Ground Rules. FTSE Developed Diversified Factor Index v2.6

Transcription

1 Ground Rules FTSE Developed Diversified Factor Index v2.6 ftserussell.com January 2018

2 Contents 1.0 Introduction Management Responsibilities FTSE Russell Index Policies Eligible Securities Factor and Individual Factor Index Construction Periodic Review of Constituents Changes to Constituent Companies Composite and Component Factor Indexes Corporate Actions and Events Indexes algorithm and calculation method Appendix A: Index Opening and Closing Hours Appendix B: Status of Index Appendix C: Further Information FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

3 Section 1 Introduction 1.0 Introduction 1.1 This document sets out the Ground Rules for the construction and management of the FTSE Developed Diversified Factor Index. Copies of the Ground Rules are available from The FTSE Developed Diversified Factor Index is designed to reflect the performance of stocks representing a diversified set of factor characteristics. Constituents are selected based on a composite factor score. The composite factor spans Value, Volatility, Price Momentum, and Size characteristics. 1.3 These Ground Rules should be read in conjunction with the FTSE Global Equity Index Series Ground Rules and the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes which is available at Unless stated in these Ground Rules, the FTSE Developed Diversified Factor Index will follow the same process as the FTSE Global Equity Index Series. 1.4 A Price Index, Total Return Index and Net of Tax Index will be calculated in real-time and published in US dollars for the FTSE Developed Diversified Factor Index. The Total Return and Net of Tax Indexes include income based on ex dividend adjustments. 1.5 The Net of Tax Total Return Index is calculated based on the maximum withholding tax rates applicable to dividends received by institutional investors who are not resident in the same country as the remitting company and who do not benefit from double taxation treaties. 1.6 FTSE Russell FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, and FTSE TMX Global Debt Capital Markets Limited and its subsidiaries (including MTSNext Limited). FTSE International Limited is the administrator of all FTSE Russell indexes. 1.7 FTSE Russell hereby notifies users of the index that it is possible that circumstances, including external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, the index and therefore, any financial contracts or other financial instruments that reference the index or investment funds which use the index to measure their performance should be able to withstand, or otherwise address the possibility of changes to, or cessation of, the index. 1.8 Index users who choose to follow this index or to buy products that claim to follow this index should assess the merits of the index s rules-based methodology and take independent investment advice before investing their own or client funds. No liability whether as a result of negligence or otherwise FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

4 is accepted by FTSE Russell (or any person concerned with the preparation or publication of these Ground Rules) for any losses, damages, claims and expenses suffered by any person as a result of: any reliance on these Ground Rules, and/or any errors or inaccuracies in these Ground Rules, and/or any non-application or misapplication of the policies or procedures described in these Ground Rules, and/or any errors or inaccuracies in the compilation of the index or any constituent data. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

5 Section 2 Management Responsibilities 2.0 Management Responsibilities 2.1 FTSE International Limited (FTSE) FTSE is the benchmark administrator of the index FTSE is responsible for the daily calculation, production and operation of the index and will: maintain records of the index weightings of all constituents; make changes to the constituents and their weightings in accordance with the Ground Rules; carry out the periodic index reviews of the index and apply the changes resulting from the reviews as required by the Ground Rules; publish changes to the constituent weightings resulting from their ongoing maintenance and the periodic reviews; disseminate the index FTSE is responsible for monitoring the performance of the FTSE Developed Diversified Factor Index throughout the day and will determine whether the status of the Index should be Firm, Closed, Indicative or Held (see Appendix B) These Ground Rules set out the methodology and provide information about the publication of the FTSE Developed Diversified Factor Index. 2.2 Amendments to these Ground Rules These Ground Rules shall be subject to regular review by FTSE Russell to ensure that they continue to meet the current and future requirements of investors and other index users. Any proposals for significant amendments to these Ground Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders if appropriate. The feedback from these consultations will be considered by the FTSE Russell Product Governance Board before approval is granted As provided for in the Statement of Principles for FTSE Russell Equity Indexes, where FTSE Russell determines that the Ground Rules are silent or do not specifically and unambiguously apply to the subject matter of any decision, any decision shall be based as far as practical on the Statement of Principles. After making any such determination, FTSE Russell shall advise the market of its decision at the earliest opportunity. Any such treatment will not be considered as an exception or change to the Ground Rules, or to set a precedent for future action, but FTSE Russell will consider whether the Ground Rules should subsequently be updated to provide greater clarity. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

