FTSE MONTHLY REPORT - March 218 FTSE MPF INDEX SERIES Data as at: 3 March 218 FTSE MPF INDEX SERIES INTRODUCTION The Mandatory Provident Fund (MPF) system aims to provide a cost-effective system of retirement protection for the working population of Hong Kong. The Mandatory Provident Fund Schemes Authority (MPFA) was established in September 1998 to regulate and supervise the operations of provident fund schemes, with the MPF system implemented on 1st December, 2. To provide a means of comparison with MPF investment funds, Willia Towers Watson and the Hong Kong Investment Funds Association (HKIFA) selected FTSE to calculate a series of MPF benchmarks that were launched in April 21. The FTSE All-World Index Series was used as the base universe for a range of MPF country and regional equity indices. On 1 January, 25, the FTSE MPF Index series was rebranded and officially launched after conducting the first market consultation in 24. The enhanced series provides the most precise benchmarks for the Hong Kong market by accurately reflecting regulatory requirements, permitted investment markets and asset classes as well as accounting for any dividend withholding tax rates and investment restrictions applied to the MPF system. At present, the FTSE MPF Index Series comprises 24 indices on a hedged and unhedged basis covering the various investment opportunities allowable under the Hong Kong MPF system. FTSE MPF INDEX SERIES COMMENTARY 1-Month Performance of Selected FTSE MPF Indices FTSE MPF Hong Kong FTSE MPF All-World * FTSE MPF Asia Pacific ex * FTSE MPF Emerging Markets * FTSE MPF Europe * FTSE MPF Greater China FTSE MPF Japan * FTSE MPF North America * -2.56-2.45-2.7-2.9-1.81-1.86-1.78-1.2-3. -2. -1. 1-Month HKD Performance * Indicates the performance of corresponding hedged indices Year To Date Performance of Selected FTSE MPF Indices FTSE MPF Hong Kong FTSE MPF All-World * FTSE MPF Asia Pacific ex Japan * FTSE MPF Emerging Markets * FTSE MPF Europe * FTSE MPF Greater China FTSE MPF Japan * FTSE MPF North America * -2.33 -.98 -.77 -.78 -.38.53 1.38 1.57-4. -2. 2. HKD Performance * Indicates the performance of corresponding hedged indices The FTSE MPF Hong Kong Index finished the month in negative territory, down 2.56 per cent in March. Domestic Hong Kong companies underperformed P Chip, Red Chip and H Share companies that are included in the FTSE MPF China Index by 1.5 per cent, seeing a negative performance of 3.5 per cent on the month. Year to date the FTSE MPF Hong Kong Index is up.53 per cent, with the FTSE MPF Domestic Hong Kong Index and the FTSE MPF China Index down 1.15 per cent and up 2.18 per cent respectively. Compared to Hong Kong, the Asia Pacific ex Japan region saw slightly stronger performance in March, with the FTSE MPF Asia Pacific ex Japan Hedged Index down 1.81 per cent. The FTSE MPF Japan Hedged Index finished the month down 1.78 per cent. Against other regions Asia Pacific ex Japan's performance was mixed, underperforming Europe and outperforming North America, with the FTSE MPF Europe Hedged Index down 1.2 per cent, and the FTSE MPF North America Hedged Index down 2.45 per cent. Global markets fell 2.7 per cent in March, with the performance continuing to fall year-to-date by.98 per cent. Emerging markets also saw negative performance in March, with the FTSE MPF Emerging Markets Hedged Index down 2.9 per cent. TABLE OF CONTENTS Introduction & Index Series Overview 1 FTSE MPF Hong Kong Index 5 FTSE MPF Domestic Hong Kong Index 6 FTSE MPF China Index 7 FTSE MPF Greater China Index 8 FTSE MPF All-World Index 9 FTSE MPF Asia Pacific ex Japan Index 1 FTSE MPF Asia Pacific ex JP ex AU ex NZ Index 11 FTSE MPF Asia Pacific ex JP & HK Index 12 FTSE MPF Asia Pacific ex JP incl. HSBC Index 13 FTSE MPF Emerging Markets Index 14 FTSE MPF Europe Index 15 FTSE MPF Japan Index 16 FTSE MPF North America Index 17 FTSE MPF USA Index 18 Monthly Summary and Appendix 19 FEATURES Objective The FTSE MPF Index Series has been designed for the creation of index tracker funds and ETFs, and as a tool to enable performance comparisons with the many MPF funds currently available in Hong Kong Universe The FTSE MPF Index Series is based on the FTSE All-World Index Series which includes global large and mid-cap companies Tax Adjusted The total return indices are calculated using the actual withholding tax rates applicable to MPF funds Capping The indices are subject to a 9 per cent limit on the size of constituents included in an index on a monthly basis Eligibile Securities The indices only include eligible securities listed on stock exchanges approved by the MPFA. Securities not fully permissible under the MPFA Guidelines, such as Stapled securities, REITs which are not authorised by Hong Kong s Securities and Futures Commission (SFC), Unit Trusts, Receipts or Certificates with unlisted underlying shares etc., are not eligible for inclusion Currency Hedging The MPF regulations stipulate that at least 3 per cent of a fund s exposure must be to Hong Kong dollar risk assets. The currency hedged index series will hedge non-hong Kong dollar currency exposure in excess of 65 per cent to ensure they stay 1 of 19
FTSE MPF Index Series Data as at: 3 March 218 FTSE MPF INDEX SERIES INTRODUCTION 9% 98% Index Review Universe Exclusions Large Cap Mid Cap Small Cap INDEX METHODOLOGY OVERVIEW FTSE MPF All-World Index EUROPE Austria Belgium / Luxembourg Denmark Finland France Germany Greece Ireland Italy Netherlands Norway Portugal Spain Sweden Switzerland UK MIDDLE EAST & AFRICA Israel NORTH AMERICA Canada LATIN AMERICA Brazil* ASIA PACIFIC China (Red, P, S Chips & H, N Shares) Hong Kong Australia India* Japan** Malaysia* New Zealand Philippines* FTSE MPF Greater China Index FTSE MPF Hong Kong Index FTSE MPF Domestic Hong Kong Index FTSE MPF China Index South Africa* USA** Mexico* HEDGED INDICES Hong Kong Listed HSBC Red Chips H Shares Hong Kong Companies Taiwan Companies P Chips * Markets included in the FTSE MPF Emerging Markets Index ** FTSE MPF Country Indices available Eligible Securities Each constituent of the FTSE MPF Indices must be a current constituent of FTSE All-World Index. The FTSE All- World Index contains global large and mid cap companies and covers 9 per cent of the investable market capitalisation universe. To ensure the FTSE All-World Index is investable, eligible securities are subject to three screens: size, liquidity and free float (including foreign ownership restrictions). After the initial index screening of the eligible constituents, those falling into any one of the following categories will NOT be eligible to be included in the FTSE MPF Index Series: 1. Securities listed on a stock exchange not currently a MPFA approved stock exchange (see Appendix A for details). 