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Media Attention Shifts and Market Volatility: Implications for Global Equity and Currency Returns
Abstract
Global financial markets have become increasingly interconnected over
time—both in terms of information flows and capital flows.
Understanding the determinants of these patterns is key as they have
important implications for investment decisions—and ultimately, the
efficiency of capital allocation.
This study aims to analyze the correlative relationships between global
markets by drawing insights from digital media and measuring their
impact on market volatility and returns. First, we propose a new general
framework through which to measure contagion propagation
mechanisms by analyzing the level of media focus. Second, we present
evidence that the level of media focus can be anticipatory of high-
volatility periods and provides valuable insights for asset allocators
during uncertain times. More specifically, high media focus tends to
precede VIX declines of 21.3% annualized, whereas low media focus is
shown to be a harbinger of VIX spikes of 68.4% annualized. Our
framework is also effective at timing global equity markets, with the
MSCI ACWI benchmark posting annualized returns of 13.3% when
media focus was high or moderate over the past six years, and losing
12.3% when media coverage turned indiscriminate—equivalent to an
annualized spread of 25.6%.
In Practice Series
State Street Associates’ research
agenda is rooted in financial theory
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practitioners with concrete insights
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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.
Jana Minn November 2019 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.
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Contents
Introduction p. 3
The Media-Based Macro Linkages Indicators p. 4
SCAR and Media Focus p. 4
Media Focus and Contagion p. 5
Media ADHD and VIX: An Uncanny Relationship p. 5
Media Focus and Foreign Exchange p. 7
Media Focus and Country Returns p. 9
Media Focus: Implications for Asset Allocation p. 10
Conclusions p. 13
References p. 14
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Our In Practice series provides practitioners with concrete insights into how they can incorporate State Street
MediaStats indicators and tools into their investment process. In this issue, we introduce a framework for
incorporating macro media linkages in assessing the current market environment and minimizing drawdowns.
1. Introduction
Global financial markets have become increasingly interconnected over time—both in terms of information flows
and capital flows. Coincidentally, there is mounting empirical evidence that return correlations among markets
are also rising, and strong spillover effects from one market to another have been documented. It is widely
understood in the investment community that high asset correlations tend to suggest the presence of a common
source of risk which may cause widespread contagion, spilling into all asset classes and global economies.
Understanding the determinants of these patterns is key as they have important implications for investment
decisions—and ultimately, the efficiency of capital allocation.
However, this approach makes it challenging to manage risk because the relationship between asset returns in
some future periods is essentially unknown. While global market correlations may not directly explain why a
major contagion event occurred, it is very useful to better understand the complexities of today’s highly integrated
financial markets. This study aims to analyze the correlative relationships between global markets by drawing
insights from digital media and measuring their impact on market volatility and returns.
Our proprietary State Street MediaStats Macro Linkages indicators comb through tens of thousands of articles
each day to capture macroeconomic links between currencies and global equity markets. To measure the
strength of the macroeconomic link between two currencies (countries), our algorithm counts the number of times
they are co-mentioned in the media. We assume that the larger the number of news items that co-mention two
currencies (countries), the stronger the macroeconomic link—or interconnectedness—between them in a given
period. Trends in interconnectedness can be a powerful predictor of future volatility and risk in global markets,
and as investors continue to grapple with short-term uncertainty, we believe our macro linkages indicators can
provide valuable insights into asset allocation.
Data Overview
Media articles are gathered daily through various channels from tens of thousands of sources for a universe of
44 global equity markets and 34 foreign currencies. The set of media sources is diverse and includes
publications classified into General, Local General, Local Business, News Services, Industry, International,
Business or Investing, Corporate Communications (PR), and other categories.
To ensure that we obtain macro linkages from news items centering on specific securities rather than many
securities which devalues information—say, an all-inclusive country or currency overview—we limit our links to
those formed in articles that mention at most four currencies (countries). This approach ensures the quality of
information we obtain about the particular securities in our coverage.
