FTSE Russell Factsheet Index Series bmktitle1 Launched in 2001, the Index Series is a series of benchmark and tradable indexes for ESG (Environmental, Social and Governance) investors. The index series is derived from the globally recognised FTSE Global Equity Index Series, offering FTSE Russell s world-famous hallmark of cutting-edge index design and calculation technology. The criteria is applied to the FTSE Developed Index Series, which covers 23 markets and over 2,000 potential constituents. In the UK, the universe of eligible constituents is drawn from the FTSE All-Share Index. The series consists of six benchmark indexes covering the Developed and European regions, the US, Japan and the UK. An additional five tradable indexes have been specially designed to provide asset managers with a cheap and efficient basis for investment products. These cover the UK, US, European, Australian and Developed regions, as well as the Environmental Leaders Europe 40 Index which focuses specifically on European companies within the universe that demonstrate leading environmental practices. Criteria are developed using an extensive market consultation process and are approved by an independent committee of experts. A broad range of stakeholders help shape the criteria, including NGOs, governmental bodies, consultants, academics, the investment community and the corporate sector. To remain consistent with market expectations and developments in ESG practice, the inclusion criteria are revised regularly. FTSE Russell engages with companies that no longer meet the standards and they are given a period of grace to try and improve their scores. If there is no improvement then the company is deleted from the index series. The criteria have been designed to help investors minimise ESG risks. Companies with the largest risk and impacts have to meet additional sector specific criteria. Tradable Indexes 5-Year Performance - Total Return 220 200 180 160 140 120 100 80 (USD) Jun-2013 Jun-2014 Jun-2015 Jun-2016 Jun-2017 Jun-2018 Data as at month end Developed 100 UK 50 US 100 Europe 50 Australia 30 Data as at: 29 June 2018 FEATURES Transparency Index governance is overseen by the independent FTSE Russell ESG Advisory Committee, made up of leading global responsible investment market practitioners and experts on global Environmental, Social and Governance (ESG) principles and criteria used to determine comparative corporate ESG performance. Criteria Companies need to meet a variety of environmental, social and governance criteria to meet the inclusion requirements please see www.ftserussell.com for details Objective The indexes are designed for use in the creation of index tracking funds, derivatives and as performance benchmarks. Investability Stocks are selected and weighted to ensure that the indexes are investable. Liquidity Stocks are screened to ensure that the indexes are tradable. Availability The indexes are calculated based on price and total return methodologies, both real time and end-of-day. Industry Classification Benchmark (ICB) Index constituents are categorized in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis. 1 of 6