2. Stapled securities, which is an arrangement under which different securities are quoted jointly 3. Real Estate Investment Trusts (REITs) which are not authorised by Hong Kong s Securities and Futures Commission (SFC) 4. Unit Trusts, Receipts or Certificates with unlisted underlying shares and all other securities which are not fully permissible under the MPFA Guidelines Index Review The FTSE MPF Index Series is reviewed semi-annually in March and September as part of the reviews of the FTSE All-World Index on the same dates. Changes are implemented after the close of business on the third Friday in the same month. Review month Regions Under Review Data Taken as of March / September Asia Pacific ex Japan Last Business Day in December / June Latin America Emerging Europe Middle East & Africa Developed Europe Japan North America New Issues A stock will be added outside a review when its full market capitalisation (its price multiplied by its shares) is greater than the Fast Entry Level for the relevant region. The Fast Entry level for each region will be set at the time of the review and published by FTSE. The addition of a new security to the index will be implemented after the close of business on the fifth day of trading. UNHEDGED INDICES INFORMATION Index Universe FTSE All-World Index Series plus Hong Kong listed HSBC Holdings Index Launch FTSE MPF Asia Pacific ex JP incl. HSBC Index, FTSE MPF Emerging Markets Index - 2 July 28 FTSE MPF Emerging Markets Hedged Index - 21 March 211 All Other FTSE MPF Indices - 1 January 25 Base Date FTSE MPF Domestic Hong Kong Index, FTSE MPF China Index, FTSE MPF Greater China Index - 31 December 24 FTSE MPF Asia Pacific ex JP incl. HSBC Index, FTSE MPF Emerging Markets Index: - 3 March 27 FTSE MPF Emerging Markets Hedged Index - 31 December 21 All Other FTSE MPF Indices - 3 November 2 Base Value FTSE MPF Asia Pacific ex JP incl. HSBC Index - 13922.23 FTSE MPF Emerging Markets Hedged Index - 7276.65 All Other FTSE MPF Indices - 5 Index Calculation End-of-day indices available End-of-Day Distribution Indices available on the next day at 11: Hong Kong local time (3: hours GMT) via FTP and email Currency HKD, USD Review Dates Semi annually in March and September for all regions: - Asia Pacific ex Japan - Latin America - Emerging Europe - Japan - Middle East & Africa - Developed Europe - North America Index Rules Available at www.ftse.com/products/indices/mpf Vendor Codes See page 4 or contact 2 of 19
FTSE MPF Index Series Data as at: 3 March 218 INDEX METHODOLOGY OVERVIEW CONTINUED Constituent Selection Size Screen for Inclusion and Exclusion Constituents and non-constituents will be ranked by full market capitalisation in their current respective regional All-World Index universe. Different size and weighting requirements are currently in place to review existing constituents for exclusion, and non-constituents for inclusion in the indices. For details of the screening please refer to the FTSE Global Equity Index Series Ground Rules on the ftse.com website. Liquidity Screen The index series is tested for liquidity, by the volume of shares traded to prevent illiquid stocks either being added to the indices or continuing to remain a member of the index family. The liquidity screen is based on a security s median daily trading per month, with each daily trade total ranked and the middle ranking day selected. Daily totals with zero trades are included. Non-constituents must turnover at least.5% of their shares in issue (after the adjustment of free float and foreign ownership restrictions) based on their median daily trade per month in ten of the twelve months prior to the semi-annual review. An existing constituent must trade at least.4% of its shares in issue (after the adjustment of free float and foreign ownership restrictions) based on its median daily trade per month for at least eight of the twelve months prior to the semi-annual review. New issues must have a minimum 3 months trading record when reviewed and a turnover of at least.5% of their shares in issue (after the adjustment of free float and foreign ownership restrictions) based on their median daily trading volume each month, on a pro-rata basis since listing. Further details of the index methodology can be found on www.ftse.com/products/indices/mp F. The following publications are available by contacting your local FTSE Russell Client Services team or info@ftserussell.com. GROUND RULES FOR THE MANAGEMENT OF THE FTSE MPF INDEX SERIES Free Float and Foreign Ownership Restriction The FTSE MPF Index Series constituents are adjusted for free float and foreign ownership restrictions, and therefore are weighted according to how much share capital is available for public investment. This achieves the most accurate and neutral market representation possible, meaning that only shares you can own are included in the index. FTSE has chosen to apply a precise free float methodology when determining the eligibility of a stock. If a company's actual free float is greater than 5%, the free float number will be rounded to 12 decimal places. Companies with an actual free float of 5% or below are not eligible for inclusion in the Index. Restrictions on the Size of Index Constituents In order to take into account the MPFA restrictions on the size of holdings included in a fund, each index in the FTSE MPF Index Series is capped to ensure no constituent is greater than 9 per cent on a monthly basis. Applying Dividend Withholding Tax Rates Withholding tax is paid on income investors earn overseas. The Government of Hong Kong, SAR has taxation agreements (DTA) with other countries that prevent what is known as double taxation. By