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2. The Media-Based Macro Linkages Indicators
In addition to our linkages offerings for US large caps and US sector groupings, State Street MediaStats also
generates Linkages Connection for currencies and global equity markets. The Linkages Connection indicators
show the cohort—or the network of economically-related currencies (countries)—for each of the 34 currencies
and 44 foreign countries in our coverage. More specifically, for each currency or country (aka, centroid) we offer
a daily snapshot of all securities co-mentioned with it in the media, along with a measure of their relevance,
expressed as a percentage weight. We also track the proportion of articles that discuss only the centroid—and
not any other securities. Furthermore, on any given trade date, the weights of all securities co-mentioned with a
given centroid—as well as that of articles only mentioning the centroid—sum to 100%.
The Linkages Connection weight of each security in a given centroid’s cohort is defined as follows. Let j
represent a currency (country) in our coverage universe. Let Ωj,t represent the universe of related securities that
are co-mentioned with j in month t, and define Ni,j,t as the number of news articles that co‐mention securities i and
j during that month, where i ∈ Ωj,t. For each security i in Ωj,t, we calculate its weight in the cohort, wi,j,t, as:
where
3. SCAR and Media Focus
This section begins with an example of macro linkages for the US Dollar centroid. Figure 1 displays all currencies
in the USD’s network as of two distinct dates, August 31, 2015 (Panel A) and December 31, 2018 (Panel B). To
minimize noise, we exclude any connected currencies with linkages weights below 50 bps in the network.
Figure 1: An Illustration: USD’s Linkages Network
Source: State Street Global Markets®, MKT MediaStats. Data for illustrative purposes only.
It is evident from Figure 1 that the USD was co-mentioned with twice the number of currencies in August 2015,
compared to December 2018 (20 vs. 10, respectively). Additionally, among all articles that discussed the USD, a
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proportion of 65% covered only the USD—and not any additional currencies—in August 2015, compared to a
proportion of 86% in December 2018.
Based on these macro networks, we develop a variable that measures the level of digital media focus.
Specifically, we develop SCAR—the Single Currency (country) Article Ratio, or the proportion of articles
discussing only the centroid and not any other securities—as a proxy for media focus. In the above example, the
USD’s SCAR was 65% in August 2015, and 86% in December 2018. In other words, media exhibited a
considerably lower focus in the first period illustrated, choosing to discuss the USD along with many other
currencies, which resulted in a lower SCAR for the USD.
4. Media Focus and Contagion
Many papers have explored the topic of contagion, testing for its presence with statistical methods. Their
approaches may differ with respect to the definition of contagion chosen as a starting point. To assess contagion,
some compare the correlation between two equity markets during a stable period to that during a period of
turmoil. Others support the notion that “rational” investor behavior that transmits shocks through financial markets
is not contagion, but “irrational” behavior is. Still others suggest that shocks propagating from one country to
another that is economically similar or closely linked through trade or capital flows may not necessarily constitute
contagion. We favor the definition adopted by Forbes and Rigobon (2000), which suggests contagion should be
interpreted as the change in the transmission mechanisms that takes place during a shock period. Thus, if two
markets are traditionally highly correlated and continue to be highly correlated after a shock, this may not
necessarily constitute contagion. Based on this approach, contagion needs to entail cross-market linkages—
whether by trade, financial institutions, portfolio flows, or reassessment of macroeconomic fundamentals—that
are dramatically different after a shock is observed.
In this paper, we study a new channel of contagion based on the State Street MediaStats Macro Linkages
indicators. We argue that when media coverage is focused (e.g., SCAR is high), markets are defined by a
greater proportion of idiosyncratic volatility, whereas when media coverage is indiscriminate and extends to many
securities at a time (e.g., SCAR is low), markets are driven by systematic volatility instead. Is there a leading
relationship between media focus and volatility? And if so, what insights can we glean for asset allocation? We
set out to address these questions in the remainder of this study.
