FTSE Russell Factsheet JP Morgan Diversified Factor Global Developed Equity Index FEATURES Data as at: 31 January 2019 bmktitle1 The JP Morgan Diversified Factor Indexes are comprised of large and mid-cap equity securities selected from the Index, and use a rules-based risk allocation and multifactor selection process developed in conjunction with J.P. Morgan Asset Management. The indexes are designed to reflect the performance of stocks representing a diversified set of factor characteristics. Constituents are selected using investment characteristics including attractive relative valuation, positive price momentum, low volatility and small market capitalization, and seek to equally diversify risk across global regions and industries. Where hedged 100% to USD, the calculation reduces the foreign currency risk from a USD perspective from the index. 10-Year Performance - Developed Total Return 350 300 250 200 150 100 50 (USD) Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Data as at month end Developed Developed Net Tax 10-Year Performance - International Total Return 350 300 250 200 150 100 (USD) Objective The indexes are designed for the creation of index tracking funds, derivatives and as a performance benchmark. Investability A transparent and replicable portfolio construction strategy. Liquidity Stocks in the underlying universe are screened to ensure that the index is tradable. Transparency The index uses a transparent, rules-based construction process. Index Methodologies are freely available on the FTSE Russell website. Availability The index is calculated based on price and total return methodologies, both real time and end of day. Net Total Return and hedged indexes are also calculated. Industry Classification Benchmark (ICB) Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. 50 Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Data as at month end Net Tax 1 of 7
10-Year Performance - International Currency Hedged Total Return 350 300 250 200 150 100 50 (USD) Jan-2009 Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Hedged Performance and Volatility - Total Return Data as at month end Hedged Net Tax Index (USD) Return % Return pa %* Volatility %** 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Developed 4.0-3.9 7.0-6.9 35.0 44.3 10.5 7.6 10.0 10.3 10.1 Developed Net Tax 3.8-4.1 7.0-7.4 32.9 40.7 9.9 7.1 10.0 10.3 10.1 1.0-4.8 7.8-6.5 40.3 43.6 12.0 7.5 13.0 11.3 11.1 3.7-5.2 7.0-9.2 27.5 29.0 8.4 5.2 11.1 11.8 11.1 Net Tax Hedged 3.6-5.4 7.0-9.5 26.0 26.6 8.0 4.8 11.1 11.8 11.1 1.9-4.3 5.9-2.4 28.2 51.8 8.6 8.7 10.0 10.1 9.2 INFORMATION Index Universe Index Index Launch 5 May 2014 (Hedged Indexes 2 July 2015) Base Date 18 April 2014 Base Value 1000 History Available from March 2001 (Hedged Indexes 30 September 2003) Index Calculation Real-time and end-of-day (Hedged Indexes end-of-day only) End-of-Day Distribution Via FTP and email Currency USD, EUR, GBP, JPY Review Dates Hedged Net Tax 1.8-4.4 5.9-2.8 