FTSE Russell Factsheet an GDP Indices Data as at: 29 December 2017 bmktitle1 The FTSE GDP Index Series is designed to reflect the performance of constituent companies in an index where country weightings are proportionate to each country s forecast GDP. The indices comprising the FTSE GDP Index Series consist of the constituents of the corresponding underlying universe of the FTSE All-World Index Series at the time of the annual review in March (but may differ between reviews due to intra-review additions to the underlying index). 5-Year Performance - Total Return 180 170 160 150 140 130 120 110 100 90 (EUR) Dec-2012 Dec-2013 Dec-2014 Dec-2015 Dec-2016 Dec-2017 GDP FTSE Eurozone GDP Performance and Volatility - Total Return Data as at month end FTSE Developed Europe GDP Index (EUR) Return % Return pa %* Volatility %** 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR GDP 1.0 6.0 11.3 11.3 31.2 49.4 9.5 8.4 8.8 17.6 12.0 FTSE Developed Europe GDP 0.1 4.7 13.3 13.3 27.3 62.7 8.4 10.2 8.9 18.0 12.5 FTSE Eurozone GDP -0.3 4.4 14.6 14.6 30.0 66.6 9.1 10.8 9.6 18.4 13.5-0.6 4.5 14.2 14.2 29.6 66.1 9.0 10.7 9.3 17.9 13.0 * 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 % (EUR) 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 GDP -49.4 36.7 11.2-15.2 20.9 13.0 0.7 5.7 11.5 11.3 FTSE Developed Europe GDP -44.9 32.2 6.4-12.7 18.8 22.0 4.7 8.6 3.5 13.3 FTSE Eurozone GDP -44.9 28.9 1.6-16.1 19.8 23.7 3.6 9.2 3.8 14.6 GDP -44.8 31.0 4.5-15.3 20.0 23.2 4.1 9.5 3.6 14.2 FEATURES Methodology The five year GDP forecasts at Purchasing Power Parity (PPP) published by the International Monetary Fund (IMF) in September prior to the annual review date determine the country weightings in each GDP weighted index. Objective The indices are designed for the creation of index tracking funds, derivatives and as a performance benchmark. Investability Stocks in the underlying universe are freefloat weighted to ensure that only the investable opportunity set is included. Liquidity Stocks in the underlying universe are screened to ensure that the indices are tradable. Capping tituent weights are capped at 5% at the annual review. Transparency The indices use a transparent, rules-based construction process. Index Rules are freely available on the FTSE website. Availability The indices are calculated based on price and total return methodologies, available end-of-day. Net TRI versions of the indices are also available. Industry Classification Benchmark Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. 1 of 5
an GDP Indices Data as at: 29 December 2017 Return/Risk Ratio and Drawdown - Total Return Index (EUR) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR GDP 1.3 0.5 0.7 0.1-4.3-28.3-28.3-60.9 FTSE Developed Europe GDP 1.5 0.5 0.8 0.2-4.7-26.9-26.9-57.2 FTSE Eurozone GDP 1.5 0.5 0.8 0.1-4.0-27.3-27.3-58.4 Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Top 10 tituents - GDP Index 1.5 0.5 0.8 0.1-4.0-27.1-27.1-57.8 tituent Country ICB Sector GDP (Wgt %) Diff % (Wgt %) SBERBANK Russia Banks 2.96 0.42 2.53 Lukoil-Holding Russia Oil & Gas Producers 1.85 0.27 1.58 OAO Gazprom Russia Oil & Gas Producers 1.68 0.24 1.45 Banco Santander Spain Banks 1.37 1.04 0.33 Enel Italy Electricity 1.17 0.48 0.69 Siemens AG Germany General Industrials 1.15 1.05 0.10 Allianz SE Germany Nonlife Insurance 1.14 1.02 0.12 Bayer AG Germany Pharmaceuticals & Biotechnology 1.12 1.03 0.09 BASF Germany Chemicals 1.10 1.00 0.10 SAP Germany Software & Computer Services 1.09 1.01 0.08 Totals 14.63 7.56 Top 10 tituents - Index INFORMATION Index Universe FTSE All-World Index Index Launch 17 September 2013 Base Date 15 March 2013 Base Value 1000 Investability Screen Actual free float applied and liquidity screened Index Calculation End-of-day End-of-Day Distribution Via FTP and email Currency USD, EUR, GBP, JPY, AUD Review Dates Annually in March History Available from 16 March 2001 tituent Country ICB Sector (Wgt %) FTSE Developed Europe ex Diff % UK (Wgt %) Banco Santander Spain Banks 2.27 1.52 0.75 Enel Italy Electricity 1.93 0.70 1.24 Siemens AG Germany General Industrials 1.91 1.54 0.36 Allianz SE Germany Nonlife Insurance 1.88 1.50 0.39 Bayer AG Germany Pharmaceuticals & Biotechnology 1.86 1.51 0.35 BASF Germany Chemicals 1.83 1.47 0.36 SAP Germany Software & Computer Services 1.81 1.49 0.32 Eni Italy Oil & Gas Producers 1.68 0.60 1.08 Intesa Sanpaolo Italy Banks 1.65 0.66 0.99 Unicredit Italy Banks 1.61 0.61 1.01 Totals 18.43 11.60 2 of 5