Index Series Data as at: 29 June 2018 Benchmark Indexes 5-Year Performance - Total Return (USD) 220 200 180 160 140 120 100 80 Jun-2013 Jun-2014 Jun-2015 Jun-2016 Jun-2017 Jun-2018 Data as at month end Developed UK US Europe Japan Performance and Volatility - Total Return Index (USD) Return % Return pa %* Volatility %** 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Developed 100 2.3-0.1-0.1 11.2 27.4 60.0 8.4 9.9 10.3 12.1 10.4 Developed 1.4-0.3-0.3 10.7 27.8 64.1 8.5 10.4 9.1 12.2 10.3 FTSE Developed 1.6 0.4 0.4 11.6 30.3 65.1 9.2 10.6 9.0 11.6 10.0 UK 50 2.3-1.1-1.1 9.4 7.7 25.9 2.5 4.7 11.1 18.0 12.7 UK 3.0-0.3-0.3 11.1 9.7 33.1 3.1 5.9 11.0 18.0 12.7 FTSE All-Share 2.7-0.7-0.7 10.7 10.4 32.6 3.4 5.8 10.9 17.7 12.7 US 100 3.4 2.2 2.2 15.4 43.4 100.2 12.8 14.9 13.2 11.7 10.1 US 3.2 2.1 2.1 14.7 42.1 98.9 12.4 14.7 12.9 11.7 10.0 INFORMATION Index Universe FTSE Developed Index Index Launch 1 November 2001 Base Date 29 June 2001 Base Value 5000 Investability Screen Actual free float applied and liquidity screened Index Calculation Real-time and end-of-day indexes available End-of-Day Distribution Via FTP and email Currency USD, GBP, EUR, JPY Review Dates Semi-annually in June and December FTSE USA 3.5 2.8 2.8 14.6 39.8 87.5 11.8 13.4 12.2 11.5 9.8 Europe 50-0.2-3.7-3.7 3.3 8.5 25.6 2.7 4.7 10.6 15.9 12.8 Europe -1.0-3.1-3.1 5.3 13.1 38.0 4.2 6.7 10.4 16.0 12.8 FTSE Developed Europe -0.8-2.7-2.7 6.2 15.8 40.1 5.0 7.0 10.5 15.9 12.8 Australia 30 5.3-1.0-1.0 8.8 19.9 27.2 6.2 4.9 11.9 18.8 15.9 FTSE Australia 5.1-1.2-1.2 9.1 26.0 31.2 8.0 5.6 11.6 18.3 15.8 Japan -2.5-1.9-1.9 10.4 19.8 44.4 6.2 7.6 12.4 16.2 11.8 FTSE Japan -2.8-1.9-1.9 11.1 22.6 48.7 7.0 8.3 12.1 15.6 11.4 * 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) 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Developed 100-40.8 30.4 3.8-5.7 19.5 25.1 5.0-0.5 6.7 22.8 Developed -41.2 33.5 7.9-6.8 19.8 27.0 5.1-0.3 7.1 24.1 FTSE Developed -40.3 31.4 12.3-5.5 17.0 26.8 5.1-0.3 8.2 23.9 UK 50-46.8 40.1 5.3-3.5 16.6 23.0-4.7-6.6-2.7 21.9 UK -47.5 39.8 7.2-3.5 19.1 25.6-3.7-3.9-4.0 23.3 FTSE All-Share -48.9 44.3 9.7-3.8 17.3 23.6-4.5-4.0-3.1 24.2 US 100-38.4 31.7 11.4-0.4 19.6 31.7 18.0 2.4 12.3 24.5 US -38.4 33.0 11.7-0.9 19.3 31.7 17.9 2.1 12.7 23.5 FTSE USA -36.8 27.2 15.1 1.7 16.3 32.8 13.3 1.0 11.8 22.1 Europe 50-43.4 31.5-3.1-6.9 18.2 23.1-6.8-4.5-1.6 23.2 Europe -45.0 36.9 1.5-9.2 21.2 26.6-4.7-2.7-0.7 25.8 FTSE Developed Europe -45.9 37.3 4.4-11.2 20.2 26.2-5.6-1.9 0.1 26.5 Australia 30-47.8 71.3 13.7-6.8 26.0 6.5-0.9-11.7 11.9 18.9 FTSE Australia -50.8 76.5 15.5-10.8 21.6 4.5-3.3-9.5 12.7 20.9 Japan -28.0 5.4 12.4-13.9 11.8 29.2-4.9 11.8 2.1 23.8 FTSE Japan -28.6 5.8 15.4-13.5 8.1 27.3-3.3 11.1 2.8 25.3 2 of 6