taking into account the relevant dividend withholding tax rates the FTSE MPF Index Series provides a more accurate index calculation. Currency Hedging Calculation The currency hedged indices that are a part of the FTSE MPF Index Series use one month forward contracts in order to reduce the risk of currency fluctuations when investing in overseas stocks that are not denominated in Hong Kong Dollars. The MPF regulations stipulate that at least 3 per cent of a fund s exposure must be to Hong Kong Dollar risk assets. The currency hedged indices will hedge non-hong Kong Dollar currency exposure in the indices in excess of 65 per cent to ensure they stay well within the regulations. Index Committees and Market Consultations The FTSE Russell External Advisory Committees assist in the oversight of the FTSE All-World Index Series, of which the FTSE MPF Index Series is based. The Terms of Reference of the committees are set out on the FTSE Russell website. On a periodic basis FTSE in association with the HKIFA, and Willis Towers Watson conduct a market consultation. The aim of the consultation is to account for any change in investment restrictions and to ensure that the indices provide the most precise benchmark for the market. The results of the consultation will be reviewed by an independent review panel and then announced to the market along with any changes in the index series. 3 of 19
FTSE MPF Index Series Data as at: 3 March 218 COMMENTARY IN MARCH The FTSE MPF Index Series has been designed for the creation of index tracker funds and ETFs, and as a tool to enable performance comparisons with the many MPF funds currently available in Hong Kong. The index series contains 24 indices of which 14* are used as headline indices to compare against MPF investment fund performance. These 14 indices are either currency hedged or are not required to be hedged due to a large exposure in Hong Kong Dollar assets, and are used in the commentary included below. The 37 constituents of the FTSE MPF Hong Kong Index finished the month in negative territory, down 2.56 per cent in March. In fact all 14 headline indices also saw negative performance in the month. Domestic Hong Kong companies underperformed P Chip, Red Chip and H Share companies that are included in the FTSE MPF China Index by 1.5 per cent, seeing a performance of 3.5 per cent on the month. Hong Kong companies account for 31.27 per cent, H Shares 3.73 per cent, P Chips 19.25 per cent, Red Chips 9.78 per cent, and HSBC finished the month with a weighting of 8.96 per cent in the FTSE MPF Hong Kong Index. Financials is the largest industry using the Industry Classification Benchmark (ICB) in both the FTSE MPF Domestic Hong Kong Index and FTSE MPF China Index with a weighting of 54.24 per cent and 46.9 per cent, respectively. Year to date the FTSE MPF Hong Kong Index is up.53 per cent, with the FTSE MPF Domestic Hong Kong Index and the FTSE MPF China Index down 1.15 per cent and up 2.18 per cent respectively. Over the past year, the FTSE MPF China Index has shown the highest volatility of the Hong Kong listed company indices at 17.27 per cent, with the FTSE MPF Domestic Hong Kong Index having a volatility of 1.98 per cent. The FTSE MPF Hong Kong Index has a 1 year volatility of 14.52 per cent. Compared to Hong Kong, the Asia Pacific ex Japan region saw slightly stronger performance in March, with the down 1.81 per cent. The FTSE MPF Japan Hedged Index finished the month down 1.78 per cent. Each index has 884 and 59 constituents respectively, with the FTSE MPF Asia Pacific ex Japan Hedged Index showing a 1 year volatility of 1.76 per cent compared to FTSE MPF Japan Hedged Index's volatility of 12.34 per cent. Against other regions Asia Pacific ex Japan's performance was mixed, underperforming Europe and outperforming North America. From the perspective of volatility, the FTSE MPF Asia Pacific ex Japan Hedged Index over the past 1 year has been more volatile, it is.91 per cent more volatile than the FTSE MPF Europe Index, and compares with a volatility of 11.2 per cent for the FTSE MPF North America Hedged Index. Global markets fell 2.7 per cent in March, with the performance continuing to fall year-to-date by.98 per cent. Emerging Markets also saw negative performance in March, with the FTSE MPF Emerging Markets Hedged Index down 2.9 per cent. * the remaining 1 indices are unhedged and used for comparison purposes against the hedged indices. VENDOR CODES FTSE BLOOMBERG REUTERS FACTSET FTSE MPF Hong Kong Index GPMPF28 TFMPFHH.TFTGPMPF28H GPMPF28 FTSE MPF Domestic Hong Kong Index GPMPF29 TFMPFDH.TFTGPMPF29H GPMPF29 FTSE MPF China Index GPMPF3 TGPMPF3.TFTGPMPF3H GPMPF3 FTSE MPF Greater China Index GPMPF31 TFMPFGCH.TFTGPMPF31H GPMPF31 FTSE MPF All-World Index GPMPF25 TFMPFAWH.TFTGPMPF25H GPMPF25 FTSE MPF Asia Pacific ex Japan Index GPMPF27 TFMPFAPH.TFTGPMPF27H GPMPF27 FTSE MPF Asia Pacific ex JP ex AU ex NZ Index GPMPF26 TFMPFAXH.TFTGPMPF26H GPMPF26 FTSE MPF Asia Pacific ex Japan & Hong Kong Index GPMPF22 TFMPFXJH.TFTGPMPF22H GPMPF22 FTSE MPF Asia Pacific ex Japan incl. HSBC Index GPMPF32 TFMPFAHH.TFTGPMPF32H GPMPF32 FTSE MPF Emerging Markets Index GPMPF33 TFMPFEMH.TFTGPMPF33H GPMPF33 FTSE MPF Europe Index GPMPF23 TFMPFEH.TFTGPMPF23H GPMPF23 FTSE MPF Japan Index GPMPF2 TFMPFJH.TFTGPMPF2H GPMPF2 FTSE MPF North America Index GPMPF24 TFMPFAH.TFTGPMPF24H GPMPF24 FTSE MPF USA Index GPMPF21 TFMPFUH.TFTGPMPF21H GPMPF21 4 of 19
