FTSE Russell Factsheet FTSE Total China Connect Index bmktitle1 The FTSE Total China Connect Index is designed to represent the performance of large and mid cap Chinese companies listed in or outside the People s Republic of China (PRC). The index reflects a broad China equity opportunity set available to international investors, and covers all major Chinese share classes including A Shares, B Shares, H Shares, Red chips, P Chips, S Chips and N Shares. The A Share constituents are determined by the shares available to international investors through the Northbound China Stock Connect Scheme. Price, Total Return and Net of Tax Indexes are calculated in real-time on an intra-second streaming basis in offshore Renminbi (CNH). Details of the Chinese share class definitions are described at the end of this document. The China-Hong Kong Stock Connect program allows international investors to trade China A Shares listed on both the Shanghai Stock Exchange and the Shenzhen Stock Exchange via the Hong Kong Stock Exchange. Unlike the QFII and RQFII schemes, the program is open to both institutional and retail international investors. Data as at: 31 May 2018 FEATURES Coverage Chinese companies listed in or outside PRC. Including A Shares, B Shares, H Shares, Red Chip, P Chip, S Chip and N Shares. Objective The indexes are designed for the creation of index tracking funds, derivatives and as a performance benchmark. Investability Stocks are selected and weighted to ensure that the index is investable. Liquidity Stocks are screened to ensure that the index 3-Year Performance - Total Return (CNH) 140 130 120 110 100 90 80 70 60 50 May-2015 Nov-2015 May-2016 Nov-2016 May-2017 Nov-2017 May-2018 Data as at month end FTSE Total China Connect FTSE China FTSE Total China Connect Net Tax FTSE China A Performance and Volatility - Total Return Index (CNH) Return % Return pa %* Volatility %** is tradable. Transparency Index methodologies are freely available on the FTSE Russell website. Availability Price, Total Return, and Net of Tax Indexes are calculated in real time and on an end of day basis. Industry Classification Benchmark (ICB) Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR FTSE Total China Connect -2.2-0.9-1.3 14.8 1.6-0.5-13.8 21.8 - FTSE China -0.2 2.4 1.7 21.1 21.6 76.8 6.7 12.1 17.7 22.5 18.0 FTSE Total China Connect Net Tax -2.2-0.9-1.4 14.6 1.0-0.3-13.8 21.8 - FTSE China A -4.9-5.7-5.9 6.0-27.5 46.2-10.2 7.9 13.9 28.5 25.3 * 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 1 of 5
Year-on-Year Performance - Total Return Index % (CNH) 2013 2014 2015 2016 2017 FTSE Total China Connect - - 2.6 0.5 27.4 FTSE China 0.9 11.2-0.8 8.6 35.9 FTSE Total China Connect Net Tax - - 2.4 0.2 27.2 FTSE China A -3.6 50.5 12.6-12.9 13.0 Return/Risk Ratio and Drawdown - Total Return Index (CNH) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR FTSE Total China Connect 1.0 0.0 - - -13.2-39.9 - - FTSE China 1.1 0.3 0.7 0.1-13.5-36.2-38.8-63.9 FTSE Total China Connect Net Tax 1.0-0.1 - - -13.2-40.0 - - FTSE China A 0.4-0.4 0.3 0.0-13.9-48.2-48.2-52.9 Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Top 10 tituents tituent Exchange ICB Supersector Tencent Holdings (P Chip) Hong Kong Technology 1,799,810 9.29 Alibaba Group Holding ADS (N Shares) US (New York) Retail 1,364,337 7.04 China truction Bank (H) Hong Kong Banks 577,836 2.98 Baidu ADS (N Shares) US (NASDAQ) Technology 427,599 2.21 Industrial and Commercial Bank of China (H) Hong Kong Banks 414,711 2.14 Ping An Insurance (H) Hong Kong Insurance 313,343 1.62 China Mobile (Red Chip) Hong Kong Telecommunications 302,198 1.56 INFORMATION Index Universe FTSE China Index + FTSE China A Index Index Launch 29 Dec 2017 Base Date 14 November 2014 Base Value 1000 Investability Screen Precise free float applied and liquidity screened Index Calculation Real-time and end-of-day indices available End-of-Day Distribution Via FTP and email Currency CNH, USD, GBP, EUR, JPY, HKD, CNY, AUD, CAD Review Dates Reviewed quarterly in March, June, September and December Kweichow Moutai (A) (SC SH) China (Shanghai) Food & Beverage 283,070 1.46 Bank of China (H) Hong Kong Banks 254,800 1.32 Ping An Insurance (Group) Company Of China (A) (SC SH) China (Shanghai) Insurance 201,910 1.04 Totals 5,939,615 30.67 Share Class Breakdown Share Class A Shares 794 8,551,824 44.16 B Shares 32 86,358 0.45 H Shares 117 3,721,206 19.21 Red Chips 39 1,227,682 6.34 P Chips 56 3,124,673 16.13 N Shares 16 2,639,400 13.63 S Chips 2 15,117 0.08 Total 1,056 19,366,259 100.00 2 of 5
