Eurozone at all costs. While the distributed by Bloomberg Indexes that tracks 22 commodity futures and seven crisis began with the collapse of Icelandic and Irish banks, it became largely focused sectors. No one commodity can compose less than 2 percent or more than 15 on southern European countries — mainly Greece, but also Spain, Portugal and percent of the index, and no sector can represent more than 33 percent of the index. even Italy. Brexit An abbreviation of the term “British Exit” referring to the UK referendum Standard Deviation A statistical measure of volatility that quantifies the historical on June 23, 2016 that resulted in the country’s decision to withdraw from the dispersion of a security, fund or index around an average. Investors use standard European Union. deviation to measure expected risk or volatility, and a higher standard deviation CPI, or Consumer Price Index A widely used measure of inflation at the consumer means the security has tended to show higher volatility or price swings in the past. level that helps to evaluate changes in cost of living. As an example, for a normally distributed return series, about two-thirds of the time returns will be within 1 standard deviation of the average return. State Street Global Advisors 7

The Role of Gold in Today’s Global Multi-Asset Portfolio ssga.com | spdrs.com For Public Use. Government bonds and corporate bonds generally have more moderate short-term Hypothetical Blended Portfolio Performance Methodology price fluctuations than stocks, but provide lower potential long-term returns. Returns do not represent those of a fund but were achieved by mathematically Foreign investments involve greater risks than U.S. investments, including political combining the actual performance data of MSCI AC World Daily TR Index, Bloomberg and economic risks and the risk of currency fluctuations, all of which may be Barclays Global Aggregate Government Bond Index, Bloomberg Barclays Aggregate magnified in emerging markets. Asset Allocation is a method of diversification which positions assets among major Global Corporate Bond Index, Bloomberg Barclays Emerging Markets Debt Index, investment categories. Asset Allocation may be used in an effort to manage risk and Global Property Research General Index, S&P Listed Private Equity Index, Bloomberg enhance returns. It does not, however, guarantee a profit or protect against loss. Barclays World Inflation Linked Bond Index, Bloomberg Barclays Global Corporate Diversification does not ensure a profit or guarantee against loss. High Yield Index, S&P GSCI Index, and SPDR® Gold Shares (GLD®) between January 1, 2005 and December 31, 2016. Each portfolio is re-balanced at the beginning Investments in small-sized companies may involve greater risks than in those of of each year to maintain target portfolio weights. The performance assumes no larger, better known companies. transaction and rebalancing costs, so actual results will differ. Equity securities may fluctuate in value in response to the activities of individual Important Risk Information companies and general market and economic conditions. The views expressed in this material are the views of George Milling- Stanley, Bonds generally present less short-term risk and volatility than stocks, but contain Robin Tsui, Howard Wen and Diego Andrade and are subject to change based on interest rate risk (as interest rates raise, bond prices usually fall); issuer default market and other conditions. This document contains certain statements that may be risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually deemed forward-looking statements. Please note that any such statements are not pronounced for longer-term securities. Any fixed income security sold or redeemed guarantees of any future performance and actual results or developments may differ prior to maturity may be subject to a substantial gain or loss. materially from those projected. International Government bonds and corporate bonds generally have more All information has been obtained from sources believed to be reliable, but its moderate short-term price fluctuations than stocks, but provide lower potential long-accuracy is not guaranteed. There is no representation or warranty as to the current term returns. accuracy, reliability or completeness of, nor liability for, decisions based on such Increase in real interest rates can cause the price of inflation-protected debt information and it should not be relied on as such. securities to decrease. Interest payments on inflation-protected debt securities can The information provided does not constitute investment advice and it should not be be unpredictable. relied on as such. It does not take into account any investor’s particular investment Investing in high yield fixed income securities, otherwise known as junk bonds, is objectives, strategies, tax status or investment horizon. You should consult your tax considered speculative and involves greater risk of loss of principal and interest than and financial advisor. All material has been obtained from sources believed to be investing in investment grade fixed income securities. These Lower-quality debt reliable. There is no representation or warranty as to the accuracy of the information securities involve greater risk of default or price changes due to potential changes in and State Street shall have no liability for decisions based on such information. the credit quality of the issuer. ETFs trade like stocks, are subject to investment risk, fluctuate in market value and Investing in futures is highly risky. Futures positions are considered highly leveraged may trade at prices above or below the ETFs’ net asset value. Brokerage commissions because the initial margins are significantly smaller than the cash value of the and ETF expenses will reduce returns. contracts. The smaller the value of the margin in comparison to the cash value of the While the shares of ETFs are tradable on secondary markets, they may not readily futures contract, the higher the leverage. There are a number of risks associated with trade in all market conditions and may trade at significant discounts in periods of futures investing including but not limited to counterparty credit risk, currency risk, market stress. derivatives risk, foreign issuer exposure risk, sector concentration risk, leveraging and liquidity risks. There can be no assurance that a liquid market will be maintained for ETF shares. Derivative investments may involve risks such as potential illiquidity of the markets Commodities and commodity-index linked securities may be affected by changes and additional risk of loss of principal. in overall market movements, changes in interest rates, and other factors such as The use of leverage, as part of the investment process, can multiply market weather, disease, embargoes, or political and regulatory developments, as well as movements into greater changes in an investment’s value, thus resulting in trading activity of speculators and arbitrageurs in the underlying commodities. increased volatility of returns. State Street Global Advisors 8