FTSE MPF Hong Kong Index Data as at: 3 March 218 The FTSE MPF Hong Kong Index consists of all constituents in FTSE MPF Domestic Hong Kong Index and the FTSE MPF China Index. As at the end of March there were 37 constituents. FTSE MPF HONG KONG INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Hong Kong Index ended the month in negative territory in March down 2.56 per cent, underperforming the FTSE MPF Asia Pacific ex Japan Hedged Index by.75 per cent. Year to date the FTSE MPF Hong Kong Index performance is up by.53 per cent, with a 1-year volatility of 14.52 per cent. FTSE MPF Hong Kong Index FTSE MPF HONG KONG INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF Hong Kong Index -2.56-1.81.53 8.56 -.38 8.6.53 -.38 28.97 32.21 57.38 9.76 9.49 4.9-6.13 3.7 42.71 2.56 2.22 27.9 43.12 8.32 7.43 3.15-8.73 7.39 36.34 2.53 FTSE MPF HONG KONG INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Hong Kong Index * * ** *** 214 * 21.35 14.52 18.61 16.6 13.26 15.71 1.76 15.79 13.41 9.46 215 * 216 * 21.35 18.39 15.77 15.54 217 * 11.1 8.44 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN SHARE TYPE BREAKDOWN 1 8.96 8 6 4 31.27 3.73 H Shares Red Chips P Chips HK Companies HSBC 2 9.78 19.25 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF HONG KONG INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Share Type ICB Subsector Net Market Cap (HKDm) Index Weight 1 6158163 HSBC Holdings HK Company 1,483,65 8.96 2 BMMV2K8 Tencent Holdings (P Chip) P Chip Internet 2,261,478 8.8 3 B4TX8S1 AIA Group Ltd. HK Company Life Insurance 81,712 5.41 4 BLMTQ3 China Construction Bank (H) H Share 72,129 4.86 5 6 B1G1QD8 B1FLR7 ICBC (H) Ping An Insurance (H) H Share H Share Life Insurance 525,828 398,192 3.55 2.69 7 673556 China Mobile (Red Chip) Red Chip Mobile Telecommunications 38,383 2.57 8 B154564 Bank of China (H) H Share 321,162 2.17 9 6267359 Hong Kong Exchanges & Clearing HK Company Investment Services 316,399 2.14 1 BW9P816 CK Hutchison Holdings HK Company Diversified Industrials 251,331 1.7 7,46,264 42.83 5 of 19
FTSE MPF Domestic Hong Kong Index Data as at: 3 March 218 The FTSE MPF Domestic Hong Kong Index consists of eligible large and mid cap Hong Kong companies from the FTSE All-World Index. The Hong Kong listed HSBC Holdings, and the Jardine Group companies listed in Singapore are also included. As at the end of March there were 94 constituents. FTSE MPF DOMESTIC HONG KONG INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 18 16 14 12 1 8 6 4 2 The FTSE MPF Domestic Hong Kong Index ended the month in negative territory in March down 3.5 per cent, underperforming the FTSE MPF Asia Pacific ex Japan Hedged Index by 1.24 per cent. Year to date the FTSE MPF Domestic Hong Kong Index performance is down by 1.15 per cent, with a 1-year volatility of 1.98 per cent. FTSE MPF Domestic Hong Kong Index FTSE MPF DOMESTIC HONG KONG INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF Domestic Hong Kong Index -3.5-1.15 5.18-1.15 2.59 29.87 46.17 9.1 7.89 1.93-4.89 5. 36.84 2.83-1.81 -.38 8.6 -.38 2.22 27.9 43.12 8.32 7.43 3.15-8.73 7.39 36.34 2.53 FTSE MPF DOMESTIC HONG KONG INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) * * ** *** 214 * 215 * 216 * 217 * FTSE MPF Domestic Hong Kong Index 16.14 1.98 14.54 14.18 11.22 17.15 15.21 8.51 15.71 1.76 15.79 13.41 9.46 15.77 15.54 8.44 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN 1 8 6 4 2 13.3.47 8.53 1.8.3.46 54.24 9.54 11.34 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF DOMESTIC HONG KONG INDEX TOP 1 CONSTITUENTS Rank 1 2 3 4 5 6 7 8 9 1 SEDOL Constituent Name ICB Subsector Net Market Cap (HKDm) Index Weight Industry Weight B4TX8S1 AIA Group Ltd. Life Insurance 81,712 9.36 17.25 6158163 HSBC Holdings 1,483,65 8.99 16.57 6267359 Hong Kong Exchanges & Clearing Investment Services 316,399 6.74 12.43 BW9P816 CK Hutchison Holdings Diversified Industrials BYZQ77 CK Asset Holdings Real Estate Holding & Development 6859927 Sun Hung Kai Props Real Estate Holding & Development 6465874 Galaxy Entertainment Group Gambling BPB4M7 Link Real Estate Investment Trust Retail REITs 6536112 BOC Hong Kong (Holdings) 648374 Hang Seng Bank 251,331 177,11 175,951 15,473 145,535 136,956 131,446 2.8 3,77,554 5. 5.36 4.28 3.77 6.96 3.75 6.91 3.21 28.27 3.1 5.72 2.92 5.38 5.16-6 of 19
FTSE MPF China Index Data as at: 3 March 218 The FTSE MPF China Index consists of eligible H Share, P Chip and Red Chip companies listed on the Stock Exchange of Hong Kong (SEHK) from the FTSE All- World Index. China listed A Shares and B Shares are not included in this index. As at the end of March there were 118 H Share, 56 P Chip, and 39 Red Chip index constituents, which represents 55 per cent, 27.49 per cent and 17.51 per cent of the index, respectively. FTSE MPF CHINA INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF China Index ended the month in negative territory in March down 2. per cent, underperforming the FTSE MPF Asia Pacific ex Japan Hedged Index by.19 per cent. Year to date the FTSE MPF China Index performance is up by 2.18 per cent, with a 1-year volatility of 17.27 per cent. FTSE MPF China Index FTSE MPF CHINA INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF China Index -2. 2.18 1.27 2.18 3.73 26.65 6.32 8.19 9.9 8.13-7.25 1.46 41.96-1.81 -.38 8.6 -.38 2.22 27.9 43.12 8.32 7.43 3.15-8.73 7.39 36.34 214 215 216 217 2.33 2.53 FTSE MPF CHINA INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF China Index * 25.12 15.71 * 17.27 1.76 ** 22.13 15.79 *** 214 * 215 * 216 * 217 * 19.3 16.54 25.66 2.85 13.44 13.41 9.46 15.77 15.54 8.44 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN 1 5.88 2.78 4.12 7.18 1.6 1.13 8 6 7.8 4 8.85 2 46.9 4.75 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF CHINA INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Share Type ICB Subsector Net Market Cap (HKDm) Index Weight 1 2 3 4 5 6 7 8 9 1 BMMV2K8 Tencent Holdings (P Chip) BLMTQ3 China Construction Bank (H) B1G1QD8 ICBC (H) B1FLR7 Ping An Insurance (H) 673556 China Mobile (Red Chip) B154564 Bank of China (H) BGS5 CNOOC (Red Chip) 6291819 China Petroleum & Chemical (H) 6718976 China Life Insurance (H) B1DYPZ5 China Merchants Bank (H) P Chip H Share H Share H Share Red Chip H Share Red Chip H Share H Share H Share Internet 2,261,478 72,129 525,828 Life Insurance 398,192 Mobile Telecommunications 38,383 321,162 Exploration & Production 183,586 Integrated Oil & Gas 175,788 Life Insurance 16,729 121,665 5,248,939 8.77 8.7 6.35 4.81 4.6 3.88 2.22 2.12 1.94 1.47 44.86 7 of 19
