Ground Rules. FTSE US Risk Premium Index Series v1.6

Transcription

1 Ground Rules FTSE US Rsk Premum Index Seres v1.6 fserussell.com January 2018

2 Conens 1.0 Inroducon Managemen Responsbles FTSE Russell Index Polces Elgble Secures Facor Consrucon Index Consrucon Perodc Revew of Consuens Changes o Consuen Companes Corporae Acons and Evens Algorhm and Calculaon Mehod Appendx A: Furher Informaon FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

3 Secon 1 Inroducon 1.0 Inroducon 1.1 Ths documen ses ou he Ground Rules for he consrucon and managemen of he FTSE US Rsk Premum Index Seres. 1.2 The FTSE US Rsk Premum Index Seres s desgned o reflec he performance of socks represenng a specfc se of facor characerscs. 1.3 Prce and Toal Reurn ndexes wll be calculaed on an end of day bass. The Toal Reurn ndexes nclude ncome based on ex dvdend adjusmens. 1.4 The base currency of he benchmark s US Dollars (USD). Index values may also be publshed n oher currences. 1.5 FTSE Russell FTSE Russell s a radng name of FTSE Inernaonal Lmed, Frank Russell Company, FTSE Global Deb Capal Markes Lmed (and s subsdares FTSE Global Deb Capal Markes Inc. and MTSNex Lmed), Mergen, Inc., FTSE Fxed Income LLC and The Yeld Book Inc. 1.6 FTSE Russell hereby nofes users of he ndex seres ha s possble ha crcumsances, ncludng exernal evens beyond he conrol of FTSE Russell, may necessae changes o, or he cessaon of, he ndex seres and herefore, any fnancal conracs or oher fnancal nsrumens ha reference he ndex seres or nvesmen funds whch use he ndex seres o measure her performance should be able o whsand, or oherwse address he possbly of changes o, or cessaon of, he ndex seres. 1.7 Index users who choose o follow hs ndex seres or o buy producs ha clam o follow hs ndex seres should assess he mers of he ndex seres rules-based mehodology and ake ndependen nvesmen advce before nvesng her own or clen funds. No lably wheher as a resul of neglgence or oherwse s acceped by FTSE Russell (or any person concerned wh he preparaon or publcaon of hese Ground Rules) for any losses, damages, clams and expenses suffered by any person as a resul of: any relance on hese Ground Rules, and/or any errors or naccuraces n hese Ground Rules, and/or any non-applcaon or msapplcaon of he polces or procedures descrbed n hese Ground Rules, and/or any errors or naccuraces n he complaon of he ndex seres or any consuen daa. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

4 Secon 2 Managemen Responsbles 2.0 Managemen Responsbles 2.1 FTSE Inernaonal Lmed (FTSE) FTSE s he benchmark admnsraor of he ndex seres FTSE s responsble for he daly calculaon, producon and operaon of he ndex seres and wll: wll manan records of he ndex weghngs of all consuens; make changes o he consuens and her weghngs n accordance wh he Ground Rules; carry ou he perodc revews of he ndex seres and apply he changes resulng from he revews as requred by he Ground Rules; publsh changes o he consuen weghngs resulng from her ongong manenance and he perodc revews; dssemnae he ndexes These Ground Rules se ou he mehodology and provde nformaon abou he publcaon of he FTSE US Rsk Premum Index Seres. 2.2 Amendmens o These Ground Rules These Ground Rules shall be subjec o regular revew (a leas once a year) by FTSE Russell o ensure ha hey connue o mee he curren and fuure requremens of nvesors and oher ndex users. Any proposals for sgnfcan amendmens o hese Ground Rules wll be subjec o consulaon wh FTSE Russell advsory commees and oher sakeholders f approprae. The feedback from hese consulaons wll be consdered by he FTSE Russell Produc Governance Board before approval s graned. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

