FTSE Value-Stocks Indices Screening Methodology

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1 RESEARCH REPORT - JUNE 217 FTSE Value-Stocks Indices Data as at: 3 June 217 Introduction The FTSE Value-Stocks Indices offer investors an exciting opportunity to access quality value stocks in the ASEAN, China, Hong Kong, Japan, Korea and Taiwan markets through a unique, transparent, and rules-based value strategy. These value-based equity indices combine FTSE s globally recognised index expertise with Value Partners proven track record in disciplined value investing. The value-based methodology is designed by Value Partners Index Services Limited and the index is calculated and maintained by FTSE Group. Constituents of the FTSE Value-Stocks Indices must pass a proprietary value screening process which includes valuation, quality, and contrarian factors. Low company valuations alone do not directly translate into attractive value investments. Table of Contents Information / 5-Year Performance Charts 2 FTSE Value-Stocks ASEAN Index 4 FTSE Value-Stocks China A-Share Index 5 FTSE Value-Stocks China Index 6 FTSE Value-Stocks Japan Index 7 FTSE Value-Stocks Korea Index 8 FTSE Value-Stocks Taiwan Index 9 FTSE Value-Stocks Indices Screening Methodology FEATURES Highest Rank by value-based factor Lowest Valuation + Quality + Contrarian Investable Universe Dividend yield Return on equity Operating profit margin Net gearing Consensus buy Filtering mechanism to remove unattractive value investment Selected value stocks with lowest P/E ratio Weighted investable market capitalisation and capped individually Identifies quality and overlooked value stocks listed in ASEAN exchanges, China, Hong Kong, Japan, Korea and Taiwan Avoid value traps - focuses on quality so that highly leveraged and thin profit companies are avoided Contrarian - excludes stocks with consensus analyst buy calls which have notoriously lagged behind market movements Stock attributes are not substitutable. For example, stocks with low P/E but with poor return on equity and low dividend yield are not preferable to real value investors. This unique value screening methodology requires index constituents to pass all factor criteria Vendor Codes FTSE Value-Stocks Indices Quality value stocks in ASEAN, China, Hong Kong, Japan, Korea and Taiwan FTSE Bloomberg Reuters FTSE Value-Stocks ASEAN Index GPVP1 GPVP1 <.FTGPVP1> FTSE Value-Stocks China A-Share Index GPVP9 GPVP9 <.FTGPVP9> FTSE Value-Stocks China Index GPVP2 GPVP2 <.FTGPVP2> FTSE Value-Stocks Japan Index GPVPJP GPVPJP <.FTGPVPJP> FTSE Value-Stocks Korea Index GPVP7 GPVP7 <.FTGPVP7> The indices are designed for the basis of ETFs and other derivatives The indices are calculated in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis Stocks are free-float weighted to ensure that only the investable opportunity set is included within the indices Stocks are liquidity screened to ensure that the indices are tradable Regular index reviews are conducted to ensure that a continuous and accurate representation of the market is maintained FTSE Value-Stocks Taiwan Index GPVP5 GPVP5 <.FTGPVP5> Source: FTSE Russell 1 of 1

2 Index Rebased (29 Jun 212=1) Index Rebased (29 Jun 212=1) Index Rebased (29 Jun 212=1) FTSE Value-Stocks Indices - June 217 Data as at: 3 June 217 FTSE Value-Stocks ASEAN Index 5-Year Performance - Total Return (USD) % % FTSE Value-Stocks ASEAN Index FTSE/ASEAN 4 Index FTSE Value-Stocks China A-Share Index 5-Year Performance - Total Return (CNY) % 67.94% FTSE Value-Stocks China A-Share Index FTSE China A5 Index FTSE Value-Stocks ASEAN Index: Stocks listed on the Indonesia Stock Exchange, Bursa Malaysia, the Philippine Stock Exchange, the Singapore Exchange and the Stock Exchange of Thailand Base Date 17 October 23 Base Value 1 5 USD May and October 5% FTSE Value-Stocks ASEAN Index: FTSE Value-Stocks China A-Share Index: FTSE China A All-Share Index Stocks listed on the Indonesia Stock Exchange, Bursa Eligible Malaysia, Securities the Philippine Stock Exchange, the Singapore A Shares Exchange and the Stock Exchange of Thailand Base Date Base 31 May Date Base October Value 23 Base 1 Value 1 Number of Cons 5 5 CNY USD May and September May and October 1% 5% FTSE Value-Stocks China Index 5-Year Performance - Total Return (HKD) FTSE Value-Stocks China Index FTSE China 5 Index 67.37% 42.99% FTSE Value-Stocks China Index: H Shares, Red chips and P chips Base Date 29 October 24 Base Value 1 25 HKD April and September 15% Source: FTSE Russell 2 of 1