26.7 49.0 8.2 8.3 10.0 10.1 9.2 Monthly 1.8-7.6 6.8-12.4 28.4 18.4 8.7 3.4 11.8 13.0 12.1 * 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 Year-on-Year Performance - Total Return Index % (USD) 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Developed 30.6 17.3-2.8 15.0 23.4 4.5 4.0 6.5 25.4-9.9 Developed Net Tax 30.0 16.8-3.2 14.5 22.9 3.9 3.5 5.9 24.8-10.4 31.4 12.3-5.5 17.0 26.8 5.1-0.3 8.2 23.9-8.6 International International Net Tax International Hedged International Hedged Net Tax ex North America 33.1 15.8-3.4 15.3 20.4 0.2 3.5 1.8 25.9-12.2 32.7 15.5-3.7 15.0 20.1-0.1 3.2 1.3 25.4-12.5 25.1 11.4-4.1 15.6 26.2 9.5 9.1 7.0 17.6-7.5 24.7 11.1-4.4 15.3 25.9 9.2 8.8 6.5 17.2-7.9 34.0 9.1-12.1 18.6 22.0-4.6 0.0 2.0 27.1-14.0 5-Year Correlation - Total Return Developed Developed 1.000 0.946 1.000 5-Year Correlation - Total Return 1.000 0.971 1.000 2 of 7
Return/Risk Ratio and Drawdown - Total Return Index (USD) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR Developed -0.7 1.0 0.8 1.0-15.9-16.9-16.9-17.5 Developed Net Tax -0.7 0.9 0.7 0.9-16.3-17.3-17.3-17.5-0.5 1.1 0.7 0.8-17.9-18.5-18.5-22.3-0.8 0.7 0.5 0.8-17.4-18.1-18.1-18.1 Net Tax -0.8 0.7 0.4 0.8-17.7-18.4-18.4-18.4 Hedged -0.2 0.9 0.9 1.2-12.6-12.6-15.5-15.5 Hedged Net Tax -0.3 0.9 0.9 1.1-12.6-12.6-15.6-15.6-1.0 0.7 0.3 0.6-19.9-21.1-22.1-27.2 Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Top 10 Constituents - Developed Constituent Country ICB Industry Developed (Wgt %) Diff % (Wgt %) Samsung Electronics Korea Technology 0.39 0.49-0.10 Link Real Estate Investment Trust Hong Kong Financials 0.35 0.06 0.29 Swedish Match Sweden Consumer Goods 0.34 0.02 0.32 Neste Oyj Finland Oil & Gas 0.33 0.03 0.30 Waters Corp USA Industrials 0.33 0.04 0.29 BHP Group Australia Basic Materials 0.33 0.21 0.12 CSL Australia Health Care 0.33 0.16 0.16 Anglo American UK Basic Materials 0.33 0.06 0.26 Cochlear Australia Health Care 0.32 0.02 0.30 Mitsubishi Corp Japan Industrials 0.32 0.09 0.23 Totals 3.37 1.18 Top 10 Constituents - International Constituent Country ICB Industry International (Wgt %) ex North Diff % America (Wgt %) Link Real Estate Investment Trust Hong Kong Financials 0.45 0.16 0.29 Neste Oyj Finland Oil & Gas 0.45 0.09 0.36 AGL Energy Australia Utilities 0.44 0.07 0.37 Segro UK Financials 0.43 0.06 0.37 Capcom Co Ltd Japan Technology 0.43 0.01 0.41 UPM-Kymmene Finland Basic Materials 0.42 0.10 0.32 Sojitz Japan Industrials 0.42 0.03 0.39 Campari Italy Consumer Goods 0.42 0.03 0.39 Hong Kong & China Gas Hong Kong Utilities 0.42 0.13 0.29 Mochida Pharmaceutical Japan Health Care 0.42 0.01 0.41 Totals 4.30 0.69 3 of 7