FTSE MPF Greater China Index Data as at: 3 March 218 FTSE MPF Greater China Index consists of all constituents in the FTSE MPF Domestic Hong Kong Index, the FTSE MPF China Index and FTSE Taiwan Index, except those Taiwanese companies listed on the Gretai Securities Markets. As at the end of March there were 393 constituents. FTSE MPF GREATER CHINA INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Greater China Index ended the month in negative territory in March down 1.86 per cent, underperforming the FTSE MPF Asia Pacific ex Japan Hedged Index by.5 per cent. Year to date the FTSE MPF Greater China Index performance is up by 1.57 per cent, with a 1-year volatility of 13.43 per cent. FTSE MPF Greater China Index FTSE MPF GREATER CHINA INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF Greater China Index -1.86-1.81 1.57 -.38 9.7 1.57 27.6 33.9 6.48 1.22 9.92 5.71-7.69 7.6 8.6 -.38 2.22 27.9 43.12 8.32 7.43 3.15-8.73 7.39 39.96 36.34 2.61 2.53 FTSE MPF GREATER CHINA INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Greater China Index * 19.91 15.71 * 13.43 1.76 ** 17.62 15.79 *** 214 * 215 * 216 * 14.95 11.65 18.99 17.6 13.41 9.46 15.77 15.54 217 * 1.19 8.44 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN COUNTRY / SHARE TYPE BREAKDOWN 1 24.2 22.4 8 6 4 2 7.3 7.13 H Shares Red Chips P Chips HK Companies HSBC Taiwan 22.79 16.36 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF GREATER CHINA INDEX TOP 1 CONSTITUENTS Rank 1 2 3 4 5 6 7 8 9 1 SEDOL Constituent Name Classification ICB Subsector Net Market Cap (HKDm) Index Weight BMMV2K8 Tencent Holdings (P Chip) P Chip Internet 2,261,478 8.73 688916 Taiwan Semiconductor Manufacturing Taiwan Semiconductors 1,589,17 7.82 6158163 HSBC Holdings HK Company 1,483,65 B4TX8S1 AIA Group Ltd. HK Company Life Insurance 81,712 BLMTQ3 China Construction Bank (H) H Share 72,129 B1G1QD8 ICBC (H) H Share 525,828 B1FLR7 Ping An Insurance (H) H Share Life Insurance 398,192 673556 China Mobile (Red Chip) Red Chip Mobile Telecommunications 38,383 6438564 Hon Hai Precision Industry Taiwan Electrical Components & Equipment 366,772 B154564 Bank of China (H) H Share 321,162 8,848,413 7.3 3.94 3.54 2.59 1.96 1.87 1.8 1.58 41.14 8 of 19
FTSE MPF All-World Index Data as at: 3 March 218 The FTSE MPF All-World Index consists of eligible large and mid cap companies which are listed on MPFA approved stock exchanges and covers 9 per cent of the investable market cap universe. As at the end of March there were 286 constituents. FTSE MPF ALL-WORLD INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The ended the month in negative territory in March down 2.7 per cent, underperforming the FTSE MPF All-World Index by.16 per cent. Year to date the FTSE MPF All-World Hedged Index performance is down by.98 per cent, with a 1-year volatility of 8.41 per cent. FTSE MPF All-World Index FTSE MPF ALL-WORLD INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF All-World Index -1.91-2.7 -.52 -.98 29.1 214 5.49 -.52 16.35 6.38 8.89 9.91 4.33 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 215-2.4 -.95 216 8.5 8.35 217 25.48 23.59 1.93 1.93 FTSE MPF ALL-WORLD INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) * * ** *** 214 * 215 * 216 * FTSE MPF All-World Index 13.9 8.52 12.2 1.21 8.83 12.96 12.65 13.69 8.41 12.15 9.82 8.88 12.97 12.45 217 * 5.67 5.6 FIVE-YEAR HISTORICAL REGIONAL BREAKDOWN REGIONAL BREAKDOWN 1.26 1 12.18 8 6 4 2 54.86 9.7 21.59 Asia Pacific ex Japan Japan Europe Middle East & Africa North America Latin America 1.5 FTSE MPF ALL-WORLD INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight 1 246251 Apple Inc. USA Computer Hardware 6,676,635 1.95 2 2588173 Microsoft Corp USA Software 5,365,24 1.57 3 219 Amazon.Com USA Broadline Retailers 4,564,51 1.34 4 219385 JPMorgan Chase & Co USA 2,976,611.87 5 B7TL82 Facebook Class A USA Internet 2,961,237.87 6 2475833 Johnson & Johnson USA Pharmaceuticals 2,78,48.79 7 2326618 Exxon Mobil Corporation USA Integrated Oil & Gas 2,479,11.73 8 BYY88Y7 Alphabet Class C USA Internet 2,444,853.72 9 BYVY8G Alphabet Class A USA Internet 2,419,241.71 1 BMMV2K8 Tencent Holdings (P Chip) China Internet 2,261,478.66 34,857,278 1.2 9 of 19
FTSE MPF Asia Pacific ex Japan Index Data as at: 3 March 218 The FTSE MPF Asia Pacific ex Japan Index consists of eligible large cap and mid cap companies which are listed on MPFA approved stock exchanges from the Asia Pacific region. As at the end of March there were 884 constituents. FTSE MPF ASIA PACIFIC EX JAPAN INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Asia Pacific ex Japan Hedged Index ended the month in negative territory in March down 1.81 per cent, outperforming the FTSE MPF All- World Hedged Index by.26 per cent. Year to date the FTSE MPF Asia Pacific ex Japan Hedged Index performance is down by.38 per cent, with a 1-year volatility of 1.76 per cent. FTSE MPF Asia Pacific ex Japan Index FTSE MPF ASIA PACIFIC EX JAPAN INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF Asia Pacific ex Japan Index -1.8 -.37 8.1 -.37 2.34 27.23 39.63 8.36 6.9 2.27-9.25 7.37 36.66-1.81 -.38 8.6 -.38 2.22 27.9 43.12 8.32 7.43 3.15-8.73 7.39 36.34-2.7 -.98 4.83 214 215 216 217 2.53 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 1.93 2.53 FTSE MPF ASIA PACIFIC EX JAPAN INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Asia Pacific ex Japan Index * * ** *** 214 * 215 * 216 * 15.74 1.8 15.87 13.9 9.96 15.93 15.64 15.71 1.76 15.79 13.41 9.46 15.77 15.54 13.69 8.41 12.15 9.82 8.88 12.97 12.45 217 * 8.5 8.44 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 1 8 6 4 2 15.22 3.54 1.17.58 3. 11.73 9.62 3.35 11.13 16.92 23.75 Australia China Hong Kong SAR India Malaysia New Zealand Philippines Singapore South Korea Taiwan Thailand FTSE MPF ASIA PACIFIC EX JAPAN INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight 1 BMMV2K8 Tencent Holdings (P Chip) China Internet 2,261,478 5.43 2 677172 Samsung Electronics South Korea Consumer Electronics 1,711,898 4.11 3 688916 Taiwan Semiconductor Manufacturing Taiwan Semiconductors 1,589,17 3.82 4 B4TX8S1 AIA Group Ltd. Hong Kong SAR Life Insurance 81,712 1.93 5 621535 Commonwealth Bank of Australia Australia 761,224 1.83 6 BLMTQ3 China Construction Bank (H) China 72,129 1.73 7 676146 Westpac Banking Corp Australia 584,534 1.4 8 614469 BHP Billiton Ltd Australia General Mining 545,263 1.31 9 B1G1QD8 ICBC (H) China 525,828 1.26 1 665586 Australia & New Zealand Banking Group Australia 474,61 1.14 9,975,783 23.96 1 of 19