Index Series Data as at: 29 June 2018 Return/Risk Ratio and Drawdown - Total Return Index (USD) Return/Risk Ratio Drawdown (%) 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR Developed 100 1.0 0.6 0.9 0.4-10.4-17.4-17.4-50.5 Developed 1.1 0.6 1.0 0.4-9.4-17.6-18.4-51.1 FTSE Developed 1.2 0.8 1.1 0.4-9.0-16.4-17.6-49.7 UK 50 0.8 0.1 0.4 0.1-9.6-24.5-28.7-54.3 UK 0.9 0.1 0.5 0.2-9.8-24.4-27.1-54.0 FTSE All-Share 0.9 0.2 0.5 0.2-10.0-23.5-27.3-55.2 US 100 1.1 1.0 1.5 0.7-10.7-13.5-13.5-49.1 US 1.1 1.0 1.5 0.7-10.5-13.8-13.8-49.2 FTSE USA 1.2 1.0 1.4 0.7-10.0-13.9-13.9-47.0 Europe 50 0.2 0.1 0.4 0.1-10.8-23.1-27.5-54.4 Europe 0.4 0.2 0.5 0.2-10.4-22.5-25.1-54.9 FTSE Developed Europe 0.5 0.3 0.5 0.2-10.2-21.6-25.1-55.5 Australia 30 0.6 0.3 0.3 0.2-9.9-23.4-34.6-57.4 FTSE Australia 0.6 0.4 0.4 0.2-9.4-21.4-34.3-58.8 Japan 0.8 0.4 0.6 0.2-9.4-23.1-24.1-45.3 FTSE Japan 0.8 0.5 0.7 0.3-9.4-21.8-22.7-43.5 Return/Risk Ratio based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Top 5 tituents (by MCap) - Developed Index tituent Country ICB Sector Net MCap (USDm) Apple Inc. USA Technology Hardware & Equipment 909,309 3.70 Microsoft Corp USA Software & Computer Services 746,327 3.03 Alphabet Class C USA Software & Computer Services 339,222 1.38 Alphabet Class A USA Software & Computer Services 336,861 1.37 Johnson & Johnson USA Pharmaceuticals & Biotechnology 325,310 1.32 Totals 2,657,030 10.80 Top 5 tituents (by MCap) - UK Index tituent ICB Sector Net MCap (USDm) HSBC Hldgs Banks 188,272 7.95 Royal Dutch Shell A Oil & Gas Producers 159,430 6.74 Royal Dutch Shell B Oil & Gas Producers 134,073 5.66 GlaxoSmithKline Pharmaceuticals & Biotechnology 98,274 4.15 AstraZeneca Pharmaceuticals & Biotechnology 87,762 3.71 Totals 667,811 28.21 Top 5 tituents (by MCap) - US Index tituent ICB Sector Net MCap (USDm) Apple Inc. Technology Hardware & Equipment 909,309 7.15 Microsoft Corp Software & Computer Services 746,327 5.86 Alphabet Class C Software & Computer Services 339,222 2.67 Alphabet Class A Software & Computer Services 336,861 2.65 Johnson & Johnson Pharmaceuticals & Biotechnology 325,310 2.56 Totals 2,657,030 20.88 3 of 6
Index Series Data as at: 29 June 2018 Top 5 tituents (by MCap) - Europe Index tituent Country ICB Sector Net MCap (USDm) Nestle Switzerland Food Producers 236,712 3.10 HSBC Hldgs UK Banks 188,272 2.47 Novartis (REGD) Switzerland Pharmaceuticals & Biotechnology 164,816 2.16 Royal Dutch Shell A UK Oil & Gas Producers 159,430 2.09 Roche Hldgs (GENUS) Switzerland Pharmaceuticals & Biotechnology 154,061 2.02 Totals 903,291 11.83 Developed & US ICB Industry Breakdown Developed FTSE Developed US FTSE USA ICB Industry Diff % Diff % Oil & Gas 32 4.21 91 6.53-2.32 5 1.25 40 6.31-5.06 Basic Materials 69 5.14 149 4.36 0.78 13 3.14 22 2.20 0.94 Industrials 158 10.66 414 13.16-2.50 36 9.87 99 11.80-1.93 umer Goods 124 11.39 308 12.46-1.07 31 7.28 75 8.46-1.18 Health Care 74 13.41 153 11.32 2.10 26 15.73 