Ground Rules. FTSE Private Investor Index Series v3.7

Transcription

1 Ground Rules FTSE Private Investor Index Series v3.7 ftserussell.com August 2017

2 Contents 1.0 Introduction Index Structure Management Responsibilities FTSE Russell Index Policies Review of Weightings Calculation Algorithm... 9 Appendix A: Calculation of Total Return Indexes Appendix B: Exchange Rates Appendix C: Further Information FTSE Russell FTSE Private Investor Index Series, v3.7, August 2017 d th ] 2 of 13

3 Section 1 Introduction 1.0 Introduction 1.1 This document describes the rules used to calculate the FTSE Private Investor Indexes. 1.2 The primary purpose of the FTSE Private Investors Indexes is to provide private investors and trustees with a measure of performance against which to compare their investment portfolios, based upon the assumption they are domestic UK investors with sterling denominated accounts. 1.3 FTSE Russell FTSE Russell is a trading name of FTSE International Limited (FTSE), Frank Russell Company (Russell), FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX Global Debt Capital Markets Limited (together, FTSE TMX ) and MTSNext Limited. FTSE, Russell and FTSE TMX are each benchmark administrators of indexes. References to FTSE Russell should be interpreted as a reference to the relevant benchmark administrator for the relevant index. 1.4 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 series to measure their performance should be able to withstand, or otherwise address the possibility of changes to, or cessation of, the index. 1.5 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 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 Private Investor Index Series, v3.7, August of 13

4 Section 2 Index Structure 2.0 Index Structure 2.1 There are five indexes, which represent a broad number of different portfolios. Their official names are: FTSE UK Private Investor Income Index The Income Portfolio Index is designed to reflect the portfolio of a client requiring an income flow from their investment FTSE UK Private Investor Growth Index The Growth Portfolio Index is designed to reflect the portfolio of a client requiring capital growth from their investment FTSE UK Private Investor Balanced Index The Balanced Portfolio Index is designed to reflect the portfolio of a client requiring a balanced approach between income and capital growth in their portfolio FTSE UK Private Investor Conservative Index The Conservative Portfolio Index is designed to reflect the portfolio of a client requiring a conservative approach from their investment FTSE UK Private Investor Global Growth Index The Global Growth Portfolio Index is designed to reflect the portfolio of a client requiring global capital growth based on only equity indexes from their investment. 2.2 For Total Return Index calculations please refer to Appendix A. 2.3 The base currency of the benchmark is US Dollars. Index values may also be published in other currencies. 2.4 Each Portfolio Index consists of a combination of a set percentage of the performance of various indexes, to represent the performance of certain elements used to construct investment portfolios, in accordance with the table below. Asset Type in Portfolio UK Equities World Equities Representative Index FTSE All-Share Index FTSE All-World ex UK Index, calculated in sterling FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

5 Asset Type in Portfolio Bonds Cash Hedge Funds Commercial Property Developed World Equities Emerging World Equities Representative Index FTSE Gilts All-Stocks Index 7-day LIBOR* Index FTSE Custom Hedge Fund Index FTSE Custom All UK Property Index (NAV) FTSE All-World Developed Index FTSE All-World Emerging Index * London Interbank Offered Rate 2.5 Current and historic weightings used in each Portfolio Index are available using the link below:. FTSE_Private_Investor_Index_Series_Asset_Allocations.pdf 2.6 The FTSE Custom Hedge Fund Index is designed to reflect the portfolio of a client requiring exposure to multi-manager hedge funds. This index comprises of two components, 50% of the FTSE UK Conventional Gilts Up to 5 Years Index and 50% of the FTSE All-Share Index. 2.7 Each day s index value is calculated using the closing value for each of the five component indexes. 2.8 The FTSE Custom All UK Property Index Assets comprises a selection of suitably qualifying property assets, identified and valued by the Index Advisor, MSS Real Estate LLP The FTSE Custom All UK Property Index (NAV) aims to provide a daily measure of the performance of the universe of investable, institutional grade commercial property in the UK appropriately diversified by Market Sector which comprise Retail, Office and Industrial Property The base currency for the FTSE Custom All UK Property Index (NAV) is Pounds Sterling, and the index is calculated daily, on an end of day basis, two business days in arrears The values of these indexes is derived directly from the asset values of the FTSE Custom All UK Property Index which comprises investable property assets available in the market, the NAV is adjusted for, inter alia, the full running costs of an investable index fund, and the effects of gearing that may be present in the underlying investments. FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

6 Section 3 Management Responsibilities 3.0 Management Responsibilities 3.1 FTSE International Limited (FTSE) FTSE is the benchmark administrator of the index series FTSE is responsible for the daily calculation, production and operation of the FTSE Private Investor Index Series 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 series 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; dissmeninate the indexes. 3.2 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 Governance Board before approval is granted As provided for in the Statement of Principles, where FTSE Russell or the FTSE Russell Regional Advisory Committees determine 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 Private Investor Index Series, v3.7, August of 13