FTSE MPF Asia Pacific ex JP ex AU ex NZ Index Data as at: 3 March 218 The FTSE MPF Asia Pacific ex JP ex AU ex NZ Index consists of eligible large cap and mid cap Asia Pacific companies, excluding Japanese, Australian and New Zealand companies, that are listed on MPFA approved stock exchanges. As at the end of March there were 795 constituents. FTSE MPF ASIA PACIFIC EX JP EX AU EX NZ INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Asia Pacific ex Japan ex Australia ex New Zealand Hedged Index ended the month in negative territory in March down.97 per cent, outperforming the by 1.1 per cent. Year to date the FTSE MPF Asia Pacific ex Japan ex Australia ex New Zealand Hedged Index performance is up by.78 per cent, with a 1-year volatility of 11.61 per cent. FTSE MPF Asia Pacific ex JP, AU & NZ Index FTSE MPF Asia Pacific ex JP, AU & NZ Hedged Index FTSE MPF ASIA PACIFIC EX JP EX AU EX NZ INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF Asia Pacific ex JP ex AU ex NZ Index -.97.78 9.76.78 24.73 31.6 5.9 9.44 8.58 4.63-8.71 6. 4.61 2.13 FTSE MPF Asia Pacific ex JP ex AU ex NZ Hedged Index -.97.78 9.76.78 24.73 31.6 5.9 9.44 8.58 4.63-8.71 6. 4.61 2.13-2.7 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 1.93 FTSE MPF ASIA PACIFIC EX JP EX AU EX NZ INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Asia Pacific ex JP ex AU ex NZ Index FTSE MPF Asia Pacific ex JP ex AU ex NZ Hedged Index * * ** *** 214 * 215 * 216 * 16.89 11.61 15.98 13.79 1.15 15.9 15.59 16.89 13.69 11.61 8.41 15.98 12.15 13.79 9.82 1.15 8.88 15.9 12.97 15.59 12.45 217 * 9.4 9.4 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 1 8 6 4 2 18.45 14.22 4.29 1.42 3.63 4.6 11.66 28.78 13.49 China Hong Kong SAR India Malaysia Philippines Singapore South Korea Taiwan Thailand FTSE MPF ASIA PACIFIC EX JP EX AU EX NZ INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight 1 BMMV2K8 Tencent Holdings (P Chip) China Internet 2,261,478 6.58 2 3 1,589,17 4.63 81,712 2.33 72,129 2.1 6 B1G1QD8 ICBC (H) China 525,828 1.53 7 8 9 677172 Samsung Electronics South Korea Consumer Electronics 1,711,898 4.98 688916 Taiwan Semiconductor Manufacturing Taiwan Semiconductors 4 B4TX8S1 AIA Group Ltd. Hong Kong SAR Life Insurance 5 BLMTQ3 China Construction Bank (H) China B1FLR7 Ping An Insurance (H) China Life Insurance 398,192 1.16 673556 China Mobile (Red Chip) China Mobile Telecommunications 6438564 Hon Hai Precision Industry Taiwan Electrical Components & Equipment 1 61719 Housing Development Finance India Mortgage Finance 38,383 366,772 1.11 1.7 348,998 1.2 9,14,497 26.51 11 of 19
FTSE MPF Asia Pacific ex JP ex HK Index Data as at: 3 March 218 The FTSE MPF Asia Pacific ex JP ex HK Index consists of eligible large and mid cap Asia Pacific companies that are listed on MPFA approved stock exchanges. As at the end of March there were 578 constituents. FTSE MPF ASIA PACIFIC EX JP EX HK INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Asia Pacific ex Japan & Hong Kong Hedged Index ended the month in negative territory in March down 1.56 per cent, outperforming the FTSE MPF All-World Hedged Index by.51 per cent. Year to date the FTSE MPF Asia Pacific ex Japan & Hong Kong Hedged Index performance is down by 1.31 per cent, with a 1-year volatility of 8.99 per cent. FTSE MPF Asia Pacific ex JP & HK Index FTSE MPF Asia Pacific ex JP & HK Hedged Index FTSE MPF ASIA PACIFIC EX JP EX HK INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF Asia Pacific ex JP ex HK Index FTSE MPF Asia Pacific ex JP ex HK Hedged Index -1.41-1.11 7.17-1.11 15.59 24.63 3.36 7.62 5.45.55-1.86 9.55 32.9 2.73-1.56-1.31 5.88-1.31 13.45 21.82 32.3 6.8 5.76 1.83-8.78 9.5 28.16 2.73-2.7 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 1.93 214 215 216 217 FTSE MPF ASIA PACIFIC EX JP EX HK INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) * * ** *** 214 * 215 * 216 * FTSE MPF Asia Pacific ex JP ex HK Index 13.32 9.8 15.36 13.33 9.71 15.59 15.45 FTSE MPF Asia Pacific ex JP ex HK Hedged Index 12.44 8.99 13.79 11.42 8.93 14.8 13.84 13.69 8.41 12.15 9.82 8.88 12.97 12.45 217 * 8.38 7.51 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 5.13 1 8 6 4 2 17.96 23.32 5.42 4.59 1.79.88 25.91 14.73 Australia India Malaysia New Zealand Philippines Singapore South Korea Taiwan Thailand FTSE MPF ASIA PACIFIC EX JP EX HK INDEX TOP 1 CONSTITUENTS Rank 1 2 3 4 5 6 7 8 9 1 SEDOL 677172 688916 621535 676146 614469 665586 662468 6185495 6438564 61719 Constituent Name Samsung Electronics Taiwan Semiconductor Manufacturing Commonwealth Bank of Australia Westpac Banking Corp BHP Billiton Ltd Australia General Mining 545,263 2.1 Australia & New Zealand Banking Group Australia 474,61 1.75 National Australia Bank Australia 466,8 CSL Australia Hon Hai Precision Industry Taiwan Housing Development Finance India Country ICB Subsector Net Market Cap (HKDm) Index Weight South Korea Consumer Electronics 1,711,898 6.3 Taiwan Semiconductors 1,589,17 5.85 Australia 761,224 2.8 Australia 584,534 2.15 Pharmaceuticals 424,147 Electrical Components & Equipment 366,772 Mortgage Finance 348,998 7,272,561 1.71 1.56 1.35 1.28 26.76 12 of 19
FTSE MPF Asia Pacific ex Japan Incl. HSBC Index Data as at: 3 March 218 The FTSE MPF Asia Pacific ex Japan Incl. HSBC Index consists of eligible large and mid cap companies in the Asia Pacific region which are listed on the MPFA approved stock exchanges. It also includes HSBC Holdings listed in Hong Kong. As at the end of March there were 885 constituents. FTSE MPF ASIA PACIFIC EX JAPAN INCL. HSBC INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Asia Pacific ex Japan Incl. HSBC Hedged Index ended the month in negative territory in March down 1.92 per cent, outperforming the FTSE MPF All- World Hedged Index by.15 per cent. Year to date the FTSE MPF Asia Pacific ex Japan Incl. HSBC Hedged Index performance is down by.56 per cent, with a 1-year volatility of 1.72 per cent. FTSE MPF Asia Pacific ex JP Incl. HSBC Index FTSE Asia Pacific ex JP Incl. HSBC Hedged Index FTSE MPF ASIA PACIFIC EX JAPAN INCL. HSBC INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 215 216 217 FTSE MPF Asia Pacific ex JP incl. HSBC Index -1.92 -.56 7.78 -.56 2.44 27.48 38.69 8.43 6.76 1.78-9.36 7.4 36.63 2.63 FTSE MPF Asia Pacific ex JP incl. HSBC Hedged Index -1.92 -.56 7.78 -.56 2.42 27.43 42.9 8.42 7.28 2.62-8.96 7.39 36.6 2.63-2.7 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 1.93 214 FTSE MPF ASIA PACIFIC EX JAPAN INCL. HSBC INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) * * ** *** 214 * 215 * 216 * 217 * FTSE MPF Asia Pacific ex JP incl. HSBC Index 15.59 1.72 15.77 13.82 9.85 15.8 15.67 8.45 FTSE MPF Asia Pacific ex JP incl. HSBC Hedged Index 15.59 1.72 15.7 13.42 9.39 15.69 15.59 8.44 13.69 8.41 12.15 9.82 8.88 12.97 12.45 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 3.24 1 11.33 8 6 4 2 14.7 3.42 1.13.56 2.9 9.29 16.34 22.93 14.19 China Hong Kong SAR Australia India Malaysia New Zealand Philippines Singapore South Korea Taiwan Thailand FTSE MPF ASIA PACIFIC EX JAPAN INCL. HSBC INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) 1 BMMV2K8 Tencent Holdings (P Chip) China Internet 2,261,478 2 677172 Samsung Electronics South Korea Consumer Electronics 1,711,898 3 688916 Taiwan Semiconductor Manufacturing Taiwan Semiconductors 1,589,17 4 6158163 HSBC Holdings Hong Kong SAR 1,483,65 5 B4TX8S1 AIA Group Ltd. Hong Kong SAR Life Insurance 81,712 6 7 621535 BLMTQ3 Commonwealth Bank of Australia China Construction Bank (H) Australia China 761,224 72,129 8 676146 Westpac Banking Corp Australia 584,534 9 614469 BHP Billiton Ltd Australia General Mining 545,263 1 B1G1QD8 ICBC (H) China 525,828 1,984,823 Index Weight 5.25 3.97 3.69 3.44 1.86 1.77 1.67 1.36 1.26 1.22 25.48 13 of 19
FTSE MPF Emerging Markets Index Data as at: 3 March 218 The FTSE MPF Emerging Markets Index consists of eligible large and mid cap emerging market companies which are listed on MPFA approved stock exchanges. As at the end of March there were 528 constituents. FTSE MPF EMERGING MARKETS INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Emerging Markets Hedged Index ended the month in negative territory in March down 2.9 per cent, underperforming the FTSE MPF All-World Hedged Index by.2 per cent. Year to date the FTSE MPF Emerging Markets Hedged Index performance is up by 1.38 per cent, with a 1-year volatility of 9.35 per cent. FTSE MPF Emerging Markets Index FTSE MPF EMERGING MARKETS INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF Emerging Markets Index FTSE MPF Emerging Markets Hedged Index -1.94 2.28 9.87 2.28 2.76 26.76-2.9 1.38 7.91 1.38 17.29 22.15-2.7 -.98 4.83 -.98 14.59 27.28 214 215 216 26.67 8.23 4.84 3.32-19.21 15.66 27.46 6.9 4.97 4.44-15.74 13.17 61.83 8.37 1.11 5.88 -.95 8.35 217 32. 27. 23.59 2.45 2.45 1.93 FTSE MPF EMERGING MARKETS INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) * * ** *** 214 * 215 * 216 * FTSE MPF Emerging Markets Index 13.17 1.5 17.28 15.37 12.44 16.87 17.77 FTSE MPF Emerging Markets Hedged Index 11.99 9.35 15.35 13.17 11.24 14.94 15.57 13.69 8.41 12.15 9.82 8.88 12.97 12.45 217 * 9.55 8.32 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 7.17 1 17. 8 6 4 2 25.7 15.43 2.5 5.8 6.41.79 2.56 Brazil Greece* India Malaysia Mexico Philippines South Africa Taiwan Thailand Note: Greece was reclassified as an emerging market in March 216. FTSE MPF EMERGING MARKETS INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight 1 688916 Taiwan Semiconductor Manufacturing Taiwan Semiconductors 1,589,17 8.16 2 6622691 Naspers South Africa Broadcasting & Entertainment 814,639 4.18 3 B37HR3 Itau Unibanco Holding SA Brazil 378,362 1.94 4 6438564 Hon Hai Precision Industry Taiwan Electrical Components & Equipment 366,772 1.88 5 61719 Housing Development Finance India Mortgage Finance 348,998 1.79 6 699626 Reliance Industries India Exploration & Production 329,615 1.69 7 2196286 Vale SA Brazil Iron & Steel 317,858 1.63 8 BFM53 Banco Bradesco S/A Pref. Brazil 281,399 1.45 9 BG7ZWY7 Ambev SA Brazil Brewers 248,694 1.28 1 625122 Infosys India Computer Services 244,529 1.26 4,919,972 25.26 14 of 19
FTSE MPF Europe Index Data as at: 3 March 218 The FTSE MPF Europe Index consists of eligible large and mid cap European companies which are listed on MPFA approved stock exchanges. As at the end of March there were 563 constituents. FTSE MPF EUROPE INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Europe Hedged Index ended the month in negative territory in March down 1.2 per cent, outperforming the by.87 per cent. Year to date the FTSE MPF Europe Hedged Index performance is down by 2.33 per cent, with a 1-year volatility of 9.85 per cent. FTSE MPF Europe Index FTSE MPF Europe Hedged Index FTSE MPF EUROPE INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF Europe Index FTSE MPF Europe Hedged Index -.89-1.2-2.7-1.52.91-1.52 16.3 18.41 214 4.8 5.8 7.8-6.4 215-2.27-2.33 -.16-2.33 11.8 16.82 44.71 5.32 7.67-2.32.39 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 216 217 -. 27.32 2.99 2.98 22.84 2.99 8.35 23.59 1.93 FTSE MPF EUROPE INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Europe Index FTSE MPF Europe Hedged Index * 13.95 13.32 13.69 * ** *** 214 * 215 * 216 * 217 * 1.51 14.13 12.88 12.45 17.38 2.88 9.22 9.85 13.66 11.64 12.3 17.19 19.36 8.27 8.41 12.15 9.82 8.88 12.97 12.45 5.6 FIVE-YEAR HISTORICAL COUNTRY BREAKDOWN COUNTRY BREAKDOWN 8.7 1 16.5 8 6 4 2 28.1 12.58 4.3 5.47 5.13 4.39 15.37 France Germany Italy Netherlands Spain Sweden Switzerland UK Others FTSE MPF EUROPE INDEX TOP 1 CONSTITUENTS Rank 1 2 3 4 5 6 7 8 9 1 SEDOL 712387 54528 71365 711388 BLX2 28758 79859 B15C557 BM4 575946 Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight Nestle Switzerland Food Products 1,92,5 2.6 HSBC Hldgs UK 1,468,477 1.99 Novartis (REGD) Switzerland Pharmaceuticals 1,377,37 Roche Hldgs (GENUS) Switzerland Pharmaceuticals 1,244,955 Royal Dutch Shell A UK British American Tobacco UK BP UK Total France Integrated Oil & Gas 1,13,31 Tobacco 1,39,67 Integrated Oil & Gas 1,15,712 Integrated Oil & Gas 1,4,39 Royal Dutch Shell B UK Integrated Oil & Gas 938,866 1.27 Banco Santander Spain 812,86 1.1 11,95,59 16.2 1.87 1.69 1.53 1.41 1.38 1.36 15 of 19
