FTSE Factsheet - FTSE Russell

FTSE Russell Factsheet

FTSE Global All Cap Index Data as at: 31 August 2017 bmkTitle1

The FTSE Global All Cap Index is a market-capitalisation weighted index representing the

FEATURES

performance of the large, mid and small cap stocks globally. The index aggregate of around 7,400 stocks cover Developed and Emerging Markets and is suitable as the basis for investment

Coverage

products, such as funds, derivatives and exchange-traded funds.

Approximately 7,400 stocks that cover Developed and Emerging Markets.

Note: with effect from 18 March 2013, 'P Chips', which were listed in Hong Kong (Developed

Objective

market) moved to China (Emerging market).

The index is designed for use in the creation

5-Year Performance - Total Return

of index tracking funds, derivatives and as a

(USD)

performance benchmark.

180 170

Investability

160 150

Stocks are selected and weighted to ensure

140

that the index is investable.

130

Liquidity

120 110

Stocks are screened to ensure that the index

100 Aug-2012

Aug-2013

Aug-2014

Aug-2015

Aug-2016

Aug-2017

Data as at month end

Transparency

FTSE Global All Cap

FTSE Global Large Cap

FTSE Global Small Cap

FTSE All-World

The index uses a transparent, rules-based

FTSE Global Mid Cap

construction process. Index Rules are freely available on the FTSE website.

Performance and Volatility - Total Return Index (USD)

is tradable.

Return %

Return pa %*

Availability

Volatility %**

3M

6M

YTD

12M

3YR

5YR

3YR

5YR

1YR

3YR

5YR

The index is calculated based on price and

FTSE Global All Cap

3.7

8.9

15.0

17.5

19.7

70.1

6.2

11.2

7.0

12.3

9.9

total return methodologies, both real time


3.8

9.3

15.5

18.1

19.8

67.9

6.2

10.9

6.8

12.2

9.9

intra-second and end-of-day.

FTSE Global Mid Cap

3.1

8.2

14.5

16.3

20.6

77.6

6.4

12.2

7.7

12.9

10.1

Industry Classification Benchmark


3.9

7.1

12.4

15.7

18.4

73.8

5.8

11.7

8.5

13.0

10.9

Index constituents are categorized in

FTSE All-World

3.7

9.1

15.3

17.8

19.9

69.6

6.2

11.1

6.9

12.2

9.9

accordance with the Industry Classification Benchmark (ICB), the global standard for

* 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

industry sector analysis.

Year-on-Year Performance - Total Return Index % (USD)

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

FTSE Global All Cap

12.3

-42.2

37.5

14.8

-7.6

17.2

23.9

4.5

-1.7

9.0


13.3

-41.4

34.7

11.7

-6.8

16.9

22.6

4.9

-1.9

8.5

FTSE Global Mid Cap

9.7

-43.4

44.0

20.3

-9.4

18.2

26.8

4.3

-0.6

9.4


9.6

-45.9

48.0

26.8

-10.4

17.8

28.0

2.5

-2.0

11.8

12.7

-41.8

36.2

13.2

-7.3

17.1

23.3

4.8

-1.7

8.6

FTSE All-World

Source: FTSE Russell as at 31 August 2017. Past performance is no guarantee of future results. Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.

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Data as at: 31 August 2017

FTSE Global All Cap Index

Return/Risk Ratio and Drawdown - Total Return Index (USD)

INFORMATION

Return/Risk Ratio

Drawdown (%)

Index Launch

1YR

3YR

5YR

10YR

1YR

3YR

5YR

10YR

FTSE Global All Cap

2.4

0.5

1.1

0.3

-4.8

-19.2

-19.2

-58.4


2.6

0.5

1.1

0.3

-4.5

-18.6

-18.6

-57.7

Base Date

FTSE Global Mid Cap

2.0

0.5

1.2

0.3

-5.3

-19.8

-19.8

-59.2

31 December 2002


1.8

0.4

1.1

0.3

-6.4

-21.9

-21.9

-62.0

Base Value

FTSE All-World

2.5

0.5

1.1

0.3

-4.6

-18.8

-18.8

-57.9

Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data

1 September 2003

200 Investability Screen Actual free float applied and liquidity screened Index Calculation Real-time and end-of-day End-of-Day Distribution Via FTP and email Currency USD, GBP, JPY, EUR and Local Review Dates Semi-annually in March and September


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Country Breakdown Country

No. of Cons

Net MCap (USDm)