5 Secon 3 FTSE Russell Index Polces 3.0 FTSE Russell Index Polces These Ground Rules should be read n conjuncon wh he followng polcy documens whch can be accessed usng he lnks below: 3.1 Corporae Acons and Evens Gude 3.2 Full deals of changes o consuen companes due o corporae acons and evens can be accessed n he Corporae Acons and Evens Gude for Non Marke Capalsaon Weghed Indexes usng he followng lnk: Corporae_Acons_and_Evens_Gude_for_Non_Marke_Cap_Weghed_Indces.pdf 3.3 Queres and Complans FTSE Russell s complans procedure can be accessed usng he followng lnk: Benchmark_Deermnaon_Complans_Handlng_Polcy.pdf 3.4 Index Polcy for Tradng Hals and Marke Closures Gudance for he reamen of ndex changes n he even of radng hals or marke closures can be found usng he followng lnk: Index_Polcy_for_Tradng_Hals_and_Marke_Closures.pdf 3.5 Index Polcy n he Even Clens are Unable o Trade a Marke Deals of FTSE Russell s reamen can be accessed usng he followng lnk: Index_Polcy_n_he_Even_Clens_are_Unable_o_Trade_a_Marke.pdf 3.6 Recalculaon Polcy and Gudelnes The FTSE US Rsk Premum Index Seres s recalculaed whenever errors or dsorons occur ha are deemed o be sgnfcan, ncludng, bu no lmed o, weghng errors or recalculaons of underlyng ndexes. Users of he FTSE US Rsk Premum Index Seres are nofed hrough approprae meda. For furher nformaon refer o he FTSE Russell Recalculaon Polcy and Gudelnes documen whch s avalable from he FTSE Russell webse usng he lnk below or by conacng nfo@fserussell.com. Recalculaon_Polcy_and_Gudelnes_Equy_Indexes.pdf FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

6 3.7 Polcy for Benchmark Mehodology Changes Deals of FTSE Russell s polcy for makng benchmark mehodology changes can be accessed usng he followng lnk: Polcy_for_Benchmark_Mehodology_Changes.pdf FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

7 Secon 4 Elgble Secures 4.0 Elgble Secures 4.1 All consuen secures of he FTSE USA Index ( he underlyng ndex ) as defned by he FTSE All- World Index Seres are elgble for ncluson n he FTSE US Rsk Premum Index Seres excep as lsed below. 4.2 Sngle Facor Indexes The FTSE US Rsk Premum Index Seres s comprsed of a op 40 ndex, a boom 40 ndex and a long/shor ndex for each of he 13 facors, whch are lsed n he nex secon. 4.3 Mulple Lnes If mulple lne ssues of he same company are elgble for ncluson, only he larger secury, as defned by full marke capalsaon, s ncluded. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

8 Secon 5 Facor Consrucon 5.0 Facor Consrucon The daa cu-off dae for he calculaon of all facor daa s he close of busness on he las busness day of every monh. 5.1 Facor Normalsaon and Mssng Daa Treamen Indvdual sock facor values are normalsed cross-seconally whn each ICB Indusry: Z j = F j j -F σ(f j ) where F,j j s he raw facor value of sock for facor j, and F and j σ(f ) are he crossseconal facor mean and sandard devaon respecvely. Facor 5 (Seasonaly) s no normalsed n hs manner. 5.2 Ls of Facors Facor 1: Prce Momenum (F 1 ) s defned as he 12 monh oal reurn of he sock: F 1 12M =TR TR 12M s he oal reurn of Elgble Sock n he 12 monh perod o he daa cu-off dae Facor 2: Low Volaly (F 2 ) s defned as he negave of he 90-day realsed volaly of he sock: F 2 =-Vol 90d = [ln(tr ) -Average 90D ( ln(tr ) )] 2 ln(tr ) s he daly log oal reurn of Elgble Sock. =0 Average 90D ( ln(tr ) ) s he average of he daly log oal reurn of Elgble Sock over 90-day perod o he daa cu-off dae. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