3 Index Rebased (29 Jun 212=1) Index Rebased (29 Jun 212=1) Index Rebased (29 Jun 212=1) FTSE Value-Stocks Indices - June 217 Data as at: 3 June 217 FTSE Value-Stocks Japan Index 5-Year Performance - Total Return (JPY) FTSE Value-Stocks Japan Index FTSE Japan Index 13.23% 18.79% FTSE Value-Stocks Japan Index: Stocks listed on the Tokyo Stock Exchange Base Date 16 January 24 Base Value 1 35 JPY January and July 5% FTSE Value-Stocks Korea Index 5-Year Performance - Total Return (KRW) FTSE Value-Stocks Korea Index FTSE Korea Index 49.2% 4.7% FTSE Value-Stocks Korea Index: Stocks listed on the Korea Exchange Base Date 3 September 23 Base Value 1 35 KRW April and September 1% FTSE Value-Stocks Taiwan Index 5-Year Performance - Total Return (TWD) FTSE Value-Stocks Taiwan Index FTSE TWSE Taiwan 5 Index 89.4% 77.13% FTSE Value-Stocks Taiwan Index: Stocks listed on the Taiwan Stock Exchange and GreTai Securities Market Base Date 3 September 23 Base Value 1 5 TWD May and September 1% Source: FTSE Russell 3 of 1

4 FTSE Value-Stocks ASEAN Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks ASEAN Index consists of 5 quality value stocks amongst liquid and tradable ASEAN companies listed on the Indonesia Stock Exchange ( IDX ), Bursa Malaysia, the Philippine Stock Exchange ( PSE ), the Singapore Exchange ( SGX ) and the Stock Exchange of Thailand ( SET ). Constituent stocks are capped at 5% to avoid over-concentration in any one stock. Investability Screen Actual free float applied and liquidity screened Index Launch 12 November 213 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 17 October 23 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in May and October FTSE Value-Stocks ASEAN Index Historical Performance Table - Total Return (USD) Index (USD) No. of Net MCap 1M 3M 6M YTD 1YR 3YR 5YR Yield Cons (USDm) % % % % % % % % % % % % % FTSE Value-Stocks ASEAN FTSE/ASEAN ,299 * 37, * Free-float adjusted market cap before 5% capping FTSE Value-Stocks ASEAN Index Historical Volatility Table - Total Return (USD) Index (USD) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks ASEAN FTSE/ASEAN FTSE Value-Stocks ASEAN Index Top 5 Constituents Rank SEDOL Constituent Country ICB Subsector Net MCap (USDm)* Weight % Tenaga Nasional Malaysia Alternative Electricity 13, Bank Rakyat Indonesia 4 BF9V2 Oversea-Chinese Banking * Free-float adjusted market cap before 5% capping Indonesia Banks 12, B2PY22 Singapore Telecom Singapore Mobile Telecommunications 21, Singapore Banks 25, Malayan Banking Malaysia Banks 12, Year Historical Country Breakdown % Country Breakdown % Indonesia Malaysia Philippines Singapore Thailand Source: FTSE Russell 4 of 1

5 FTSE Value-Stocks China A-Share Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks China A-Share Index consists of 5 quality value stocks amongst liquid and tradable Chinese A Shares 1 listed on the Shanghai Stock Exchange and Shenzhen Stock Exchange. Constituent stocks are capped at 1% to avoid over-concentration in any one stock. FTSE China A All-Share Index Investability Screen Actual free float applied and liquidity screened Index Launch 22 February 211 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 31 May 25 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in May and September FTSE Value-Stocks China A-Share Index Historical Performance Table - Total Return (CNY) Index (CNY) FTSE Value-Stocks China A-Share FTSE China A5 * Free-float adjusted market cap before 1% capping No. of Net MCap 1M 3M 6M YTD 1YR 3YR 5YR Yield Cons (CNYm) % % % % % % % % % % % % % 5 2,949,54 * ,321, FTSE Value-Stocks China A-Share Index Historical Volatility Table - Total Return (CNY) Index (CNY) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks China A-Share FTSE China A FTSE Value-Stocks China A-Share Index Top 5 Constituents Rank Local Code Constituent China Merchants Bank (A) ICB Subsector Net MCap (CNYm)* Weight % 281, , , Shanghai Pudong Development Bank (A) Banks 174, Citic Securities (A) Investment Services 132, * Free-float adjusted market cap before 1% capping Banks Industrial Bank (A) Banks China Minsheng Banking (A) Banks A Shares are securities of Chinese incorporated companies that trade on either the Shanghai or Shenzhen stock exchanges. They are quoted in Chinese Yuan (CNY). They can only be traded by residents of the People s Republic of China ( PRC ) or under the Qualified Foreign Institutional Investor (QFII) and Renminbi Qualified Foreign Institutional Investor (RQFII) rules. Source: FTSE Russell 5 of 1