6 Section 3 FTSE Russell Index Policies 3.0 FTSE Russell Index Policies These Ground Rules should be read in conjunction with the following policy documents which can be accessed using the links below: 3.1 Corporate Actions and Events Guide Full details of changes to constituent companies due to corporate actions and events can be accessed in the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes using the following link: Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indexes.pdf 3.2 Statement of Principles for FTSE Russell Equity Indexes (the Statement of Principles) Indexes need to keep abreast of changing markets and the Ground Rules cannot anticipate every eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE Russell will determine the appropriate treatment by reference to the Statement of Principles which summarises the ethos underlying FTSE Russell s approach to index construction. The Statement of Principles is reviewed annually and any changes proposed by FTSE Russell are presented to the FTSE Russell Policy Advisory Board for discussion before approval by the FTSE Russell Product Governance Board. The Statement of Principles can be accessed using the following link: 3.3 Statement_of_Principles.pdf 3.4 Queries, Complaints and Appeals A constituent or prospective constituent company (or professional advisor acting on behalf of the company), a national organisation or a group of no fewer than ten users of the Indexes from different organisations acting in their professional capacity may appeal against decisions taken by FTSE Russell. FTSE Russell s complaints procedure can be accessed using the following link: FTSE_Russell_Benchmark_Determination_Complaints_Handling_Policy.pdf FTSE Russell s Appeal Process can be accessed using the following link: Appeals_Against_Decisions.pdf FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

7 3.5 Index Policy for Trading Halts and Market Closures Guidance for the treatment of index changes in the event of trading halts or market closures can be found using the following link: FTSE_Russell_Index_Policy_for_Trading_Halts_and_Market_Closures.pdf 3.6 Index Policy in the Event Clients are Unable to Trade a Market Details of FTSE Russell s treatment can be accessed using the following link: FTSE_Russell_Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market.pdf 3.7 Recalculation Policy and Guidelines The FTSE Developed Diversified Factor Index is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the FTSE Developed Diversified Factor Index are notified through appropriate media. For further information refer to the FTSE Russell Recalculation Policy and Guidelines document which is available from the FTSE Russell website using the link below or by contacting info@ftserussell.com. Recalculation_Policy_and_Guidelines_Equity_Indexes.pdf 3.8 FTSE Russell Policy for Benchmark Methodology Changes Details of FTSE Russell s policy for making benchmark methodology changes can be accessed using the following link: FTSE_Russell_Policy_for_Benchmark_Methodology_Changes.pdf FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

8 Section 4 Eligible Securities 4.0 Eligible Securities 4.1 Regional Industry Indexes All securities in the FTSE North America, FTSE Developed Europe, FTSE Japan and FTSE Developed Asia-Pacific ex Japan indexes, as defined by the FTSE Global Equity Index Series, at the open on the first business day following the third Friday of the review month, are eligible for inclusion in the FTSE Developed Diversified Factor Index The FTSE Developed Diversified Factor Index splits the FTSE Developed universe into the following regional categories; FTSE North America, FTSE Developed Europe, FTSE Japan and FTSE Developed Asia-Pacific ex Japan. Each regional categorisation is combined with the ten ICB Industry level classifications to form forty regional industry categories. 4.2 Single Factor Indexes The FTSE Developed Diversified Factor Index is constructed using the following single factor Component Indexes: FTSE Developed Value Component Index FTSE Developed Volatility Component Index FTSE Developed Momentum Component Index FTSE Developed Size Component Index The eligible universe for each single factor component index consists of securities defined in Rule Composite Factor Index The FTSE Developed Diversified Factor Index combines four separate factors (Value, Volatility, Momentum and Size) to form a composite factor. The eligible universe for the composite factor index consists of securities defined in Rule The following Diversified Factor Indexes are calculated: FTSE Developed Diversified Factor Index FTSE Developed Diversified Factor Net of Tax Index FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