9 5.2.3 Facor 3: Exended Prce Momenum (F 3 ) s defned as he 11 Monh oal reurn lagged by one monh dvded by he 90-day realsed volaly: F 3 = TR 11M Vol 90d TR 11M Vol 90d s he 11 monh oal reurn of Elgble Sock over he 11 Monh perod begnnng 12 monhs before he daa cu-off dae and endng one before he daa cu-off dae. s he 90 day realsed volaly of Elgble Sock, defned n as Facor Facor 4: Sze (F 4 ) s defned as he negave of he free floa marke capalsaon of each company as of he daa cu-off dae Facor 5: Seasonaly s defned as he average excess monhly reurn of sock relave o he FTSE USA ndex n he revew monh n each of he pror seven years. No secor normalsaon s appled o hs facor. 7 F 5 = 1 7 [TR m, y-j - R m, y-j ] j=1 m s he revew monh. TR m, y-j s he oal reurn of Elgble Sock n he revew monh m n each of he prevous seven years. R m, y-j s he oal reurn of he FTSE USA Index n he revew monh m n each of he prevous seven years Facor 6: Dvdend Yeld, s defned as he ralng 12 monh dvdend yeld: F 6 = D P x 100 D s he value of he Dvdends Per Share Over Las 12 monhs for Elgble Sock as of he daa cu-off dae. P s he prce of Elgble Sock as of he daa cu-off dae. Socks wh zero dvdends are reaed as mssng daa. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

10 5.2.7 Facor 7: ROE, s defned as he ralng 12 monh Reurn on Equy: F 7 = Ne Income Average Equy 100 Ne Income s he mos recenly repored value of he Tralng Twelve Monh Ne Prof for Elgble Sock on or pror o he daa cu-off dae. If such a value s unavalable, he value of Ne Income used o calculae Earnngs Per Share s used. Average Equy : f he value of he Common Equy for he prevous fscal year ( FY1H ) deermned wh respec o he daa cu-off dae s avalable, hen Average Equy =(Common Equy FY0 +Common Equy FY1H ) / 2 Oherwse, FY0 Common Equy Average Equy FY0 =Common Equy s he Common Equy for he mos recen fscal year ( FY0 ) for Elgble Sock deermned wh respec o he daa cu-off dae. FY1H Common Equy s he Common Equy for he prevous fscal year ( FY1H ) for Elgble Sock deermned wh respec o he daa cu-off dae Facor 8: Free Cash Flow Yeld s defned as he ralng 12 monh free cash flow yeld: F 8 =FCF Yeld FCF = Marke Cap FCF Yeld Marke Cap FCF Cash from Operaons CapEx s he ralng 12 monh free cash flow yeld of Elgble Sock as of he daa cu-off dae. s he full marke cap (no free floa adjused) of Elgble Sock as of he daa cu-off dae. s he ralng 12 monh free cash flow of Elgble Sock as of he daa cuoff dae, calculaed as: FCF =Cash from Operaons -CapEx s he mos recenly repored value of he Tralng Twelve Monhs Ne Cash Flow from Operang Acves for Elgble Sock on or pror o he daa cuoff dae. s he mos recenly repored value of he Tralng Twelve Monhs Capal Expendures for Elgble Sock as of daa cu-off dae. Mssng CapEx daa s reaed as zero value Facor 9: Free Cash Flow / Invesed Capal s defned as ralng 12 monh free cash flow dvded by nvesed capal: FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