7 Section 4 FTSE Russell Index Policies 4.0 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: 4.1 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 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 FTSE Russell s Governance Board. Please use the following link for a copy of FTSE Russell s Statement of Principles. Statement_of_Principles.pdf 4.2 Queries and Complaints FTSE Russell s complaints procedure can be accessed using the following link: Queries_and_Complaints_Policy.pdf 4.3 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 4.4 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 4.5 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 Private Investor Index Series, v3.7, August of 13

8 Section 5 Review of Weightings 5.0 Review of Weightings 5.1 The component indexes of each Portfolio Index and the weights each represents within each Portfolio Index are reviewed quarterly. FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

9 Section 6 Calculation Algorithm 6.0 Calculation Algorithm 6.1 The Portfolio Indexes are calculated using the following formula: Where: (( c C c Wc) + 1) 1 P c Cc = Wc = Pc = Percentage rise (fall) in component index since the last rebalancing date Percentage weight of component index in Portfolio index Value of Portfolio index on the last rebalancing date 6.2 The Portfolio Indexes will be displayed to two decimal places. FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

10 Appendix A: Calculation of Total Return Indexes Total return index (TRI) values of the FTSE Private Investor Index Series are calculated as follows: UK Equities as represented by the FTSE All-Share Index: TRI indexes use the FTSE All-Share Total Return Index, as published daily. World Equities as represented by the FTSE All-World Ex UK Index: TRI indexes use the FTSE All-World ex UK Total Return Index, as published daily. The return index calculations add the income a stock s dividend provides to the performance of the index. The calculation can be expressed as: RI i = RI i-1 X i / ( X i-1 - ( AD i / ( M i / X i ) ) ) where i = Time period RI i = Return Index at time i. Xi = Capital Index at time i. X i-1 = Capital Index at time i-1. AD i = Market Value of Dividends effective at time i. M i = Market capitalisation of constituents at time i. Note the formula ( AD i / ( M i / Xi ) ) calculates the XD adjustment for an index. Bonds as represented by the FTSE Gilts All-Stocks Index: - TRI indexes use the FTSE Gilts All-Stocks Index. The Total Return Index for day t, Rs,t, is calculated from the Price index and XD adjustment by: R t = R t 1 I t 1 I t XD where I t = price index for day t XD t = XD adjustment factor for day t. t FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

11 As the XD adjustment factor for a total return index is zero whenever there are no dividend payments on the day. Hence the percentage movement in the total return index is identical to that of the gross price index whenever there is no dividend payment. Cash as represented by the London Interbank Offered Rate (LIBOR) minus 1% with a floor of 0%. TRI indexes use LIBOR 1% with a floor of 0%. Hedge Funds as represented by the FTSE Custom Hedge Fund Index. TRI indexes use the FTSE Custom Hedge Fund Total Return. UK Commercial Property as represented by the FTSE Custom All UK Property Index (NAV)* TRI indexes use the FTSE UK Commercial Property Index (NAV) Total Return. Developed World Equities as represented by the FTSE All-World Developed Index: TRI indexes use the FTSE All-World Developed Total Return Index, as published daily. Emerging World Equities as represented by the FTSE All-World Emerging Index: TRI indexes use the FTSE All-World Emerging Total Return Index, as published daily. * The FTSE UK Commercial Property Index is designed to provide a daily measure of the performance of the universe of investable, institutional grade commercial property in the UK appropriately diversified by Market Sector. FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

12 Appendix B: Exchange Rates For the FTSE Private Investor Index Series, the exchange rates used are detailed in the following table: FTSE Indexes Exchange Rates FTSE UK Private Investor Income Index Spot Rates at the Index closing time (16:30) FTSE UK Private Investor Growth Index Spot Rates at the Index closing time (16:30) FTSE UK Private Investor Balanced Index Spot Rates at the Index closing time (16:30) FTSE UK Private Investor Conservative Index Spot Rates at the Index closing time (16:30) FTSE UK Private Investor Global Growth Index Spot Rates at the Index closing time (16:30) FTSE All-Share Index Spot Rates at the Index closing time (16:30) FTSE All-World ex UK Index WM/Reuters Closing Spot Rates compiled by The WM Company (16:00) FTSE Gilts All-Stocks Index Spot Rates at the Index closing time (16:30) FTSE Custom Hedge Fund Index Spot Rates at the Index closing time (16:30) FTSE Custom All UK Property Index (NAV) WM/Reuters Closing Spot Rates compiled by The WM Company (16:00) FTSE All-World Developed Index WM/Reuters Closing Spot Rates compiled by The WM Company (16:00) FTSE All-World Emerging Index WM/Reuters Closing Spot Rates compiled by The WM Company (16:00) FTSE Russell FTSE Private Investor Index Series, v3.7, August of 13

13 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 For further information on the FTSE Private Investor Index Series Ground Rules visit or info@ftserussell.com. Contact details can also be found on this 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 Private Investor Index Series is calculated by FTSE or its agent. All rights in the Index Series vest in FTSE. 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 Private Investor 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 Private Investor Index Series, v3.7, August of 13