FTSE4Good Index Series

Transcription

1 FTSE Russell Factsheet Index Series bmktitle1 Launched in 2001, the Index Series is a series of benchmark and tradable indexes for ESG (Environmental, Social and Governance) investors. The index series is derived from the globally recognised FTSE Global Equity Index Series, offering FTSE Russell s world-famous hallmark of cutting-edge index design and calculation technology. The criteria is applied to the FTSE Developed Index Series, which covers 23 markets and over 2,000 potential constituents. In the UK, the universe of eligible constituents is drawn from the FTSE All-Share Index. The series consists of six benchmark indexes covering the Developed and European regions, the US, Japan and the UK. An additional five tradable indexes have been specially designed to provide asset managers with a cheap and efficient basis for investment products. These cover the UK, US, European, Australian and Developed regions, as well as the Environmental Leaders Europe 40 Index which focuses specifically on European companies within the universe that demonstrate leading environmental practices. Criteria are developed using an extensive market consultation process and are approved by an independent committee of experts. A broad range of stakeholders help shape the criteria, including NGOs, governmental bodies, consultants, academics, the investment community and the corporate sector. To remain consistent with market expectations and developments in ESG practice, the inclusion criteria are revised regularly. FTSE Russell engages with companies that no longer meet the standards and they are given a period of grace to try and improve their scores. If there is no improvement then the company is deleted from the index series. The criteria have been designed to help investors minimise ESG risks. Companies with the largest risk and impacts have to meet additional sector specific criteria. Tradable Indexes 5-Year Performance - Total Return (USD) Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Data as at month end Developed 100 UK 50 US 100 Europe 50 Australia 30 Data as at: 31 January 2018 FEATURES Transparency Index governance is overseen by the independent FTSE Russell ESG Advisory Committee, made up of leading global responsible investment market practitioners and experts on global Environmental, Social and Governance (ESG) principles and criteria used to determine comparative corporate ESG performance. Criteria Companies need to meet a variety of environmental, social and governance criteria to meet the inclusion requirements please see for details Objective The indexes are designed for use in the creation of index tracking funds, derivatives and as performance benchmarks. Investability Stocks are selected and weighted to ensure that the indexes are investable. Liquidity Stocks are screened to ensure that the indexes are tradable. Availability The indexes are calculated based on price and total return methodologies, both real time and end-of-day. Industry Classification Benchmark (ICB) Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. 1 of 6

2 Index Series Data as at: 31 January 2018 Benchmark Indexes 5-Year Performance - Total Return (USD) Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Data as at month end Developed UK US Europe Japan Performance and Volatility - Total Return Index (USD) Return % Return pa %* Volatility %** 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Developed Developed FTSE Developed UK UK FTSE All-Share US US INFORMATION Index Universe FTSE Developed Index Index Launch 1 November 2001 Base Date 29 June 2001 Base Value 5000 Investability Screen Actual free float applied and liquidity screened Index Calculation Real-time and end-of-day indexes available End-of-Day Distribution Via FTP and Currency USD, GBP, EUR, JPY Review Dates Semi-annually in June and December FTSE USA Europe Europe FTSE Developed Europe Australia FTSE Australia Japan FTSE Japan * Compound annual returns measured over 3 and 5 years respectively ** Volatility 1YR based on 12 months daily data. 3YR based on weekly data (Wednesday to Wednesday). 5YR based on monthly data Year-on-Year Performance - Total Return Index % (USD) Developed Developed FTSE Developed UK UK FTSE All-Share US US FTSE USA Europe Europe FTSE Developed Europe Australia FTSE Australia Japan FTSE Japan of 6

3 Index Series Data as at: 31 January 2018 Return/Risk Ratio and Drawdown - Total Return Index (USD) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR Developed Developed FTSE Developed UK UK FTSE All-Share US US FTSE USA Europe Europe FTSE Developed Europe Australia FTSE Australia Japan FTSE Japan Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Top 5 tituents (by MCap) - Developed Index tituent Country ICB Sector Net MCap (USDm) Apple Inc. USA Technology Hardware & Equipment 859, Microsoft Corp USA Software & Computer Services 711, Johnson & Johnson USA Pharmaceuticals & Biotechnology 372, Alphabet Class C USA Software & Computer Services 353, Alphabet Class A USA Software & Computer Services 351, Totals 2,647, Top 5 tituents (by MCap) - UK Index tituent ICB Sector Net MCap (USDm) HSBC Hldgs Banks 213, Royal Dutch Shell A Oil & Gas Producers 158, Royal Dutch Shell B Oil & Gas Producers 132, GlaxoSmithKline Pharmaceuticals & Biotechnology 90, Diageo Beverages 88, Totals 684, Top 5 tituents (by MCap) - US Index tituent ICB Sector Net MCap (USDm) Apple Inc. Technology Hardware & Equipment 859, Microsoft Corp Software & Computer Services 711, Johnson & Johnson Pharmaceuticals & Biotechnology 372, Alphabet Class C Software & Computer Services 353, Alphabet Class A Software & Computer Services 351, Totals 2,647, of 6

4 Index Series Data as at: 31 January 2018 Top 5 tituents (by MCap) - Europe Index tituent Country ICB Sector Net MCap (USDm) Nestle Switzerland Food Producers 267, HSBC Hldgs UK Banks 213, Novartis (REGD) Switzerland Pharmaceuticals & Biotechnology 200, Roche Hldgs (GENUS) Switzerland Pharmaceuticals & Biotechnology 171, Royal Dutch Shell A UK Oil & Gas Producers 158, Totals 1,012, Developed & US ICB Industry Breakdown Developed FTSE Developed US FTSE USA ICB Industry Diff % Diff % Oil & Gas Basic Materials Industrials umer Goods Health Care umer Services Telecommunications Utilities Financials Technology Totals Europe & UK ICB Industry Breakdown Europe FTSE Developed Europe UK FTSE All-Share ICB Industry Diff % Diff % Oil & Gas Basic Materials Industrials umer Goods Health Care umer Services Telecommunications Utilities Financials Technology Totals of 6

5 31 January 2018 Index Series Data as at: 31 January 2018 Japan & Australia ICB Industry Breakdown Japan FTSE Japan Australia 30 FTSE Australia ICB Industry Diff % Diff % Oil & Gas Basic Materials Industrials umer Goods Health Care umer Services Telecommunications Utilities Financials Technology Totals Country Breakdown Developed FTSE Developed Country Diff % Australia Austria Belgium Canada Denmark Finland France Germany Hong Kong Ireland Israel Italy Japan Korea Netherlands New Zealand Norway Portugal Singapore Spain Sweden Switzerland UK USA Totals of 6

6 Index Series Data as at: 31 January 2018 bmkimage1 bmkimage2 bmkimage London Stock Exchange Group plc and its applicable group undertakings (the LSE Group ). The LSE Group includes (1) FTSE International Limited ( FTSE ), (2) Frank Russell Company ( Russell ), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX Global Debt Capital Markets Limited (together, FTSE TMX ) and (4) MTSNext Limited ( MTSNext ). All rights reserved. FTSE Russell is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. FTSE, Russell, FTSE Russell MTS, FTSE TMX, and ICB and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, or FTSE TMX. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Index Series or the fitness or suitability of the Index Series for any particular purpose to which they might be put. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors. Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index. Data definitions available from info@ftserussell.com To learn more, visit info@ftserussell.com; or call your regional Client Services Team office: EMEA +44 (0) North America Asia-Pacific Hong Kong Tokyo Sydney +61 (0) of 6