11 F 9 = FCF IC FCF IC Toal Capal ST Deb s he ralng 12 monh free cash flow of Elgble Sock as of he daa cuoff dae. s he nvesed capal of Elgble Sock as of he daa cu-off dae, calculaed as: IC =Toal Capal +ST Deb s he mos recenly repored value of he Toal Capal for Elgble Sock as of he daa cu-off dae. s he mos recenly repored value of he Shor Term Deb & Curren Poron Of Long Term Deb for Elgble Sock as of he daa cu-off dae Facor 10: Free Cash Flow / Invesed Capal Trend s defned as: F 10 =Rao Trend = FCF IC - Average 4Q ( FCF IC ) Sandard Devaon 4Q ( FCF IC ) FCF IC s he ralng 12 monh free cash flow of Elgble Sock n respec of he daa cu-off dae, as defned n Facor 8. s he nvesed capal of Elgble Sock n respec of he daa cu-off dae, as defned n Facor 9. Average 4Q ( FCF IC ) s he average of free cash flow o nvesed capal rao of Elgble Sock n respec of he las four fnancal quarers for whch he free cash flow and nvesed capal daa s avalable as of he daa cu-off dae, as calculaed above. Sandard Devaon 4Q ( FCF IC ) s he sandard devaon of free cash flow o nvesed capal rao of Facor 11: Scaled NOA Dfferenal, s defned as: Elgble Sock n respec of he las four fnancal quarers for whch he free cash flow and nvesed capal daa s avalable as of he daa cu-off dae, as calculaed above. F 11 =Scaled NOA Dfferenal NOA -12M -NOA = Average 4Q (Toal Asses ) Scaled NOA Dfferenal s he 12 monh dfferenal of ne operang asses scaled by he average oal asses of Elgble Sock n respec of he daa cu-off dae. NOA s he ne operang asses of Elgble Sock n respec of he daa cu-off dae, calculaed as: NOA =Toal Equy +Toal Deb -Cash Toal Equy s he mos recenly repored value of he Toal Shareholders Equy for Elgble Sock on or pror o he daa cu-off dae. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

12 Toal Deb Cash NOA -12M s he mos recenly repored value of he Toal Deb for Elgble Sock on or pror o he daa cu-off dae. s he mos recenly repored value of he Cash & Shor Term Invesmens for Elgble Sock on or pror o he daa cu-off dae. s he ne operang asses of Elgble Sock n respec of he 12 monh pror o he daa cu-off dae. Average 4Q (Toal Asses ) s he average of oal asses of Elgble Sock n respec of he las four fnancal quarers for whch oal asses daa s avalable as of he daa cu-off dae Facor 12: Forward Dvdend Yeld Trend s defned as he esmaed 12 monh forward dvdend yeld. The consensus esmae s sourced from Insuonal Brokers' Esmae Sysem (IBES). Socks wll be excluded f he number of analyss conrbung o he consensus esmae s less han sx. Socks wh zero esmaed 12 monh forward dvdend yeld shall be reaed as mssng daa. F 12 =Forward Dv Yeld = D P D s he welve monh forward Dvdend Per Share forecas usng he IBES mean Dvdend Per Share esmae measures for he nex wo fscal perods (FY1 and FY2) for Elgble Sock as of he daa cu-off dae. Twelve monhs forward Dvdend Per Share forecas reflecs a weghed average of he FY1 and FY2 forecass, wh he weghs beng deermned by he lengh of he respecve erms. P s he closng prce of Elgble Sock as of he daa cu-off dae Facor 13: Forward Earnngs Yeld, s defned as he esmaed 12 monh forward earnngs yeld. The consensus esmae s sourced from Insuonal Brokers' Esmae Sysem (IBES). Socks wll be excluded f he number of analyss conrbung o he consensus esmae s less han egh. F 13 =Forward Earnngs Yeld = EPS P EPS P s he mean Earnngs per Share forecas for he unrepored fnancal year 1 for Elgble Sock as of he daa cu-off dae. s he closng prce of Elgble Sock as of he daa cu-off dae. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

13 Secon 6 Index Consrucon 6.0 Index Consrucon 6.1 Indvdual facor scores are calculaed as descrbed n Rule 5.2. All facors wh he excepon of Facor 5 Seasonaly are normalsed cross-seconally whn ICB ndusry o form Z-Scores. The enre elgble unverse s ranked by Z-Score For each facor, hree ndexes are creaed. The op 40 ndex ncludes he 40 socks wh he hghes rankngs based on normalsed scores; he boom 40 ndex ncludes he 40 socks wh he lowes rankngs The op and boom 40 ndexes are equally weghed. The Long/Shor ndex reurn s calculaed as he op 40 ndex reurn mnus he boom 40 ndex reurn adjused for a 1% annualsed fee on a daly bass and for a 4bp ransacon cos esmae on he monhly urnover. The calculaon of he ndexes s dealed n Secon Index Back-Hsores In order o smulae he avalably of facor daa pror o he December 2014 launch dae of he ndexes, all ndex revews pror o hs dae ulse fundamenal daa ha s lagged by a perod of hree monhs. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

