S-Network Sector Dividend Dogs Index

Transcription

1 S-Network Sector Dividend Dogs Index Q4 2017

2 Index Rationale Well-Established Universe of Index Candidates S&P 500 Serves as Universe for SDOGX Comprises of 50 Constituents Stocks Must Meet All Screens Needed to Qualify for the Leading Large-Cap US Equity Benchmark Index Diversified by Sector Five Stocks with Highest Dividend Yields in Each of the Ten Sectors Comprising the S&P 500 Selected for Inclusion in SDOGX, Assuring Diversification Across All Sectors Pure Yield No Qualitative Screens SDOGX Does Not Include Any Qualitative Screens, such as Dividend Growth, Dividend Consistency or Coverage Ratio Based Entirely on Dividend Yield, Making SDOGX the Only Pure Play Dividend Index Available Entirely Rules-Based Depends on a Clearly Defined Rules-Based Methodology No Discretion is Exercised in Compiling the Index Pre-Defined Screening Protocol Assures a Consistent, Transparent and Arms-Length Compilation Process The S-Network Sector Dividend Dogs Index Offers the First Pure Play, Rules-Based High Dividend Index. 2

3 Index Performance and Yields

4 Historical Performance 8000 S-Network Sector Dividend Dogs TR Index vs. Benchmarks* (12/31/ /31/2017) Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 SDOGXTR SPHYDATR DJDVY SN500T *To ensure fair comparisons, all of the starting index values are normalized to 1,000 as of December 31, Source: Bloomberg, as of 12/31/2017 The S-Network Sector Dividend Dogs Index Offers Consistent Performance Over Time, Regularly Outperforming the S-Network US Large-Cap 500 As Well As Other High Dividend Indexes. 4

5 Current Dividend Yield Comparison Dividend Yield S-Network Sector Dividend Dogs 3.72% Dow Jones US Selected Dividend 3.41% S&P High Yield Dividend Aristocrats 2.49% SN % Sources: Bloomberg, State Street, Dow Jones Indexes, as of 12/31/2017 The S-Network Sector Dividend Dogs Index Offers Higher Dividend Yields than Other High Dividend Indexes. 5

6 Historical Dividend Yields 7.00% 6.00% SDOGX vs. SN % 5.00% 4.00% 3.00% 4.00% 3.19% 4.13% 3.21% 3.28% 3.46% 3.28% 3.63% 3.00% 3.79% 4.11% 4.40% 4.67% 3.82% 3.80% 4.08% 3.69% 3.72% 2.00% 1.00% 1.10% 1.28% 1.75% 1.57% 1.92% 1.81% 1.75% 1.89% 1.93% 1.79% 2.08% 2.22% 1.82% 1.86% 2.04% 1.93% 1.73% 0.00% Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 SDOGX SN500 Source: S-Network, as of 12/31/2017 Over an Extended Time Frame, SDOGX Has Consistently Offered Higher Yield. 6

7 Dividend Growth Dividend Growth Date Range Price Index Value Index Dividend Points Dividend Yield* Index Dividend Growth 12/31/1999 1, /29/2000 1, % -- 12/31/2001 1, % -8.87% 12/31/ % 5.89% 12/31/2003 1, % 3.78% 12/31/2004 1, % 15.78% 12/30/2005 1, % 7.49% 12/29/2006 1, % 10.26% 12/31/2007 1, % 10.44% 12/31/2008 1, % 8.34% 12/31/2009 1, % % 12/31/2010 1, % 24.64% 12/30/2011 1, % 14.96% 12/31/2012 2, % 12.58% 12/31/2013 2, % 5.72% 12/31/2014 2, % 10.53% 12/31/2015 2, % 0.33% 12/31/2016 3, % 6.87% 12/31/2017 3, % 9.92% *Does Not Include Special Dividends Source: S-Network, as of 12/31/2017 7