9 Section 5 Factor and Individual Factor Index Construction 5.0 Factor and Individual Factor Index Construction The data cut-off date for the determination of factor data is the close of business on the last trading day of the month before the review. 5.1 Value Factor A. Earnings Yield = Latest 12 month rolling Net Income/Market Capitalisation B. Book to Price = Latest Book Value /Market Capitalisation 12 month rolling Net Income and latest Book Value are sourced from Worldscope. Securities are ranked independently according to both Earnings Yield and Book to Price (ranking is uniform from 0 to 1, where zero corresponds to the largest Earnings Yield or Book to Price respectively). A value score is assigned to each security by taking the average of the individual rankings. The average rankings are re-ranked in ascending order (uniformly from 0 to 1, where zero is most attractive). Some stocks can have the same average rank. In this situation, the stocks with the same average rank are ordered by their Earnings Yield rank in the re-ranking process. Where data for any individual value factor is unavailable, the security is allocated a neutral score of 0.5 for the factor in question. 5.2 Volatility Factor Volatility is defined as the inverse of the standard deviation of local weekly total returns over a one year period. Weekly total returns are calculated on a Wednesday to Wednesday basis. The volatility factor score is determined by uniformly ranking the inverse volatilities from 0 to 1, where zero is the least volatile. Where a security has trading history of less than one year, it will receive a neutral score of 0.5. A minimum of 200 daily price observations are required to constitute a full year. 5.3 Momentum Factor Momentum is calculated as the one year total return in local currency divided by the standard deviation of daily local returns over one year. Momentum = % local return standard deviation of daily local return FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

10 The momentum factor score is determined by uniformly ranking the momenta from 0 to 1, where zero has highest momentum. If a security has a trading history of less than one year, it will receive a neutral score of 0.5. A minimum of 200 daily price observations are required to constitute a full year. 5.4 Size Factor The size factor is calculated as the inverse of each company s free float market capitalization in USD. The size factor score is determined by uniformly ranking the sizes from 0 to 1, where zero is smallest in size. Free float shares in issue as of the review effective date and price and foreign exchange rates as of the data cut-off date are used to calculate the free float market capitalization. 5.5 Single Factor Index Weighting and Maintenance All eligible securities defined in Rule 4.2 are ranked within each regional industry by each of the four factors detailed in Rules Each FTSE Developed Component Index consists of securities ranked within quintiles one, two and three for each factor The FTSE Developed Component Indexes will be rebalanced quarterly in March, June, September and December. The constituents of each FTSE Developed Component Index are equally weighted. 5.6 Composite Factor The eligible universe for the FTSE Developed Diversified Factor Index consists of all eligible securities defined in Rule 4.3. Each security is ranked in ascending order by composite factor score within each regional industry. Individual factor scores detailed in are combined to form a composite factor score. The composite factor score is a weighted average of the individual factor scores The weighting scheme applied to individual factor scores to determine the composite factor score is the inverse of the volatility (standard deviation) of the weekly returns of each individual FTSE Developed Component Index The volatility of each FTSE Developed Component Index is calculated over the three years prior to the data cut-off date using weekly (Wednesday to Wednesday) total returns in USD. 5.7 Index Back-Histories In order to simulate the availability of factor data prior to the May 2014 launch date of the FTSE Developed Diversified Factor Index, all index reviews prior to this date utilise fundamental data that is lagged by a period of three months. Each component of the value factor detailed in Rule 5.1 incorporates twelve month Net Income and Book Value measures that were available three months prior to the data cut-off date. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