14 Secon 7 Perodc Revew of Consuens 7.0 Perodc Revew of Consuens 7.1 Revew Daes The FTSE US Rsk Premum Index Seres wll be revewed monhly based on daa as of he close of busness on he las radng day of he prevous monh Changes arsng from he monhly revews are announced on he second busness day of each monh. The revew wll be mplemened afer he close of busness on he ffh busness day (.e. effecve on he subsequen busness day) of each monh. Any consuen of he underlyng ndex deleed beween he las radng day of he prevous monh and revew mplemenaon daes, wll also be deleed from he FTSE US Rsk Premum Index Seres and s wegh dsrbued pro-raa amongs he remanng consuens. 7.2 Marke Dsrupon Evens If on revew mplemenaon dae, one or more of he added or deleed ndex consuens ncur a suspenson of radng durng he las hour of he radng day and no resume radng whn he frs 45 mnues of he same hour, hen he revew for ha ndex and s correspondng par (eher long f he ndex s shor only or shor f he ndex s long only) wll be mplemened on he followng busness day. The delayed ndex mplemenaon wll be subjec o he same es on subsequen days, wh any suspensons delayng he revew by a day unl here are no suspensons among he adds and delees. Ths process s repeaed daly unl he ndex revew s mplemened or he nex monh s revew occurs. 7.3 Daa Avalably For facors 1 3 and 5, all daly prce observaons are requred for he specfed me perod. If all are no presen he calculaed merc wll be consdered mssng daa for he secury n queson. If he necessary daa s no avalable for a leas 25% of socks by number n he underlyng ndex as of he daa cu-off dae, he ndexes for ha facor for ha monh wll reman unchanged. If more han 25% of socks have avalable daa, he revew wll proceed normally usng only he socks where daa s avalable. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

15 Secon 8 Changes o Consuen Companes 8.0 Changes o Consuen Companes 8.1 Inra-revew Addons There are no nra-revew addons o hese ndexes. 8.2 Inra-revew Deleons A consuen wll be removed from a FTSE US Rsk Premum Index f s also removed from s correspondng underlyng ndex. The deleon wll be concurren wh s deleon from he underlyng ndex and s wegh wll be dsrbued pro-raa amongs he remanng consuens n he respecve FTSE US Rsk Premum Index. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

16 Secon 9 Corporae Acons and Evens 9.0 Corporae Acons and Evens 9.1 If a consuen n he underlyng ndex has a sock spl, sock consoldaon, rghs ssue, bonus ssue, a change n he number of shares n ssue or a change n free floa, he consuen s weghng n he correspondng FTSE US Rsk Premum Index wll reman unchanged pre and pos such an even. 9.2 Full deals of changes o consuen companes due o corporae acons and evens can be accessed n he Corporae Acons and Evens Gude for Non Marke Capalsaon Weghed Indexes usng he followng lnk: Corporae_Acons_and_Evens_Gude_for_Non_Marke_Cap_Weghed_Indces.pdf A Corporae Acon s an acon on shareholders wh a prescrbed ex dae. The share prce wll be subjec o an adjusmen on he ex dae. These nclude he followng: Capal Repaymens Rghs Issues/Enlemen Offers Sock Converson Spls (sub-dvson) / Reverse spls (consoldaon) Scrp ssues (Capalsaon or Bonus Issue) A Corporae Even s a reacon o company news (even) ha may mpac he ndex dependng on he ndex rules. For example, a company announces a sraegc shareholder s offerng o sell her shares (secondary share offer) hs could resul n a free floa weghng change n he ndex. Where an ndex adjusmen s requred FTSE Russell wll provde noce advsng of he mng of he change. 9.3 Takeovers, Mergers and Demergers The reamen of akeovers, mergers and demergers can be found whn he Corporae Acons and Evens Gude for Non Marke Capalsaon Weghed Indexes. 9.4 Suspenson of Dealng Suspenson of dealng rules can be found whn he Corporae Acons and Evens Gude for Non Marke Capalsaon Weghed Indexes. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