FTSE MPF Japan Index Data as at: 3 March 218 The FTSE MPF Japan Index consists of eligible large and mid cap Japanese companies listed on the Tokyo Stock Exchange. As at the end of March there were 59 constituents. FTSE MPF JAPAN INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 2 18 16 14 12 1 8 6 4 2 The FTSE MPF Japan Hedged Index ended the month in negative territory in March down 1.78 per cent, outperforming the by.29 per cent. Year to date the FTSE MPF Japan Hedged Index performance is down by.77 per cent, with a 1-year volatility of 12.34 per cent. FTSE MPF Japan Index FTSE MPF Japan Hedged Index FTSE MPF JAPAN INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) FTSE MPF Japan Index FTSE MPF Japan Hedged Index 31.32 25.52 216 2.66 217 26.6-1.61 1.28 1.29 1.28 21.57 59.91 9.51 9.84-3.47 1.87-1.78 -.77 8.15 -.77 19.52 66.1 7.87 1.68.98 1.97 1.31 24.54-2.7 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 214 215 1.78 1.78 1.93 FTSE MPF JAPAN INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF Japan Index FTSE MPF Japan Hedged Index * 18.42 18.59 13.69 * ** *** 214 * 215 * 216 * 217 * 12.78 15.42 12.11 17.83 18.55 23.5 11.19 12.34 16.54 12.71 17.84 18.79 24.21 1.24 8.41 12.15 9.82 8.88 12.97 12.45 5.6 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN 1 8 6 4 2 23.45 5.36 4.45 1.79 1.5 7.9 14.91 6.41 1.52 24.98 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF JAPAN INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name ICB Subsector Net Market Cap (HKDm) Index Weight Industry Weight 1 69643 Toyota Motor Automobiles 1,32,373 4.2 16.83 2 6335171 Mitsubishi UFJ Financial 66,8 2.13 14.31 3 67762 SoftBank Group Mobile Telecommunications 499,32 1.61 36.24 4 682156 Sony Corp Consumer Electronics 478,942 1.55 6.19 5 6435145 Honda Motor Co Automobiles 474,735 1.53 6.13 6 656324 Sumitomo Mitsui Financial Group 438,877 1.42 9.5 7 649995 Keyence Corp Electronic Equipment 438,458 1.41 6.3 8 6356934 Fanuc Industrial Machinery 385,689 1.24 5.31 9 663955 Nintendo Toys 371,341 1.2 4.8 1 624899 KDDI Corp Mobile Telecommunications 36,41 1.16 26.16 5,41,918 17.46-16 of 19
FTSE MPF North America Index Data as at: 3 March 218 The FTSE MPF North America Index consists of eligible U.S. and Canadian large and mid cap companies listed on the New York Stock Exchange, the NASDAQ Stock Market, the NYSE Amex and the Toronto Stock Exchange. As at the end of March there were 62 constituents from Canada and 575 constituents from the USA, which represents 5.1 per cent and 94.9 per cent of the index, respectively. FTSE MPF NORTH AMERICA INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 25 2 15 1 5 The FTSE MPF North America Hedged Index ended the month in negative territory in March down 2.45 per cent, underperforming the FTSE MPF All-World Hedged Index by.38 per cent. Year to date the FTSE MPF North America Hedged Index performance is down by.78 per cent, with a 1-year volatility of 11.2 per cent. FTSE MPF North America Index FTSE MPF North America Hedged Index FTSE MPF NORTH AMERICA INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF North America Index FTSE MPF North America Hedged Index -2.32-2.45-2.7 -.62 -.78 -.98 5.85 -.62 14.54 33.91 78.66 1.22 12.31 11.6-1.2 12. 22.46 1.37 5.59 -.78 13.74 32.78 77.99 9.91 12.22 11.8 -.82 11.79 21.65 1.37 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 23.59 1.93 FTSE MPF NORTH AMERICA INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF North America Index FTSE MPF North America Hedged Index * * ** 19.24 11.21 12.42 19.23 11.2 12.42 13.69 8.41 12.15 *** 214 * 9.81 11.27 9.75 11.27 9.82 8.88 215 * 15.41 15.38 12.97 216 * 13.16 13.16 12.45 217 * 6.72 6.7 5.6 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN 2.52.842.58 1 8.83 8 2.65 6 4 6.57 2 12.42 12.3 13.12 18.63 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF NORTH AMERICA INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name Country ICB Subsector Net Market Cap (HKDm) Index Weight 1 246251 Apple Inc. USA Computer Hardware 6,676,635 3.56 2 2588173 Microsoft Corp USA Software 5,365,24 2.86 3 219 Amazon.Com USA Broadline Retailers 4,564,51 2.43 4 219385 JPMorgan Chase & Co USA 2,976,611 5 B7TL82 Facebook Class A 6 2475833 Johnson & Johnson USA Internet 2,961,237 USA Pharmaceuticals 2,78,48 1.44 7 2326618 Exxon Mobil Corporation USA Integrated Oil & Gas 2,479,11 1.32 8 BYY88Y7 Alphabet Class C USA Internet 2,444,853 1.3 9 BYVY8G Alphabet Class A USA Internet 2,419,241 1.29 1 2295677 Bank of America USA 2,247,628 1.2 34,843,428 18.59 1.59 1.58 17 of 19
FTSE MPF USA Index Data as at: 3 March 218 The FTSE MPF USA Index consists of eligible large and mid cap U.S. companies listed on the New York Stock Exchange and the NASDAQ Stock Market. As at the end of March there were 575 constituents. FTSE MPF USA INDEX FIVE-YEAR PERFORMANCE (HKD TOTAL RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 March 213=1) 25 2 15 1 5 The FTSE MPF USA Hedged Index ended the month in negative territory in March down 2.56 per cent, underperforming the by.49 per cent. Year to date the FTSE MPF USA Hedged Index performance is down by.45 per cent, with a 1-year volatility of 11.47 per cent. FTSE MPF USA Index FTSE MPF USA Hedged Index FTSE MPF USA INDEX HISTORICAL PERFORMANCE TABLE (HKD TOTAL RETURN) 214 215 216 217 FTSE MPF USA Index FTSE MPF USA Hedged Index -2.42 -.23 6.38 -.23 15.5 35.4 84.33 1.63 13.1 12.27.26 11.41-2.56 -.45 6.6 -.45 14.3 34.2 82.7 1.3 12.81 12.25.29 11.25-2.7 -.98 4.83 -.98 14.59 27.28 61.83 8.37 1.11 5.88 -.95 8.35 22.75 22.8 23.59 1.3 1.3 1.93 FTSE MPF USA INDEX HISTORICAL VOLATILITY TABLE (HKD TOTAL RETURN) FTSE MPF USA Index FTSE MPF USA Hedged Index * * ** *** 214 * 215 * 216 * 19.72 11.47 12.49 9.84 11.57 15.55 13.16 19.75 11.47 12.53 9.87 11.57 15.55 13.22 13.69 8.41 12.15 9.82 8.88 12.97 12.45 217 * 6.82 6.81 5.6 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN 2.2.832.27 1 9.19 8 21.61 6 4 5.89 2 12.62 12.94 13.42 17.23 Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities FTSE MPF USA INDEX TOP 1 CONSTITUENTS Rank SEDOL Constituent Name ICB Subsector Net Market Cap (HKDm) Index Weight Industry Weight 1 246251 Apple Inc. Computer Hardware 6,676,635 3.75 17.37 2 2588173 Microsoft Corp Software 5,365,24 3.2 13.95 3 219 Amazon.Com Broadline Retailers 4,564,51 2.57 19.12 4 219385 JPMorgan Chase & Co 2,976,611 1.67 9.71 5 B7TL82 Facebook Class A Internet 2,961,237 1.66 7.7 6 2475833 Johnson & Johnson Pharmaceuticals 2,78,48 1.52 11.76 7 2326618 Exxon Mobil Corporation Integrated Oil & Gas 2,479,11 1.39 23.64 8 BYY88Y7 Alphabet Class C Internet 2,444,853 1.37 6.36 9 BYVY8G Alphabet Class A Internet 2,419,241 1.36 6.29 1 2295677 Bank of America 2,247,628 1.26 7.33 34,843,428 19.58-18 of 19