5. Media ADHD and VIX: An Uncanny Relationship
Recent studies suggest a link between digital media use and symptoms of ADHD1. We are more interested,
however, in evaluating a different phenomenon—whether digital media’s ADHD can help us anticipate market
tantrums. To that end, we consider the USD SCAR—e.g., the proportion of all media articles discussing the USD
that do not mention any other currencies—given the bellwether status of the greenback in periods of turmoil. For
1https://www.cnn.com/2018/07/17/health/adhd-symptoms-digital-media-study/index.html
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the purposes of this analysis, each day we calculate the three-month percentile rank of the USD SCAR, with
lower percentile ranks signaling high media focus and higher percentile ranks signaling indiscriminate media
discourse across currencies—or media in a state of ADHD, to extend the analogy above.
We incorporate a one-day lag to account for the publication lag with which our data are computed. VIX changes
over the one month following each media focus observation are shown in Figure 2.
Figure 2: Declining Media Focus a Leading Indicators for VIX Changes and Dispersion
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
Analyzing further the relationship between media focus and subsequent VIX changes in Figure 3, it is evident
that media has predictive power. Indeed, high media focus tends to lead declines in VIX over the subsequent
month, while low media focus tends to be a harbinger of spikes in VIX over the subsequent month. More
specifically, high media focus (top quartile) tends to precede VIX declines of 21.3% annualized, whereas low
media focus (bottom quartile) is shown to precede VIX spikes of 68.4% annualized.
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Figure 3: One-Month Forward VIX Changes and Levels by Media Focus Quartiles
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
6. Media Focus and Foreign Exchange
Moving from theory to practice, we investigate our hypothesis that media focus can help investors avoid periods
of marked drawdowns by studying the performance of G10 currencies, as well as emerging market (EM) FX.
Using media focus as proxied by the three-month percentile rank of the USD SCAR, we define risk-on periods as
those in which media focus lies in the top three quartiles (high and moderate media focus) and risk-off periods as
those in which media focus is in the bottom quartile (low media focus). We apply a one-day publication lag to
avoid a look-ahead bias and measure currency performance over the following month, following regime
identification. In Figure 4 below, the CHF, JPY and USD stand out as the safe havens—the currencies that tend
to appreciate during times of uncertainty and market instability.
Figure 4: Media Focus and G10 Currency Returns
Source: State Street Global Markets®, MKT MediaStats, WM/Reuters, DataStream (May 2013 – Jun 2019). One-month forward rates
against the USD used (demeaned). USD results reflect performance of the DXY index.
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Additional performance statistics for these three currencies are listed in Figure 5. The return spreads generated
in the two risk environments are large and economically significant. They are also consistent with our intuition
that periods of low media focus suggest the presence of market contagion and precede a generalized flight to
safety.
Figure 5: Media Focus and the Flight to Safety
CHF JPY USD
Statistics Risk-On Risk-Off Risk-On Risk-Off Risk-On Risk-Off
Return (Ann) -0.1% 13.0% -1.3% 14.4% 1.2% 8.2%
Volatility (Ann) 4.5% 9.8% 7.9% 7.4% 6.0% 6.6%
Sharpe Ratio 0.0 1.3 -0.2 2.0 0.2 1.2
Source: State Street Global Markets®, MKT MediaStats, WM/Reuters, DataStream (May 2013 – Jun 2019). One-month forward rates used.
Next, we explore the efficacy of media focus in differentiating risk regimes for emerging market FX. We use the
J.P. Morgan ELMI+ index as a proxy for EM FX. The ELMI+ tracks the performance of local-currency
denominated money market instruments in emerging market countries, using foreign exchange forwards.
Applying the simple media focus rule described above, we identify risk-on and risk-off months in our sample. The
annualized performance of the ELMI+ in these two regimes—as well as for the entire history—is shown in Figure
6.
Figure 6: Performance of JPM ELMI+ Conditioned on Media Focus
Statistics Risk-On Risk-Off All Periods
Return (Ann) 1.3% -6.5% -0.6%
Volatility (Ann) 6.1% 5.4% 6.1%
Sharpe Ratio 0.22 -1.19 -0.11
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
Figure 7 illustrates the risk-off periods for the ELMI+, as anticipated by our measure of media focus. Periods
colored in light blue represent those months when media focus was extremely low, whereas the gaps represent
months of high or moderate media focus.