11 Section 6 Periodic Review of Constituents 6.0 Periodic Review of Constituents 6.1 Review Dates The FTSE Developed Diversified Factor Index and FTSE Developed Component Factor Indexes will be reviewed quarterly in March, June, September and December, based on data as at the close of business on the last trading day of the previous month The FTSE Developed Component Factor Indexes periodic review will follow the mechanism detailed in Rule The FTSE Developed Diversified Factor Index periodic review will follow the mechanism detailed in Section The review will be implemented after the close of business on the third Friday (i.e. effective on the subsequent business day) of the review month. 6.2 Regional Industry Risk Weights The eligible universe (Rule 4.2) is split into four regions and ten ICB industry groups resulting in 40 regional industry risk categories as detailed in Rule 4.1. The weight of each risk category is redetermined at each quarterly review using the inverse volatility (standard deviation) or risk weight, calculated using three years of weekly USD total returns (Wednesday to Wednesday) prior to the data cut-off date Unless specifically detailed in this document, all aspects of the maintenance and calculation of each regional and industry index follow the FTSE Global Equity Index Series Ground Rules which are available at Stock Selection within Regional Industries Within each of the 40 regional industry categories, securities are selected based on the composite factor score determined under Rule 5.6 with the highest ranked (zero being the highest) securities by composite score being added to the index subject to the limitations detailed in If multiple line issues of the same company, within the same region, are eligible for inclusion, only the larger security, as defined by the free float market capitalization, is included, subject to the following buffer rule. An existing eligible security, will only be replaced by a multiple line of the same company in the same region if the previously ineligible security is at least 25% larger in terms of free float market capitalization than the current eligible security as of the index review date. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

12 6.4 Maximum and Minimum Index Constituent Weight and Weight Changes The maximum permitted index constituent weight change is (1 x median daily volume over 22 days prior to the data cut-off date x price as of the cut-off date) / notional index size The maximum permitted constituent weight is 4 x the maximum permitted index constituent weight change The maximum permitted existing index constituent weight when redistributing weights at the regional or global level is: Minimum [4 x the maximum permitted index constituent weight change, Maximum [0.5%, Underlying Capitalisation Weight]] The maximum permitted initial index weight i.e. the maximum weight for a new index constituent is 0.2% The minimum permitted index weight for new constituents is 0.05% The notional index size is USD 30 billion. 6.5 Mechanism for Achieving Regional Industry Risk Weights The weight of an existing constituent of the FTSE Developed Diversified Factor Index that will be removed from the underlying FTSE Developed Index as of the Review effective date is set to zero The weight of any existing constituent of the FTSE Developed Diversified Factor Index that is greater than 0.30% and continues to be a member of the underlying FTSE Developed Index as of the Review effective date is reduced to 0.30% subject to the maximum weight change limit detailed in Rule Within each overweight regional industry category of the FTSE Developed Diversified Factor Index, the weight of the lowest ranking (largest composite factor score) existing constituents are reduced to attain the regional industry risk weights described in Rule 6.2 subject to the maximum weight change limit detailed in Rule Within each underweight regional industry category of the FTSE Developed Diversified Factor Index, the weight of the highest ranking (lowest composite factor score) existing constituent is increased to attain the regional industry risk weights described in Rule 6.2 subject to the weight restrictions detailed in Rules to The limitations detailed in Rule 6.4 may prevent the regional industry risk weights objective of 6.2 from being achieved. If the aggregate regional industry weight is less than the desired regional risk weight, the remaining weight is reallocated across the region in proportion to each stock s investable market capitalisation weight, subject to the limitations imposed by Rule and Reallocation of remaining weight is continued until either all the remaining weight is allocated or all stocks in the region have reached their capacity as defined in Rules and If there is insufficient capacity within a region to achieve the regional weights implied by the regional industry risk weights, then aggregate remaining regional weight is reallocated across the index in proportion to each stock s investable market capitalisation weight, subject to the limitations imposed by Rule and Reallocation of remaining weight is continued until either all the remaining weight is allocated or all stocks in the index have reached their capacity as defined in Rules and The limitations detailed in Rule 6.4 and the application of Rules and may result in a set of index weights that do not sum to unity. In this instance the liquidity parameter detailed in Rule is doubled and the Rules to are reapplied ignoring all previous additions, deletions and weight changes. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