ICB Supersector Breakdown FTSE Total China Connect FTSE China A FTSE China ICB Code ICB Supersector 0500 Oil & Gas 25 760,148 3.93 17 185,760 2.08 12 597,966 5.88 1300 Chemicals 55 369,556 1.91 54 331,684 3.72 7 58,789 0.58 1700 Basic Resources 79 748,676 3.87 74 550,673 6.17 18 234,313 2.31 2300 2700 truction & Materials Industrial Goods & Services 45 610,820 3.15 37 429,396 4.81 12 194,241 1.91 221 1,748,720 9.03 205 1,322,206 14.82 44 506,590 4.98 3300 Automobiles & Parts 48 603,629 3.12 36 342,860 3.84 14 266,750 2.62 3500 Food & Beverage 43 825,662 4.26 42 794,570 8.91 7 49,564 0.49 3700 Personal & Household Goods 70 705,934 3.65 64 525,869 5.90 11 198,802 1.96 4500 Health Care 89 1,061,861 5.48 79 720,717 8.08 17 370,529 3.65 5300 Retail 37 1,992,037 10.29 32 209,370 2.35 10 1,350,465 13.29 5500 Media 20 137,212 0.71 26 145,383 1.63 2 19,388 0.19 5700 Travel & Leisure 23 358,127 1.85 14 176,823 1.98 9 148,156 1.46 6500 Telecommunications 6 441,763 2.28 3 46,631 0.52 3 395,164 3.89 7500 Utilities 48 487,619 2.52 33 276,017 3.09 15 211,794 2.08 8300 Banks 32 2,739,394 14.15 22 1,157,506 12.98 11 1,586,712 15.61 8500 Insurance 13 995,522 5.14 4 327,719 3.67 9 668,031 6.57 8600 Real Estate 68 991,945 5.12 46 388,563 4.36 27 617,480 6.08 8700 Financial Services 50 679,519 3.51 37 466,654 5.23 16 229,864 2.26 9500 Technology 84 3,108,114 16.05 73 521,969 5.85 18 2,458,901 24.19 Totals 1056 19,366,259 100.00 898 8,920,369 100.00 262 10,163,500 100.00 Index Characteristics Attributes FTSE Total China Connect FTSE China A FTSE China Number of constituents 1056 898 262 19,366,259 8,920,369 10,163,500 Dividend Yield % 1.80 1.77 1.90 tituent Sizes ( CNHm) Average 18,339 9,934 38,792 Largest 1,799,810 283,267 1,799,810 Smallest 624 624 642 Median 6,129 4,798 12,076 Weight of Largest tituent (%) 9.29 3.18 17.71 Top 10 Holdings (% Index MCap) 30.67 15.86 52.52 3 of 5
31 May 2018 FTSE Total China Connect Index Data as at: 31 May 2018 CHINESE SHARE CLASS DEFINITIONS A Share A Shares are securities of Chinese incorporated companies that trade on either the Shanghai or Shenzhen stock exchanges. They are traded in Renminbi (Chinese Yuan). They can only be traded by residents of the People s Republic of China or under the Qualified Foreign Institutional Investor (QFII), the Renminbi Qualified Foreign Institutional Investor (RQFII) rules, or via the Stock Connect programs. B Share B Shares are securities of Chinese incorporated companies that trade on either the Shanghai or Shenzhen stock exchanges. They are traded in US dollars on the Shanghai Stock Exchange and Hong Kong dollars on the Shenzhen Stock Exchange. They can be traded by non-residents of the People s Republic of China and also residents of the People s Republic of China with appropriate foreign currency dealing accounts. H Share H Shares are securities of companies incorporated in the People s Republic of China that trade on the Hong Kong Stock Exchange. They are 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. Red Chip A Red Chip is a company incorporated outside the People s Republic of China (PRC) that trades on the Hong Kong Stock Exchange and is substantially owned, directly or indirectly, by Mainland China state entities with the majority of its revenue or assets derived from Mainland China. P Chip A P Chip is a company* controlled by Mainland Chinese companies or individuals, with the establishment and origin of the company in Mainland China. It must be incorporated outside the People s Republic of China (PRC) and traded on the Hong Kong Stock Exchange with a majority of its revenue or assets derived from Mainland China. * Provided that the company does not satisfy FTSE Russell s Red Chip definition. S Chip An S Chip is a company controlled by Mainland Chinese companies or individuals, with the establishment and origin of the company in mainland China. It must be incorporated outside the People s Republic of China (PRC) and traded on the Singapore Stock Exchange with a majority of its revenue or assets derived from Mainland China. N Share N Shares are companies controlled by Mainland Chinese companies or individuals, with the establishment and origin of the company in Mainland China. It must be incorporated outside the People s Republic of China (PRC) and traded on the New York Stock Exchange, the NASDAQ exchange, or the NYSE American with a majority of its revenue or assets derived from Mainland China. For more information on a definition of the various share classes and investment restrictions, please see http://www.ftse.com/products/downloads/guide_to_chinese_share_classes.pdf 4 of 5
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