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Figure 7: Media Focus Capturing Drawdowns
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
7. Media Focus and Country Returns
To examine the consistency of our findings, we extend the risk regime framework to global equity markets and
study their performance, conditional on media focus towards the US equity markets. For each of the 44 countries
in our country equity media linkages dataset, we use the three-month percentile rank of US equity market SCAR
to demarcate history into risk-on and risk-off months. Again, we define risk-on periods as those in which media
focus lies in the top three quartiles (high and moderate media focus) and risk-off periods as those in which media
focus is in the bottom quartile (low media focus). We then measure average country returns and volatility
(annualized) for each country in each of the two market environments—risk-on or risk-off—to calculate the
Sharpe ratios presented in Figure 8 below.
Figure 8: Media Focus and Country Returns Using US Equity SCAR
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
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Risk Off JPM ELMI+
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Our results suggest that our framework delivers promising results in identifying risk regimes, with 86% of
countries in our coverage generating risk-on Sharpe ratios in excess of their counterpart risk-off Sharpe ratios.
Accounting for the bellwether status of the greenback as a risk measure, we explore the efficacy of the USD
SCAR in demarcating risk regimes in global equity markets. For consistency with the analysis presented above,
we define risk-on periods as those in which media focus lies in the top three quartiles (high and moderate media
focus) and risk-off periods as those in which media focus is in the bottom quartile (low media focus). In Figure 9
below, we showcase country performance in each of the two risk environments—risk-on and risk-off—identified
by the USD SCAR.
Figure 9: Media Focus and Country Returns Using USD SCAR
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
Tallying the success rates again, we note that the USD serves as a more robust gauge of risk, with 98% of
countries in our coverage now posting risk-on Sharpe ratios in excess of their risk-off counterpart Sharpe ratios.
In other words, media focus appears to differentiate local market environments and anticipate potential
drawdowns reasonably well.
8. Media Focus: Implications for Asset Allocation
In this section, we explore an asset allocation implementation of media focus. A traditional 60/40 portfolio would
allocate 60% to equities and 40% to bonds. The objective of the 40% allocation to bonds is to provide yield and
simultaneously ensure downside protection if equities experience a drawdown. In today’s extraordinary low-yield
environment, however, many investors have rightly raised the question: can my bond portfolio provide adequate
downside protection? Is there another way to provide equity downside protection? We set out to address that
question here.
Leveraging insights from both the country equity and foreign exchange corpora of news articles, we combine the
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USD SCAR and the US equity SCAR, equally-weighted, and study their combined impact on an ACWI strategy,
using the All Country World Total Return (MSCI ACWI) index as a proxy for global equities. As previously
detailed, we define risk-on periods as those in which media focus lies in the top three quartiles (high and
moderate media focus) and risk-off periods as those in which media focus is in the bottom quartile (low media
focus). Our hypothetical portfolio is then invested fully in global equities when media focus is high or moderate,
and moves to 100% bonds—proxied by the FTSE World Government Bond (WGBI) index—when media signals
possible contagion and “risk-off”. We apply a one-day publication lag to avoid a look-ahead bias and hold the
position over the ensuing month, rebalancing the portfolio monthly. Figure 10 below shows the cumulative
returns of our strategy in dark blue, compared to ACWI, bonds, the 60/40, as well as an ex-post benchmark.
Figure 10: Leveraging Media Focus to Market Time Global Equities
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
Using the simple media focus rule described above, the ACWI strategy is 100% invested in equities about 80%
of the time. In other words, it takes higher risk than the average 60/40 when contagion risk is low, but the other
20% of the time, it takes virtually no risk, fully allocated in bonds. Which would be a superior way to manage
downside risk:
• 60/40: Hold 40% in low-return fixed income all the time, or
• ACWI + media focus: Hold fixed income only when contagion risk increases, as perceived from the
collective media narrative from across the globe?