8 Index Constituents and Fundamentals

9 Index Constituents Consumer Discretionary Consumer Consumer Staples Staples Energy Energy Financials Financials Health Health Care Care Ford Motor Co Coach Inc Ford Kohl's Motor Corp Co L Garmin Brands Ltd Inc Mattel Inc Macy's Inc Wynn Resorts Ltd Target Corp Altria Group Inc Altria Group Inc Archer-Daniels-Midland Coca-Cola Co Co Philip Morris International Coca-Cola Co Procter & Gamble General Mills Inc Wal-Mart Philip Morris Stores International Exxon ConocoPhillips Mobil Corp Helmerich Ensco PLC & Payne - CL A Inc Kinder ONEOK Morgan Inc Inc Occidental ONEOK Petroleum Inc The Williams Companies Spectra Energy Corp Inc Cincinnati Invesco Financial Ltd Corp Invesco Metlife Inc Ltd Navient Metlife Corp Inc People's Navient United Corp Financial Inc People's United Financial Wells Fargo Inc & Co Cardinal AbbVie Health Inc. Inc Gilead Baxter Sciences Intl Inc Inc Johnson Merck & Johnson Co Inc Patterson Merck & Cos Inc Inc Pfizer Inc Industrials Industrials Information Technology Telecommunicatio Materials Materials n Services Telecommunication Services Utilities Utilities Eaton Caterpillar Corp Inc plc Emerson Cummins Electric Inc Co General Eaton Electric Corp plc Co Emerson Nielsen Holdings Electric plc Co United Parcel Service Inc Pitney Bowes Inc B Intl Business CA Inc Machines Corp HP Inc QUALCOMM Inc Intl Business Machines Seagate Corp Technology Western QUALCOMM Union Inc Co Seagate Xerox Technology Corp CF Industries Dow Chemical Holdings Intl Paper Co LyondellBasell Industries LyondellBasell N.V. Industries N.V. Nucor Corp Mosaic Co WestRock Co Nucor Corp AT&T Inc CenturyLink Centurylink Inc Inc Verizon Frontier Communications Corp Inc Verizon Communications Inc AES Corp FirstEnergy Corp PPL Corp SCANA Corp Southern Co Source: S-Network, as of 12/31/2017 The S-Network Sector Dividend Dogs Index Offers Diversification by Sector and Company, Avoiding Concentrated Risk. 9

10 Sector Yield Comparison 8.00% 7.61% 7.00% 6.00% 5.00% 4.56% 5.01% 4.76% 4.00% 3.00% 4.23% 3.23% 2.84% 3.12% 3.45% 3.40% 2.77% 4.11% 3.48% 3.36% 2.00% 1.86% 1.58% 1.95% 1.58% 1.28% 1.16% 1.00% 0.00% Energy Consumer Discretionary Materials Health Care Consumer Staples Industrials Information Technology Financials Utilities Telecommunication Services SDOGX Sector Yield SN500 Sector Yield Source: S-Network, as of 12/31/2017 The S-Network Sector Dividend Dogs Index Offers Higher Dividend Yield on a Sector by Sector Basis and Avoids Concentration in Those Sectors Offering the Highest Dividend Yield. 10

11 Sector Weight Comparison 30.00% 25.00% 24.74% 20.00% 15.00% 12.56% 14.20% 15.33% 10.00% 10.86% 10.65% 10.65% 10.41% 10.36% 10.32% 10.29% 10.27% 10.24% 8.38% 9.57% 6.18% 6.66% 5.00% 3.11% 2.94% 2.20% 0.00% Energy Consumer Discretionary Materials Health Care Consumer Staples Industrials Information Technology Financials Utilities Telecommunication Services SDOGX Sector Weight SN500 Sector Weight Source: S-Network, as of 12/31/2017 The S-Network Sector Dividend Dogs Index Offers Diversification by Sector, Avoiding Concentrated Risk. 11

12 Index Fundamentals Index Fundamentals Index Fundamentals SDOGX SN500 Price/Earnings Price/Book Value Dividend Yield 3.72% 1.73% SDOGX Market Capitalization Profile Number of Constituents 48 Total Market Capitalization Largest Market Capitalization Smallest Market Capitalization Average Market Capitalization Median Market Capitalization 3.29 Trillion USD Billion USD 3.46 Billion USD Billion USD Billion USD Source: S-Network, as of 12/31/2017 Solid Fundamental and a Large Capitalization Bias Help Mitigate Risks in the S-Network Sector Dividend Dogs Index. 12