Wgt %

Australia

248

1,152,644

2.39

28

59,510

0.12

Austria Belgium

37

203,146

0.42

Brazil

125

407,578

0.85

Canada

218

1,543,194

3.20

Chile

30

67,458

0.14

China

421

1,158,683

2.40

13

23,678

0.05

6

9,293

0.02

40

300,116

0.62

Colombia Czech Rep. Denmark Egypt

18

9,598

0.02

Finland

36

182,766

0.38

France

142

1,498,645

3.11

Germany

148

1,459,601

3.03

22

24,236

0.05

202

601,450

1.25

Greece Hong Kong Hungary

4

19,401

0.04

277

573,251

1.19

Indonesia

69

121,589

0.25

Ireland

12

42,173

0.09

Israel

57

75,271

0.16

India

Italy

98

442,032

0.92

Japan

1285

3,940,261

8.17

Korea

394

827,274

1.72

Malaysia

89

159,510

0.33

Mexico

65

201,774

0.42

Netherlands

52

538,820

1.12

New Zealand

34

53,970

0.11

Norway

44

128,154

0.27

Pakistan

21

10,878

0.02

3

16,692

0.03

Philippines

45

77,949

0.16

Poland

40

76,114

0.16

Portugal

15

32,338

0.07

Qatar

22

33,251

0.07

Russia

46

178,826

0.37

Singapore

88

220,906

0.46

119

379,839

0.79

60

535,592

1.11

106

521,193

1.08

Switzerland

105

1,278,444

2.65

Taiwan

420

755,481

1.57

Thailand

109

183,201

0.38

Peru

South Africa Spain Sweden

Turkey

76

68,439

0.14

UAE

25

46,750

0.10

UK

324

2,879,983

5.97

USA

1885

25,088,239

52.04

Totals

7723

48,209,191

100.00


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Top 10 Constituents Constituent

Country

ICB Sector

Net MCap (USDm)

Wgt %

Apple Inc.

USA

Technology Hardware & Equipment

854,460

1.77

Microsoft Corp

USA

Software & Computer Services

560,028

1.16

Facebook Class A

USA


400,792

0.83

Amazon.Com

USA

General Retailers

389,049

0.81

Johnson & Johnson

USA

Pharmaceuticals & Biotechnology

356,459

0.74

Exxon Mobil Corporation

USA

Oil & Gas Producers

323,159

0.67

JPMorgan Chase & Co

USA

Banks

320,970

0.67

Alphabet Class A

USA


283,909

0.59

Alphabet Class C

USA


283,599

0.59

Nestle

Switzerland

Food Producers

262,252

0.54

4,034,677

8.37

Totals

ICB Industry Breakdown ICB Code

ICB Industry

0001

Oil & Gas

1000

Basic Materials

2000

Industrials

3000 4000

No. of Cons

Net MCap (USDm)

Wgt %

334

2,701,479

5.60

614

2,498,840

5.18

1634

6,732,707

13.97

Consumer Goods

992

6,062,806

12.58

Health Care

524

5,000,360

10.37

5000

Consumer Services

986

4,983,620

10.34

6000

Telecommunications

135

1,414,585

2.93

7000

Utilities

284

1,609,020

3.34

8000

Financials

1607

11,067,791

22.96

9000

Technology

Totals

613

6,137,984

12.73

7723

48,209,191

100.00

Index Characteristics Attributes

FTSE Global All Cap

Number of constituents Net MCap (USDm) Dividend Yield %


FTSE Global Mid Cap


7723

1444

1646

4633

48,209,191

35,136,788

7,345,220

5,727,184

2.36

2.50

2.06

1.86

6,242

24,333

4,462

1,236

854,460

854,460

26,698

13,992

0

22

88

0

Constituent Sizes (Net MCap USDm) Average Largest Smallest

1,318

8,665

2,632

675

Weight of Largest Constituent (%)

Median

1.77

2.43

0.36

0.24

Top 10 Holdings (% Index MCap)

8.37

11.48

3.20

1.93

31 August 2017


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© 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. ®

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FTSE Russell is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. “FTSE ”, “Russell ”, “FTSE Russell ” “MTS ”, “FTSE TMX ”, ®

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“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

Data definitions available from [email protected] To learn more, visit www.ftserussell.com; email [email protected]; or call your regional Client Services Team office:

whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Global All Cap or the fitness or suitability of the FTSE Global All Cap for any particular purpose to which they might be put.

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No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this

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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

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licensed professional.

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No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical,

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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

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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.


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