Standard practice entails maintaining the same portfolio risk profile regardless of market conditions. However,
the reward for taking investment risk varies greatly over time. Hence it may be worthwhile to reduce risk as signs
emerge that we are headed into a contagion-driven market environment, with higher systematic volatility. We
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Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19
ACWI timed with Media Focus ACWI Ex-Post Benchmark 60/40 Benchmark FTSE WGBI
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present performance statistics of the ACWI portfolio timed with media focus, compared against the ACWI, FTSE
WGBI, the 60/40 portfolio and the ex-post portfolio.
Figure 11: Global Equities Market Timing Statistics
Statistics Media Focus Timed ACWI FTSE WGBI Ex-Post
Benchmark 60/40
Return (Ann) 11.3% 7.6% 1.3% 6.5% 5.2% t-stat 2.96 1.7 0.67 1.76 1.80
Volatility (Ann) 9.4% 11.7% 5.2% 9.5% 7.4%
Sharpe Ratio 1.21 0.65 0.24 0.68 0.71
Max Drawdown 8.2% 13.7% 9.4% 11.5% 9.1% Hit Rate* 67%
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019). * Hit rate calculated relative to the ex-post
benchmark.
Reducing exposure in periods of possible contagion and minimizing drawdowns can indeed be beneficial for
performance. Figure 11 indicates that a strategy conditioned on media focus results in a significantly higher
Sharpe ratio (1.21, compared to 0.65 for ACWI alone and 0.71 for a traditional 60/40 allocation), a reduction in
volatility and a more limited drawdown.
Next, in Figure 12, we show the average annualized return of the ACWI for the months preceded by high or
moderate media focus (“risk-on”), as well as for the periods preceded by indiscriminate media coverage (thus
signaling a “risk-off” environment). Our model appears to do a decent job timing global equity markets, with the
MSCI ACWI benchmark posting annualized returns of 13.3% after media focus was high or moderate, and losing
12.3% when media coverage turned indiscriminate—equivalent to an annualized spread of 25.6%.
Figure 12: Performance of MSCI ACWI Conditioned on Media Focus
Statistics Risk-On Risk-Off
Return (Ann) 13.3% -12.3% Volatility (Ann) 10.1% 15.3%
Sharpe Ratio 1.32 -0.80
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
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Lastly, Figure 13 illustrates the periods of outsized drawdowns in MSCI ACWI, as anticipated by our combined
measure of media focus. Periods colored in light blue represents those months when media focus was extremely
low, whereas the gaps represents periods preceded by high or moderate media focus.
Figure 13: Media Focus Capturing Drawdowns
Source: State Street Global Markets®, MKT MediaStats, DataStream (May 2013 – Jun 2019).
9. Conclusions
Today, digital media has a significant impact on market participants and the ways in which they choose to
evaluate potential investments. Although the sheer volume of information accessible online must be intelligently
filtered in order to minimize noise and provide actionable insights, there can be little doubt that digital media
holds significant value to investors looking to maximize alpha and minimize drawdowns.
This study empirically examines whether media can be helpful in anticipating periods of turmoil in global equity
and currency markets. We propose a new general framework through which to measure propagation
mechanisms by leveraging macroeconomic linkages between currencies and countries derived from media co-
mentions. Our results suggest that dynamic networks—defined by digital media—play an important role in asset
pricing. We also present evidence that the level of media focus can be anticipatory of high-volatility periods and
provides valuable insights for asset allocators during uncertain times. A firmer grasp of media attention shifts
enables the construction of lower-risk portfolios and better protection on the downside, while capturing most of
the upside. Thus, it might be worthwhile for investors to incorporate digital media into the portfolio management
process when evaluating the prospects of global equities and currencies.
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References
Forbes, Kristin J. and Roberto Rigobon. "No Contagion, Only Interdependence: Measuring Stock Market
Comovements," Journal of Finance, 2002, v57(5,Oct), 2223-2261.
Forbes, Kristin. “The Big C: Identifying Contagion,” NBER Working Paper No. 18465 (Oct 2002).
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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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