56 12.62 3.10 umer Services 131 8.14 292 11.06-2.93 45 9.23 84 13.29-4.06 Telecommunications 33 4.10 46 2.53 1.57 5 3.78 5 2.01 1.77 Utilities 35 1.71 90 3.00-1.29 6 0.69 29 2.79-2.10 Financials 218 22.33 452 20.93 1.40 50 17.20 135 18.77-1.57 Technology 79 18.89 142 14.63 4.26 38 31.84 71 21.74 10.09 Totals 953 100.00 2137 100.00 255 100.00 616 100.00 Europe & UK ICB Industry Breakdown Europe FTSE Developed Europe UK FTSE All-Share ICB Industry Diff % Diff % Oil & Gas 13 7.90 17 8.30-0.40 5 12.72 16 14.21-1.49 Basic Materials 33 7.34 45 7.36-0.03 16 7.65 29 7.77-0.12 Industrials 71 11.78 118 13.95-2.17 46 9.07 106 11.42-2.35 umer Goods 49 16.70 75 18.18-1.47 21 11.39 42 13.84-2.45 Health Care 31 13.52 44 12.57 0.95 12 11.42 22 8.78 2.64 umer Services 55 7.35 67 6.55 0.80 53 13.71 91 11.77 1.94 Telecommunications 17 3.79 21 3.22 0.56 3 3.77 6 2.91 0.86 Utilities 22 3.51 30 3.86-0.34 7 3.64 8 2.67 0.97 Financials 89 22.72 123 21.18 1.54 51 25.56 305 25.71-0.15 Technology 17 5.39 21 4.83 0.55 10 1.07 15 0.92 0.15 Totals 397 100.00 561 100.00 224 100.00 640 100.00 4 of 6
29 June 2018 Index Series Data as at: 29 June 2018 Japan & Australia ICB Industry Breakdown Japan FTSE Japan Australia 30 FTSE Australia ICB Industry Diff % Diff % Oil & Gas 4 1.87 6 1.11 0.76 3 5.92 6 5.59 0.33 Basic Materials 12 5.10 44 6.12-1.03 5 17.75 14 16.22 1.53 Industrials 36 15.09 120 23.18-8.09 5 7.34 17 9.58-2.24 umer Goods 32 27.90 102 24.89 3.01 1 1.32 2 1.21 0.12 Health Care 11 8.14 35 7.35 0.79 2 9.93 6 8.64 1.28 umer Services 12 8.27 76 11.15-2.88 1 4.24 13 10.55-6.32 Telecommunications 4 8.78 5 4.58 4.20 1 1.15 3 0.99 0.16 Utilities 2 1.01 13 1.96-0.94 2 3.42 3 2.47 0.95 Financials 21 17.82 75 14.40 3.42 9 48.92 28 44.46 4.46 Technology 18 6.02 33 5.26 0.77 1 0.01 2 0.30-0.28 Totals 152 100.00 509 100.00 30 100.00 94 100.00 Country Breakdown Developed FTSE Developed Country Diff % Australia 59 3.52 94 2.57 0.95 Austria 5 0.11 7 0.09 0.02 Belgium 7 0.54 13 0.40 0.15 Canada 29 3.42 63 3.10 0.32 Denmark 13 0.81 19 0.57 0.24 Finland 11 0.44 14 0.40 0.05 France 67 5.28 87 3.72 1.56 Germany 43 4.12 80 3.38 0.74 Hong Kong 18 1.06 91 1.40-0.33 Ireland 1 0.03 5 0.09-0.06 Israel 5 0.17 30 0.19-0.03 Italy 22 1.16 38 0.92 0.24 Japan 152 7.94 509 9.37-1.42 Korea 20 0.59 129 1.81-1.22 Netherlands 23 2.08 28 1.28 0.80 New Zealand 8 0.09 12 0.08 0.01 Norway 8 0.36 11 0.25 0.11 Portugal 4 0.10 4 0.06 0.04 Singapore 10 0.43 32 0.45-0.02 Spain 28 1.79 31 1.10 0.69 Sweden 29 1.26 40 0.93 0.33 Switzerland 28 4.06 50 2.77 1.30 UK 108 8.93 134 6.65 2.29 USA 255 51.72 616 58.44-6.72 Totals 953 100.00 2137 100.00 5 of 6
Index Series Data as at: 29 June 2018 bmkimage1 bmkimage2 bmkimage3 2018 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, 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 Index Series or the fitness or suitability of the 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 4563 6346 Sydney +61 (0) 2 8823 3521 6 of 6