13 6.6 Achieving Increased Factor Exposure The one-way index turnover generated by Rule 6.5 is calculated as the aggregate change in index weightings plus the proportion of the index accounted for by additions and deletions If one-way index turnover is less than five percent, the remaining turnover headroom up to a maximum of five percent is utilised to achieve an increase in exposure to the composite factor The eligible universe is ranked by composite factor score and then by regional industry. The order of the regions is: Developed Asia Pacific ex Japan, Developed Europe, Japan and North America. The ordering of the industries is by ICB code (0001, 1000, ). Sequentially, the weight of the index constituent with lowest ranking at a global level in quintile four or quintile five by composite factor score, that is not in breach of Rule (maximum permitted weight change) is reduced subject to Rule and replaced by the highest ranking existing constituent (that has a weight of less than 0.2%) or new constituent, in the same regional industry from quintiles one, two or three subject to the limits specified in Rules 6.4.1, 6.4.2, and up to the turnover limit of three per cent. Additionally, no existing constituent can have its weight increased above 0.2% The total weight change of the lower ranking stocks, whose weight is reduced, must not exceed the available weight change of the higher ranking stocks as detailed in Rule That is, the total weight change in the regional industry must sum to zero. 6.7 Initial FTSE Developed Diversified Factor Index The initial index constituents are determined using a maximum permitted index constituent weight change of (4 x median daily volume over 22 days prior to the data cut-off date x price as of the cutoff date) / notional index size and Rules to and to Prior to December 2014 the index was reviewed on a monthly basis The index is initiated at the monthly review in March FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

14 Section 7 Changes to Constituent Companies Composite and Component Factor Indexes 7.0 Changes to Constituent Companies Composite and Component Factor Indexes 7.1 Intra-review Additions Additions to the FTSE Developed Index will be considered for inclusion in the FTSE Developed Diversified Factor Index and FTSE Developed Component Indexes at the next quarterly review. 7.2 Intra-review Deletions A constituent will be removed from the FTSE Developed Diversified Factor Index and the FTSE Developed Component Indexes if it is removed from the FTSE Developed Index. The deletion will be concurrent with its deletion from the FTSE Developed Index and its weight will be distributed pro-rata amongst the remaining constituents in the FTSE Developed Diversified Factor Index and FTSE Developed Component Indexes. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

15 Section 8 Corporate Actions and Events 8.0 Corporate Actions and Events 8.1 If a constituent has a stock split, stock consolidation, rights issue, bonus issue, a change in the number of shares in issue or a change in free float, the constituent s weighting in the FTSE Developed Diversified Factor Index and FTSE Developed Component Index will remain unchanged pre and post such an event. 8.2 Full details of changes to constituent companies due to corporate actions and events can be accessed in the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes using the following link: Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indexes.pdf A Corporate Action is an action on shareholders with a prescribed ex date. The share price will be subject to an adjustment on the ex date. These include the following: Capital Repayments Rights Issues/Entitlement Offers Stock Conversion Splits (sub-division) / Reverse splits (consolidation) Scrip issues (Capitalisation or Bonus Issue) A Corporate Event is a reaction to company news (event) that may impact the index depending on the index rules. For example, a company announces a strategic shareholder is offering to sell their shares (secondary share offer) this could result in a free float weighting change in the index. Where an index adjustment is required FTSE Russell will provide notice advising of the timing of the change. 8.3 Suspension of Dealing Suspension of Dealing rules can be found within the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes. 8.4 Takeovers, Mergers and Demergers The treatment of takeovers, mergers and demergers can be found within the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