13 Statistical Profiles

14 Statistical Profile I Calendar Year Ending Price Appreciation S-Network Sector Dividend Dogs TR SN500 Total Return Out/Underperformance 12/29/ % -9.54% 17.65% 12/31/ % % 31.09% 12/31/ % % 6.15% 12/31/ % 27.52% 11.55% 12/31/ % 10.27% 7.24% 12/30/ % 5.64% -0.20% 12/31/ % 15.86% 4.87% 12/31/ % 6.97% -3.63% 12/31/ % % 3.60% 12/31/ % 26.18% 22.19% 12/31/ % 14.94% 5.38% 12/31/ % 1.45% 10.89% 12/31/ % 15.84% -4.60% 12/31/ % 33.02% 1.98% 12/31/ % 13.75% 1.85% 12/31/ % 1.34% -4.17% 12/31/ % 11.65% 11.40% 12/31/ % 22.56% -9.38% The S-Network Sector Dividend Dogs Total Return Index has Outperformed the SN500 Total Return Index in Thirteen of the Last Eighteen Years. Source: S-Network, as of 9/30/

15 Statistical Profile II Total Return Appreciation SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR SN500 TR Since Inception* % % % % 10 Year % % % % 5 Year % % % % 3 Year 35.32% 39.86% 38.50% 38.82% 1 Year 13.18% 16.35% 15.44% 22.56% Compound Annual Growth Rate SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR SN500 TR Since Inception* 11.73% 10.65% 10.18% 5.36% 10 Year 12.18% 10.39% 8.84% 8.57% 5 Year 16.13% 15.85% 15.57% 16.02% 3 Year 10.61% 11.83% 11.47% 11.55% 1 Year 13.18% 16.35% 15.44% 22.56% *From 12/31/1999 Source: S-Network, as of 12/31/

16 Statistical Profile III Standard Deviation (Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR SN500 TR Since Inception* 16.33% 13.81% 14.70% 14.51% 10 Year 17.76% 15.15% 15.12% 14.90% 5 Year 10.73% 9.79% 8.92% 9.56% 3 Year 11.55% 9.52% 7.80% 10.15% 1 Year 6.22% 5.09% 4.70% 3.88% Sharpe Ratio (Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR SN500 TR Since Inception* Year Year Year Year *From 12/31/1999 Source: S-Network, as of 12/31/

17 Statistical Profile IV Information Ratio (vs SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* Year Year Year Year Jensen s Alpha (versus SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* 0.54% 0.51% 0.48% 10 Year 0.27% 0.24% 0.14% 5 Year 0.08% 0.10% 0.31% 3 Year -0.01% 0.18% 0.35% 1 Year -0.77% -0.53% -0.55% *From 12/31/1999 Source: S-Network, as of 12/31/

18 Statistical Profile V Upside Capture Ratio (vs SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* % 87.11% 88.16% 10 Year % 91.92% 86.51% 5 Year 95.40% 94.29% 86.85% 3 Year 86.30% 86.02% 74.16% 1 Year 60.66% 74.25% 70.38% Downside Capture Ratio (versus SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* 74.47% 53.96% 57.90% 10 Year 92.18% 77.30% 78.04% 5 Year 84.33% 84.25% 64.52% 3 Year 78.54% 64.45% 40.77% *From 12/31/1999 Source: S-Network, as of 12/31/

19 Statistical Profile VI Correlation (versus SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* Year Year Year Year R-Squared (versus SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* Year Year Year Year *From 12/31/1999 Source: S-Network, as of 12/31/

20 Statistical Profile VII Beta (versus SN500 TR, Monthly) SDOGXTR S&P High Yield Div Aristocrats TR DJ US Select Dividend TR Since Inception* Year Year Year Year *From 12/31/1999 Source: S-Network, as of 12/31/