ICB Industry Breakdown - Developed Developed ICB Code ICB Industry No. of Cons Wgt % No. of Cons Wgt % Diff % 0001 Oil & Gas 36 6.43 91 5.97 0.47 1000 Basic Materials 57 9.48 150 4.13 5.35 2000 Industrials 72 11.94 421 13.24-1.30 3000 Consumer Goods 68 13.10 307 11.54 1.55 4000 Health Care 54 10.08 156 12.13-2.05 5000 Consumer Services 79 12.77 301 11.39 1.38 6000 Telecommunications 29 5.94 47 2.65 3.30 7000 Utilities 49 9.57 92 3.29 6.28 8000 Financials 67 11.75 461 20.73-8.98 9000 Technology 43 8.93 147 14.93-5.99 Totals 554 100.00 2173 100.00 ICB Industry Breakdown - International International ex North America ICB Code ICB Industry No. of Cons Wgt % No. of Cons Wgt % Diff % 0001 Oil & Gas 26 7.07 42 5.67 1.40 1000 Basic Materials 42 9.58 119 6.75 2.84 2000 Industrials 62 12.22 313 15.17-2.96 3000 Consumer Goods 58 12.51 230 17.76-5.25 4000 Health Care 42 9.89 99 10.89-1.00 5000 Consumer Services 63 12.61 204 7.93 4.68 6000 Telecommunications 24 6.70 39 3.54 3.16 7000 Utilities 34 10.05 59 3.66 6.39 8000 Financials 52 10.82 311 22.45-11.63 9000 Technology 33 8.55 74 6.18 2.37 Totals 436 100.00 1490 100.00 4 of 7
Country Breakdown - Developed Developed Country No. of Cons Wgt % No. of Cons Wgt % Diff % Australia 51 9.26 95 2.48 6.78 Austria 1 0.21 8 0.08 0.13 Belgium 6 0.94 13 0.35 0.59 Canada 20 3.64 61 3.11 0.53 Denmark 4 0.78 21 0.58 0.19 Finland 7 1.17 15 0.46 0.70 France 22 3.90 86 3.58 0.32 Germany 16 2.59 84 3.05-0.46 Hong Kong 28 5.49 88 1.42 4.07 Ireland - - 5 0.09-0.09 Israel - - 27 0.19-0.19 Italy 6 1.02 36 0.85 0.17 Japan 124 21.79 518 9.17 12.62 Korea 53 9.55 129 1.79 7.76 Netherlands 9 1.67 28 1.17 0.50 New Zealand 2 0.37 12 0.10 0.28 Norway 5 1.02 13 0.25 0.77 Poland - - 14 0.14-0.14 Portugal 2 0.41 4 0.05 0.36 Singapore 14 2.24 32 0.46 1.78 Spain 12 2.28 32 1.07 1.21 Sweden 12 2.26 43 0.91 1.35 Switzerland 13 1.92 49 2.94-1.02 UK 30 3.50 138 6.11-2.61 USA 117 23.99 622 59.61-35.62 Totals 554 100.00 2173 100.00 5 of 7
31 January 2019 Country Breakdown - International Country No. of Cons Wgt % No. of Cons Wgt % Diff % Australia 41 9.23 95 6.67 2.57 Austria 2 0.39 8 0.22 0.16 Belgium 4 0.97 13 0.93 0.04 Denmark 5 0.86 21 1.56-0.70 Finland 7 2.00 15 1.24 0.76 France 27 5.60 86 9.61-4.01 Germany 17 3.60 84 8.17-4.57 Hong Kong 32 7.07 88 3.80 3.27 Ireland - - 5 0.23-0.23 Israel - - 27 0.50-0.50 Italy 5 1.28 36 2.27-0.98 Japan 114 24.07 518 24.60-0.54 Korea 46 10.10 129 4.80 5.30 Netherlands 8 2.06 28 3.15-1.09 New Zealand 2 0.50 12 0.26 0.23 Norway 5 1.41 13 0.67 0.74 Poland - - 14 0.36-0.36 Portugal 2 0.62 4 0.14 0.48 Singapore 14 2.63 32 1.23 1.40 Spain 9 2.06 32 2.86-0.80 Sweden 12 3.18 43 2.43 0.75 Switzerland 9 1.91 49 7.89-5.98 UK 75 20.46 138 16.39 4.07 Totals 436 100.00 1490 100.00 Index Characteristics Attributes JP Morgan Div. Factor Developed JP Morgan Div. Factor International ex North America Number of constituents 554 2173 436 1490 Net MCap (USDm) 10,049,125 39,562,814 5,066,574 14,748,399 Dividend Yield % 2.93 2.56 3.35 3.35 Constituent Sizes (Net MCap USDm) Average 18,139 18,207 11,621 9,898 Largest 39,237 790,375 22,751 262,116 Smallest 680 69 87 69 Median 18,798 6,592 11,851 4,075 Weight of Largest Constituent (%) 0.39 2 0.45 1.78 Top 10 Holdings (% Index MCap) 3.37 11.69 4.30 11.42 6 of 7
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