6 FTSE Value-Stocks China Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks China Index consists of 25 quality value stocks amongst liquid and tradable Chinese companies listed on the Stock Exchange of Hong Kong ( SEHK ) including H Shares 1, Red chips 2 and P chips 3. Constituent stocks are capped at 15% to avoid over-concentration in any one stock. Investability Screen Actual free float applied and liquidity screened Index Launch 8 July 29 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 29 October 24 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in April and September FTSE Value-Stocks China Index Historical Performance Table - Total Return (HKD) Index (HKD) FTSE Value-Stocks China FTSE China 5 No. of Net MCap 1M 3M 6M YTD 1YR 3YR Cons (HKDm) % % % % % % 25 1,11,365 * ,573,357 ** * Free-float adjusted market cap before 15% capping ** Free-float adjusted market cap before 1% capping 5YR Yield % % % % % % % FTSE Value-Stocks China Index Historical Volatility Table - Total Return (HKD) Index (HKD) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks China FTSE China FTSE Value-Stocks China Index Top 5 Constituents Rank Local Code Constituent ICB Subsector Net MCap (HKDm)* Weight % Bank of China (H) Banks 291, Agricultural Bank of China (H) Banks 94, China Merchants Bank (H) Banks 89, China Overseas Land & Inv (Red Chip) Real Estate Holding & Development 87, PICC Property & Casualty (H) Property & Casualty Insurance 58, * Free-float adjusted market cap before 15% capping H Shares are securities of Chinese incorporated companies and nominated by the Central Government for listing and trading on the Hong Kong Stock Exchange. They are quoted and traded in Hong Kong dollars. Like other securities trading on the Hong Kong Stock Exchange, there are no restrictions on who can trade H Shares. 2 Red chips are securities of companies incorporated outside the People s Republic of China ( PRC ) that trade on the Hong Kong Stock Exchange. They are quoted in Hong Kong dollars. A Red Chip is a company that is substantially owned directly or indirectly by Mainland China state entities and have the majority of its assets derived from Mainland China. 3 P chips are securities of companies incorporated outside the PRC that trade on the Hong Kong Stock Exchange. More than 5% of their sales revenue or assets derived from the PRC. Source: FTSE Russell 6 of 1

7 FTSE Value-Stocks Japan Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks Japan Index consists of 35 quality value stocks amongst liquid and tradable Japanese companies listed on the Tokyo Stock Exchange ( TSE ). Constituent stocks are capped at 5% to avoid over-concentration in any one stock. Investability Screen Actual free float applied and liquidity screened Index Launch 12 April 211 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 16 January 24 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in January and July FTSE Value-Stocks Japan Index Historical Performance Table - Total Return (JPY) Index (JPY) FTSE Value-Stocks Japan FTSE Japan * Free-float adjusted market cap before 5% capping No. of Net MCap 1M 3M 6M YTD 1YR 3YR 5YR Yield Cons (JPYbn) % % % % % % % % % % % % % 35 82,585 * , FTSE Value-Stocks Japan Index Historical Volatility Table - Total Return (JPY) Index (JPY) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks Japan FTSE Japan FTSE Value-Stocks Japan Index Top 5 Constituents Rank Local Code Constituent ICB Subsector Net MCap (JPYbn)* Weight % Bridgestone Corp Tires 3, Hitachi Electronic Equipment 3, Sumitomo Mitsui Financial Group Banks 5, Mitsubishi UFJ Financial Banks 9, Mizuho Financial Group Banks 5, * Free-float adjusted market cap before 5% capping Source: FTSE Russell 7 of 1