17 Secon 10 Algorhm and Calculaon Mehod 10.0 Algorhm and Calculaon Mehod 10.1 Prces The FTSE US Rsk Premum Index Seres use acual closng md-marke or las rade prces, where avalable, for secures wh local marke quoaons. Furher deals can be accessed usng he followng lnk: Closng_Prces_Used_For_Index_Calculaon.pdf 10.2 Calculaon Frequency The FTSE US Rsk Premum Index Seres wll be calculaed on an end of day bass Index Calculaon Long Index Calculaon The op 40 long ndex (I L ) for each cusom facor s calculaed as: Where, N 1 p e s d f c =1,2,,N N s he number of secures n he ndex. p s he laes rade prce of he componen secury (or he prce a he close of he ndex on he prevous day). e s he exchange rae requred o conver he secury s currency no he Index s base currency. s s he number of shares n ssue used by FTSE Russell for he secury, as defned n hese Ground Rules. f s he Invesably Weghng Facor o be appled o a secury o allow amendmens o s weghng, expressed as a number beween 0 and 1, where 1 represens a 100% free floa. Ths facor s publshed by FTSE Russell for each secury n he underlyng ndex. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

18 c s he Weghng Facor o be appled o a secury o correcly wegh ha secury n he ndex. Ths facor maps he nvesable marke capalsaon of each sock o a noonal marke capalsaon for ncluson n he ndex. d s he dvsor, a fgure ha represens he oal ssued share Capal of he Index a he base dae. The dvsor can be adjused o allow changes n he ssued share Capal of ndvdual secures o be made whou dsorng he ndex. The reurn of he long ndex (R L ) s calculaed as Shor Index Calculaon R L = I L L I -1-1 The same formula as for he long ndex above s appled o he boom 40 consuens o calculae he reurn of he boom 40 shor ndex (R S ) for each facor ndex Long/Shor Index Calculaon The reurn of he long/shor ndex s calculaed as he op 40 long ndex reurn mnus he boom 40 shor ndex reurn, adjused for a 1% annualsed fee on a daly bass and for a 4 bass pons ransacon cos esmae on he monhly urnover. Index = max (0,Index k (1-RAF Long Baske Shor Baske DC ) ( k k Long Baske Shor Baske 360 )) Index s he ndex level n respec of calculaon dae. k, Index k RAF s he ndex level n respec of he revew mplemenaon dae k mmedaely precedng calculaon dae. s he ransacon cos esmae on he monhly urnover ncurred from he revew mmedaely precedng calculaon dae, as calculaed below: - RAF = n RN n s he number of unque consuens ha are o be ncluded n he ndex on he revew effecve dae. Unque Consuen s: A consuen ha dd no have a long or shor ndex wegh mmedaely precedng revew effecve dae bu has a long or shor ndex wegh on revew effecve dae. Or, A consuen ha had a long ndex wegh mmedaely precedng revew effecve dae bu has a shor ndex wegh on revew effecve dae. Or, A consuen ha had a shor ndex wegh mmedaely precedng revew effecve dae bu has a long ndex wegh on revew effecve dae. RN s he requred number of consuens for he long and shor ndexes. A presen hs s se o 40. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

19 DC k, s he number of calendar days from bu excludng he mmedaely precedng revew mplemenaon dae k o and ncludng calculaon dae. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

20 Appendx A: Avalable Indexes Index Name FTSE US Rsk Premum Index Seres: Prce Momenum long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Prce Momenum shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Low Volaly Long Only Toal Reurn Index FTSE US Rsk Premum Index Seres: Low Volaly Shor Only Toal Reurn Index FTSE US Rsk Premum Index Seres: Exended Prce Momenum Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Exended Prce Momenum Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Sze Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Sze Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Seasonaly Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Seasonaly Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Dvdend Yeld Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Dvdend Yeld Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: ROE Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: ROE shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Forward Dvdend Yeld Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Forward Dvdend Yeld Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Forward Earnngs Yeld Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Forward Earnngs Yeld Shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Cash flow Yeld Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Cash flow Yeld shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Cash flow/invesed Capal long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Cash flow/invesed Capal shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Cash flow/invesed Capal Trend long only Toal Reurn Index FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