an GDP Indices Data as at: 29 December 2017 Country Breakdown GDP Country No. of Net MCap (EURm) Wgt % No. of Net MCap (EURm) Wgt % Austria 7 164,898 1.96 7 32,781 0.39 Belgium 13 160,571 1.91 13 145,051 1.73 Czech Rep. 4 123,937 1.48 4 7,922 0.09 Denmark 19 95,134 1.13 19 223,345 2.67 Finland 14 74,326 0.89 14 124,593 1.49 France 82 942,620 11.23 86 1,270,740 15.19 Germany 72 1,336,601 15.92 74 1,226,860 14.66 Greece 11 113,231 1.35 11 16,303 0.19 Hungary 4 98,885 1.18 4 16,337 0.20 Ireland 4 114,996 1.37 5 32,187 0.38 Italy 35 779,871 9.29 38 327,517 3.91 Netherlands 25 297,445 3.54 27 429,851 5.14 Norway 11 123,214 1.47 11 82,480 0.99 Poland 25 394,493 4.70 30 61,623 0.74 Portugal 4 98,042 1.17 4 19,411 0.23 Russia 36 1,094,056 13.03 40 159,815 1.91 Spain 30 570,497 6.80 32 415,741 4.97 Sweden 38 158,857 1.89 40 349,619 4.18 Switzerland 46 148,295 1.77 48 1,032,193 12.34 Turkey 31 610,628 7.27 32 48,970 0.59 UK 133 893,685 10.65 136 2,343,810 28.01 Totals 644 8,394,282 100.00 675 8,367,148 100.00 Country Breakdown Country No. of Net MCap (EURm) Wgt % No. of Net MCap (EURm) Wgt % Austria 7 189,274 3.26 7 32,781 0.57 Belgium 13 184,307 3.17 13 145,051 2.54 Denmark 19 109,197 1.88 19 223,345 3.91 Finland 14 85,313 1.47 14 124,593 2.18 France 82 1,081,962 18.61 86 1,270,740 22.25 Germany 72 1,534,183 26.39 74 1,226,860 21.48 Ireland 4 131,995 2.27 5 32,187 0.56 Italy 35 895,155 15.40 38 327,517 5.73 Netherlands 25 341,414 5.87 27 429,851 7.52 Norway 11 141,428 2.43 11 82,480 1.44 Portugal 4 112,535 1.94 4 19,411 0.34 Spain 30 654,830 11.26 32 415,741 7.28 Sweden 38 182,340 3.14 40 349,619 6.12 Switzerland 46 170,217 2.93 48 1,032,193 18.07 Totals 400 5,814,150 100.00 418 5,712,367 100.00 3 of 5
29 December 2017 an GDP Indices Data as at: 29 December 2017 ICB Industry Breakdown - GDP Index GDP ICB Code ICB Industry No. of Net MCap (EURm) Wgt % No. of Net MCap (EURm) Wgt % 0001 Oil & Gas 35 1,209,674 14.41 36 682,030 8.15 1000 Basic Materials 60 670,550 7.99 62 601,746 7.19 2000 Industrials 116 879,526 10.48 122 1,143,378 13.67 3000 umer Goods 83 1,151,254 13.71 88 1,544,810 18.46 4000 Health Care 42 515,959 6.15 44 998,932 11.94 5000 umer Services 74 509,909 6.07 78 527,589 6.31 6000 Telecommunications 30 368,439 4.39 32 308,408 3.69 7000 Utilities 39 481,499 5.74 41 313,652 3.75 8000 Financials 146 2,347,935 27.97 150 1,933,897 23.11 9000 Technology 19 259,536 3.09 22 312,705 3.74 Totals 644 8,394,282 100.00 675 8,367,148 100.00 ICB Industry Breakdown - Index ICB Code ICB Industry No. of Net MCap (EURm) Wgt % No. of Net MCap (EURm) Wgt % 0001 Oil & Gas 13 369,539 6.36 13 227,221 3.98 1000 Basic Materials 32 423,728 7.29 32 377,975 6.62 2000 Industrials 82 870,490 14.97 85 914,858 16.02 3000 umer Goods 59 1,031,148 17.74 62 1,121,796 19.64 4000 Health Care 35 477,109 8.21 35 788,925 13.81 5000 umer Services 35 286,034 4.92 37 269,036 4.71 6000 Telecommunications 17 235,343 4.05 18 193,439 3.39 7000 Utilities 22 402,100 6.92 24 229,659 4.02 8000 Financials 90 1,450,544 24.95 94 1,300,475 22.77 9000 Technology 15 268,115 4.61 18 288,982 5.06 Totals 400 5,814,150 100.00 418 5,712,367 100.00 Index Characteristics Attributes GDP FTSE Developed Europe ex UK GDP FTSE Developed Europe ex UK Number of constituents 644 675 400 418 Net MCap (EURm) 8,394,282 8,367,148 5,814,150 5,712,367 Dividend Yield % 3.39 3.21 2.92 2.91 tituent Sizes (Net MCap EURm) Average 13,035 12,396 14,535 13,666 Largest 248,069 221,858 132,064 221,858 Smallest 91 159 104 198 Median 5,444 5,409 6,400 6,484 Weight of Largest tituent (%) 2.96 2.65 2.27 3.88 Top 10 Holdings (% Index MCap) 14.63 16.28 18.44 19.98 4 of 5
an GDP Indices Data as at: 29 December 2017 bmkimage1 bmkimage2 bmkimage3 2017 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. 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 GDP Index Series or the fitness or suitability of the FTSE GDP Index Series for any particular purpose to which they 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 from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors. Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index. Data definitions available from info@ftserussell.com To learn more, visit www.ftserussell.com; email info@ftserussell.com; or call your regional Client Services Team office: EMEA +44 (0) 20 7866 1810 North America +1 877 503 6437 Asia-Pacific Hong Kong +852 2164 3333 Tokyo +81 3 3581 2764 Sydney +61 (0) 2 8823 3521 5 of 5