21 Index Construction

22 Index Construction Methodology All Constituents of SDOGX Must Be Constituents of the S&P 500 Selection Criteria for S&P 500 Include Requirements for: Sector Inclusion Primary Exchange Listing Minimum Market Capitalization Minimum Average Daily Trading Volume Other Factors Individual Securities Included in SDOGX Selected Based on Ranking system Within Each Sector Selects the Five Stocks in Each Sector with Highest Dividend Yield as of Last Trading Day of November Dividend Yield is Computed Based on Regular Cash Dividends Paid by the Company Over Previous Twelve Month Period, Divided by Share Price (Special Dividends Not Included) The S-Network Sector Dividend Dogs Index Uses A Stable and Transparent Construction Methodology. 22

23 Index Construction Weighting and Deletions Share Weights Based on Prices as of Close of Trading on Second Friday of Rebalancing Month Index Is Rebalanced Quarterly on the Third Friday of the Last Month of Each Calendar Quarter Index Is Rebalanced Quarterly Back to Equal Weights Stocks That Are Deleted From of S&P 500 Are Deleted from SDOGX Effective Upon Deletion from S&P 500 Stocks That Have Failed to Pay a Quarterly Dividend Are Deleted from SDOGX as of Next Quarterly Rebalancing If Less Than Five Eligible Securities are Represented in any GICS Sector as of Snapshot Date Only Those Securities Which Qualify are Included A Detailed Methodology and Rules Is Available at 23

24 Index Details & Data Distribution Index Values Distributed in Real Time (15 second snapshots) in USD and EUR Total Return Index Calculated Daily in USD and EUR Index Values Distributed via Consolidated Tape Comprehensive Historic Data (including simulated back-tests from 12/31/1999) Daily Prices for Price-Only + TR Indexes in USD + EURO Quarterly Portfolio Snapshots (Historic Constituents and Weights) Extensive Analytic support Quarterly Reports ( Index Insights ) Industry Overviews Extensive Statistical Data Comprehensive website: Broad data distribution via third party vendors S&P/Bloomberg/Yahoo, etc. S-Network contribution page on Bloomberg: SNET 24

25 Company History Standard & Poor s Custom Index Group S&P Indices recognizes that no single index meets the needs of all investors. A custom index calculated by S&P Indices enables our clients either to refine existing S&P indices to reflect tailored measurements of market performance, or to create a unique index as the basis for a new derivative investment product. Drawing on this expertise and a global database of over 17,000 individual stocks, the S&P Custom Index Group provides an independent, flexible and accurate service enabling clients to purposefully design a Custom Index to meet their specific requirements. S-Network Global Indexes S-Network Global Indexes, Inc. is a publisher and developer of proprietary and custom indexes. Founded in 1997, S-Network publishes over 200 indexes, which serve as the underlying portfolios for financial products with over USD 5 billion in assets under management. S-Network indexes, which are supported by a state-of-the-art technology platform, are known for their transparency and efficiency. S-Network is a leader in socially responsible investment, publishing best-practice benchmark indexes in collaboration with Thomson Reuters. S-Network published the first global alternative energy and water indexes, which today serve as the recognized benchmarks for those sectors worldwide. In addition to publishing socially responsible indexes, S-Network produces proprietary environmental, social and governance ratings on nearly 5,000 public companies worldwide. S-Network publishes a comprehensive suite of benchmark indexes covering US, European, Pacific Basin and emerging markets companies and mirroring the performance characteristics of the most popular indexes. The benchmark series offers detailed historical data, including daily constituent level data, from December 31, 1999 to the present. S-Network benchmarks serve as starting universes for smart beta indexes, as institutional-quality performance benchmarks, and as bases for Separately Managed Accounts. S-Network is a prominent provider of smart beta indexes that incorporate both standard market statistics, as well as unique and highly specialized proprietary data sets derived from non-traditional sources. Smart beta indexes developed by S- Network embrace powerful single-factor models as well as complex multi-factor models that incorporate over 200 discrete factors. All indexes developed by S-Network address and resolve issues such as liquidity, investability and index turnover characteristics. For more information please visit 25