The Role of Gold in Today’s Global Multi-Asset Portfolio Growth stocks may underperform stocks in other broad style categories (and the GLD shares trade like stocks, are subject to investment risk and will fluctuate in stock market as a whole) over any period of time and may shift in and out of favor market value. The value of GLD shares relates directly to the value of the gold held with investors generally, sometimes rapidly. by GLD (less its expenses), and fluctuations in the price of gold could materially and Frequent trading of ETFs could significantly increase commissions and other costs adversely affect an investment in the shares. The price received upon the sale of the such that they may offset any savings from low fees or costs. shares, which trade at market price, may be more or less than the value of the gold represented by them. GLD does not generate any income, and as GLD regularly sells The trademarks and service marks referenced herein are the property of their gold to pay for its ongoing expenses, the amount of gold represented by each Share respective owners. Third party data providers make no warranties or representations will decline over time to that extent. of any kind relating to the accuracy, completeness or timeliness of the data and have no liability for damages of any kind relating to the use of such data. Please see the GLD prospectus for a detailed discussion of the risks of investing in GLD shares. The GLD prospectus is available by clicking here. Investing in commodities entails significant risk and is not appropriate for all investors. The World Gold Council name and logo are a registered trademark and used with the permission of the World Gold Council pursuant to a license agreement. The World Important Information Relating to SPDR Gold Shares Trust (“GLD®”): Gold Council in not responsible for the content of, and is not liable for the use of or The SPDR Gold Trust (“GLD”) has filed a registration statement (including reliance on, this material. World Gold Council is an affiliate of GLD’s sponsor. a prospectus) with the Securities and Exchange Commission (“SEC”) ® BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. and for the offering to which this communication relates. Before you invest, ® its affiliates; BARCLAYS is a trademark and service mark of Barclays Bank Plc; you should read the prospectus in that registration statement and other ® ® ® Standard & Poor’s , S&P and SPDR are registered trademarks of Standard & documents GLD has filed with the SEC for more complete information Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow about GLD and this offering. You may get these documents for free by Jones Trademark Holdings LLC (Dow Jones), and these trademarks have been visiting EDGAR on the SEC website at sec.gov or by visiting spdrgoldshares. licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sub-licensed for certain com. Alternatively, the Trust or any authorized participant will arrange to purposes by State Street Corporation. State Street Corporation’s financial products send you the prospectus if you request it by calling 866.320.4053. are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their GLD is not an investment company registered under the Investment Company respective affiliates and third party licensors and none of such parties make any Act of 1940 (the “1940 Act”) and is not subject to regulation under the Commodity representation regarding the advisability of investing in such product(s) nor do Exchange Act of 1936 (the “CEA”). As a result, shareholders of the Trust do not they have any liability in relation thereto, including for any errors, omissions, or have the protections associated with ownership of shares in an investment interruptions of any index. company registered under the 1940 Act or the protections afforded by the CEA. For more information, please contact the Marketing Agent for GLD: State Street Global Markets, LLC, One Lincoln Street, Boston, MA 02111;    T: +1 866 320 4053 spdrgoldshares.com © 2017 State Street Corporation. All Rights Reserved. State Street Global Advisors ID9315-IBG-23607 0417 Exp. Date: 07/31/2017

SPDR® GOLD TRUST has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the Trust and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the Trust or any Authorized Participant will arrange to send you the prospectus if you request it by calling toll free at 1-866-320-4053 or contacting State Street Global Markets, LLC, One Lincoln Street, Attn: SPDR® Gold Shares, 30th Floor, Boston, MA 02111.