8 FTSE Value-Stocks Korea Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks Korea Index consists of 35 quality value stocks amongst liquid and tradable Korean companies listed on the Korea Exchange. Constituent stocks are capped at 1% to avoid over-concentration in any one stock. Investability Screen Actual free float applied and liquidity screened Index Launch 8 December 21 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 3 September 23 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in April and September FTSE Value-Stocks Korea Index Historical Performance Table - Total Return (KRW) Index (KRW) FTSE Value-Stocks Korea FTSE Korea * Free-float adjusted market cap before 1% capping No. of Net MCap 1M 3M 6M YTD 1YR 3YR 5YR Yield Cons (KRWbn) % % % % % % % % % % % % % ,953 * , FTSE Value-Stocks Korea Index Historical Volatility Table - Total Return (KRW) Index (KRW) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks Korea FTSE Korea FTSE Value-Stocks Korea Index Top 5 Constituents Rank Local Code Constituent ICB Subsector Net MCap (KRWbn)* Weight % Samsung Electronics Pfd. Consumer Electronics 32, Hyundai Motor Automobiles 22, Hyundai Mobis Auto Parts 16, Posco Iron & Steel 19, KT&G Tobacco 12, * Free-float adjusted market cap before 1% capping Source: FTSE Russell 8 of 1

9 FTSE Value-Stocks Taiwan Index - June 217 Data as at: 3 June 217 The FTSE Value-Stocks Taiwan Index consists of 5 quality value stocks amongst liquid and tradable Taiwanese companies listed on the Taiwan Stock Exchange ( TWSE ) and GreTai Securities Market ( GTSM ). Constituent stocks are capped at 1% to avoid over-concentration in any one stock. Investability Screen Actual free float applied and liquidity screened Index Launch 8 December 21 Index Calculation Real-time (calculated every 15 seconds) and end-of-day indices Base Date 3 September 23 End-of-Day Distribution Via FTP and Base Value 1 After close of trading on third Friday in May and September FTSE Value-Stocks Taiwan Index Historical Performance Table - Total Return (TWD) Index (TWD) FTSE Value-Stocks Taiwan FTSE TWSE Taiwan 5 * Free-float adjusted market cap before 1% capping No. of Net MCap 1M 3M 6M YTD 1YR 3YR 5YR Yield Cons (TWDm) % % % % % % % % % % % % % 5 7,524,548 * ,283, FTSE Value-Stocks Taiwan Index Historical Volatility Table - Total Return (TWD) Index (TWD) 1M 3M 6M YTD 1YR 3YR 5YR FTSE Value-Stocks Taiwan FTSE TWSE Taiwan FTSE Value-Stocks Taiwan Index Top 5 Constituents Rank Local Code Constituent ICB Subsector Net MCap (TWDm)* Weight % Hon Hai Precision Industry Electrical Components & Equipment 1,744, Formosa Plastics Corp Commodity Chemicals 451, Cathay Financial Holding Life Insurance 394, Chinatrust Financial Holding Banks 361, Fubon Financial Holdings Life Insurance 355, * Free-float adjusted market cap before 1% capping Source: FTSE Russell 9 of 1

10 FTSE Value-Stocks Indices - June 217 Data as at: 3 June 217 Data definitions from ftserussell.com For further information visit ftserussell.com, info@ftserussell.com or call your local FTSE Russell offices: FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited ( FTSE ) under licence. The FTSE Value-Stocks ASEAN Index, FTSE Value-Stocks China Index, FTSE Value-Stocks Korea Index, FTSE Value-Stocks Taiwan Index and FTSE Value-Stocks Japan Index are customised indices calculated by FTSE. All rights in the Indices vest in FTSE. The Industry Classification Benchmark ( ICB ) is owned by FTSE. 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 FTSE or its licensors for any errors or for any loss from use of this publication. Neither FTSE nor any of its licensors makes any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the name of the Index set out above or the fitness or suitability of the Index for any particular purpose to which it might be put. 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 FTSE. Distribution of FTSE data and the use of FTSE Indices to create financial products requires a licence with FTSE and/or its licensors. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB. Beijing Dubai Hong Kong London +44 () Milan Mumbai New York FTSE (3873) Paris +33 () San Francisco FTSE (3873) Sao Paulo Shanghai Sydney +61 (2) Tokyo +81 (3) Toronto Source: FTSE Russell 1 of 1