21 FTSE US Rsk Premum Index Seres: Cash flow/invesed Capal Trend shor only Toal Reurn Index FTSE US Rsk Premum Index Seres: Scaled NOA Dfferenal Long only Toal Reurn Index FTSE US Rsk Premum Index Seres: Scaled NOA Dfferenal shor only Toal Reurn Index FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22

22 Appendx A: Furher Informaon A Glossary of Terms used n FTSE Russell s Ground Rule documens can be found usng he followng lnk: Glossary.pdf Furher nformaon on he FTSE US Rsk Premum Index Seres s avalable from FTSE Russell. For conac deals please vs he FTSE Russell webse or conac FTSE Russell clen servces a nfo@fserussell.com. Webse: London Sock Exchange Group plc and s applcable group underakngs (he LSE Group ). The LSE Group ncludes (1) FTSE Inernaonal Lmed ( FTSE ), (2) Frank Russell Company ( Russell ), (3) FTSE Global Deb Capal Markes Inc. and FTSE Global Deb Capal Markes Lmed (ogeher, FTSE Canada ) and (4) MTSNex Lmed ( MTSNex ), (5) Mergen, Inc. ( Mergen ), (6) FTSE Fxed Income LLC ( FTSE FI ) and (7) The Yeld Book Inc ( YB ). All rghs reserved. The FTSE US Rsk Premum Index Seres s calculaed by or on behalf of FTSE or s afflae, agen or parner. FTSE Inernaonal Lmed s auhorsed and regulaed by he Fnancal Conduc Auhory as a benchmark admnsraor. FTSE Russell s a radng name of FTSE, Russell, FTSE Canada and MTS Nex Lmed. FTSE, Russell, FTSE Russell MTS, FTSE4Good, ICB, Mergen, WorldBIG, USBIG, EuroBIG, AusBIG, The Yeld Book and all oher rademarks and servce marks used heren (wheher regsered or unregsered) are rade marks and/or servce marks owned or lcensed by he applcable member of he LSE Group or her respecve lcensors and are owned, or used under lcence, by FTSE, Russell, MTSNex, FTSE Canada, Mergen, FTSE FI or YB. TMX s a regsered rade mark of TSX Inc. All nformaon s provded for nformaon purposes only. Every effor s made o ensure ha all nformaon gven n hs publcaon s accurae, bu no responsbly or lably can be acceped by any member of he LSE Group nor her respecve drecors, offcers, employees, parners or lcensors for any errors or for any loss from use of hs publcaon or any of he nformaon or daa conaned heren. No member of he LSE Group nor her respecve drecors, offcers, employees, parners or lcensors make any clam, predcon, warrany or represenaon whasoever, expressly or mpledly, eher as o he resuls o be obaned from he use of he FTSE US Rsk Premum Index Seres or he fness or suably of he Index Seres for any parcular purpose o whch mgh be pu. No member of he LSE Group nor her respecve drecors, offcers, employees, parners or lcensors provde nvesmen advce and nohng n hs documen should be aken as consung fnancal or nvesmen advce. No member of he LSE Group nor her respecve drecors, offcers, employees, parners or lcensors make any represenaon regardng he advsably of nvesng n any asse. A decson o nves n any such asse should no be made n relance on any nformaon heren. Indexes canno be nvesed n drecly. Incluson of an asse n an ndex s no a recommendaon o buy, sell or hold ha asse. The general nformaon conaned n hs publcaon should no be aced upon whou obanng specfc legal, ax, and nvesmen advce from a lcensed professonal. No par of hs nformaon may be reproduced, sored n a rereval sysem or ransmed n any form or by any means, elecronc, mechancal, phoocopyng, recordng or oherwse, whou pror wren permsson of he applcable member of he LSE Group. Use and dsrbuon of he LSE Group ndex daa and he use of her daa o creae fnancal producs requre a lcence wh FTSE, Russell, FTSE Canada, MTSNex, Mergen, FTSE FI, YB and/or her respecve lcensors.. FTSE Russell FTSE US Rsk Premum Index Seres, v1.6, January of 22