16 Section 9 Indexes Algorithm and Calculation Method 9.0 Indexes algorithm and calculation method 9.1 Prices The FTSE Developed Diversified Factor Index will use actual last trade prices, where available. 9.2 Calculation Frequency The FTSE Developed Diversified Factor Index will be calculated on a real-time basis. 9.3 Index Calculation The FTSE Developed Diversified Factor Index and FTSE Developed Component Indexes are calculated using the algorithm described below: Where, N i1 p e i i s i d f i c i i=1,2,,n N is the number of securities in the index. p i is the latest trade price of the component security (or the price at the close of the index on the previous day). e i is the exchange rate required to convert the security s currency into the index s base currency. s i is the number of shares in issue used by FTSE Russell for the security, as defined in these Ground Rules. f i is the Investability Weighting Factor to be applied to a security to allow amendments to its weighting, expressed as a number between 0 and 1, where 1 represents a 100% free float. This factor is published by FTSE Russell for each security in the underlying index. c i is the Weighting Factor to be applied to a security to correctly weight that security in the index. This factor maps the investable market capitalisation of each stock to a notional market capitalisation for inclusion in the index. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

17 d is the divisor, a figure that represents the total issued share capital of the index at the base date. The divisor can be adjusted to allow changes in the issued share capital of individual securities to be made without distorting the index. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

18 Appendix A: Index Opening and Closing Hours Index Open Close FTSE Developed Diversified Factor Index Monday to Friday 00:30 21:10 Notes: 1. Timings are UK hours. 2. Reuters real time exchange rates are used in real-time index calculations. 3. Exchange rates used in the End of Day calculations are WM/Reuters Closing Spot Rates, collected at 16:00 UK time. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

19 Appendix B: Status of Index A Price Index, Total Return Index and Net of Tax Index will be calculated on a real-time basis in US Dollars. The FTSE Developed Diversified Factor Index may exist in the following states. A) Firm The Index is being calculated during Official Market Hours (see Appendix A). No message will be displayed against the Index value. B) Closed The Index has ceased all calculations for the day. The message 'CLOSE' will be displayed against the Index value calculated by FTSE Russell. C) Held During Official Market Hours, an Index has exceeded pre-set operating parameters and the calculation has been suspended pending resolution of the problem. The message 'HELD' will be displayed against the last Index value calculated by FTSE Russell. D) Indicative If there is a system problem or situation in the market that is judged to affect the quality of the constituent prices at any time when the Index is being calculated, the Index will be declared indicative (e.g. normally where a 'fast market' exists in the equity market). The message 'IND' will be displayed against the Index value calculated by FTSE Russell. The official opening and closing hours of the FTSE Developed Diversified Factor Index are set out in Appendix A. Variations to the official hours of the Index will be published by FTSE Russell. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20

20 Appendix C: Further Information A Glossary of Terms used in FTSE Russell s Ground Rule documents can be found using the following link: Glossary.pdf Further information on the FTSE Developed Diversified Factor Index Series is available from FTSE Russell. For contact details please visit the FTSE Russell website or contact FTSE Russell client services at info@ftserussell.com. Website: 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. The FTSE Developed Diversified Factor Index Series is calculated by FTSE or its affiliate, agent or partner. FTSE Russell is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. FTSE, Russell, FTSE Russell MTS, FTSE TMX, FTSE4Good 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 FTSE Developed Diversified Factor Index Series or the fitness or suitability of the Index Series for any particular purpose to which it 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 with FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors. FTSE Russell FTSE Developed Diversified Factor Index, v2.6, January of 20