FTSE European Sustainable Yield Indices

Transcription

1 Russell Factsheet an Indices Data as at: 31 August 2018 bmktitle1 The Global Index Series has been designed to measure the performance of an index consisting of securities exhibiting relatively high and sustainable yields. The indices were developed to address the inclusion of stocks in some high yield indices without reference to the likelihood that a dividend will be paid. The Global Index Series excludes extreme yielding stocks. also examines the financial and operating strength of prospective constituents with specific emphasis on companies with strong balance sheets and the ability to generate cash flow. Other screening criteria include the payout ratio and incidence of historic or forecast dividend cuts as, historically, such stocks are susceptible to falling dividends and consequently yield disappointment. A series of net of tax Total Return Indices are also calculated. 10-Year Performance - Total Return (USD) Aug-2008 Aug-2009 Aug-2010 Aug-2011 Aug-2012 Aug-2013 Aug-2014 Aug-2015 Aug-2016 Aug-2017 Aug-2018 Data as at month end FEATURES Coverage Global, regional and country indices are available. Objective The indices are designed for the creation of index tracking funds, derivatives and as a performance benchmark. Investability Stocks in the underlying indices are selected and weighted to ensure that the index is investable. Liquidity Stocks in the underlying indices are screened to ensure that the index is tradable. Transparency Index rules are freely available on the website. Availability ex ex 350 ex Inv Tr Price, Total Return and Net of Tax Indices will be calculated on an end of day basis. Performance and Volatility - Total Return Index (USD) Return % Return pa %* Volatility %** 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Industry Classification Benchmark Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. ex ex ex Inv Tr * 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 1 of 5

2 an Indices Data as at: 31 August 2018 Year-on-Year Performance - Total Return Index % (USD) ex ex ex Inv Tr Return/Risk Ratio and Drawdown - Total Return Index (USD) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR ex ex ex Inv Tr Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data 5-Year Correlation - Total Return ex ex 350 ex Inv Tr INFORMATION Index Universe Underlying index from Global Equity Index Series Index Launch 20 January 2015 Base Date 19 September 2014 Base Value 1000 Investability Screen Underlying indices are free-float adjusted and liquidity screened Index Calculation End-of-day index available End-of-Day Distribution Via FTP and Currency USD, GBP, EUR, JPY and Local Review Dates Semi-annually in March and September History 22 September ex ex ex Inv Tr Top 10 tituents - tituent Country ICB Sector (Wgt %) Diff % (Wgt %) Nestle Switzerland Food Producers Novartis (REGD) Switzerland HSBC Hldgs Banks Roche Hldgs (GENUS) Switzerland Total France Oil & Gas Producers British American Tobacco Tobacco Siemens AG Germany General Industrials AstraZeneca Allianz SE Germany Nonlife Insurance Sanofi France Totals of 5

3 an Indices Data as at: 31 August 2018 Top 10 tituents - ex tituent Country ICB Sector ex (Wgt %) Diff % ex (Wgt %) Nestle Switzerland Food Producers Novartis (REGD) Roche Hldgs (GENUS) Switzerland Switzerland Total France Oil & Gas Producers Siemens AG Germany General Industrials Allianz SE Germany Nonlife Insurance Sanofi France Unilever NV CVA Netherlands Personal Goods BASF Germany Chemicals Novo-Nordisk B Denmark Totals Top 10 tituents - tituent Country ICB Sector (Wgt %) 350 ex Inv Tr Diff % (Wgt %) AstraZeneca BHP Billiton Mining Imperial Brands Tobacco National Grid Gas Water & Multiutilities Rio Tinto Mining HSBC Hldgs Banks Lloyds Banking Group Banks British American Tobacco Tobacco Aviva Life Insurance/Assurance BAE Systems Aerospace & Defense Totals Country Breakdown Country Wgt % Wgt % Diff % Austria Belgium Denmark Finland France Germany Ireland Italy Netherlands Norway Portugal Spain Sweden Switzerland Totals of 5

4 an Indices Data as at: 31 August 2018 Country Breakdown ex ex Country Wgt % Wgt % Diff % Austria Belgium Denmark Finland France Germany Ireland Italy Netherlands Norway Portugal Spain Sweden Switzerland Totals ICB Industry Breakdown ex ex ICB Industry Wgt % Wgt % Diff % Wgt % Wgt % Diff % Oil & Gas Basic Materials Industrials umer Goods Health Care umer Services Telecommunications Utilities Financials Technology Totals ICB Industry Breakdown 350 ex Inv Tr ICB Code ICB Industry Wgt % Wgt % Diff % 0001 Oil & Gas Basic Materials Industrials umer Goods Health Care umer Services Telecommunications Utilities Financials Technology Totals of 5

5 31 August 2018 an Indices Data as at: 31 August 2018 Index Characteristics Attributes ex ex Number of constituents Net MCap (USDm) 4,452,655 9,259,954 3,550,047 6,653,915 Dividend % tituent Sizes (Net MCap USDm) Average 22,718 16,536 22,757 15,620 Largest 247, , , ,289 Smallest 1, , Median 9,136 7,698 9,748 7,468 Weight of Largest tituent (%) Top 10 Holdings (% Index MCap) Index Characteristics Attributes 350 ex Inv Tr Number of constituents Net MCap (USDm) 642,605 2,904,274 Dividend % tituent Sizes (Net MCap USDm) Average 8,239 9,779 Largest 39, ,297 Smallest Median 4,184 2,867 Weight of Largest tituent (%) Top 10 Holdings (% Index MCap) bmkimage1 bmkimage2 bmkimage London Stock Exchange Group plc and its applicable group undertakings (the LSE Group ). The LSE Group includes (1) International Limited ( ), (2) Frank Russell Company ( Russell ), (3) TMX Global Debt Capital Markets Inc. and TMX Global Debt Capital Markets Limited (together, TMX ) and (4) MTSNext Limited ( MTSNext ). All rights reserved. Russell is a trading name of, Russell, TMX and MTS Next Limited., Russell, Russell MTS, TMX, 4Good 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, Russell, MTSNext, or 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 Global Index Series or the fitness or suitability of the Global 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, Russell, 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 5