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Citi Pure Price Momentum Europe Long-Short Net TR Series II Index

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Date: 23-May-21 Index Weights as of monthly rebalance date 12-May-21 Citi Pure Price Momentum Europe Long-Short Net TR Series II Index (CIISPME2) Long Exposure Short Exposure Constituent Bloomberg Ticker Constituent Name Weight(%) Constituent Bloomberg Ticker Constituent Name Weight(%) 1 1COV GY Equity Covestro AG 0.41% 1 ABBN SE Equity ABB LTD-REG -0.16% 2 AAL LN Equity Anglo American Plc 0.27% 2 ABN NA Equity ABN AMRO Group NV -0.29% 3 ABF LN Equity Associated British Foods 0.74% 3 ACA FP Equity Credit Agricole SA -0.89% 4 AC FP Equity Accor 0.32% 4 ADS GY Equity Adidas AG -0.96% 5 ADEN SE Equity ADECCO GROUP AG-REG 0.42% 5 AENA SQ Equity AENA SA -0.18% 6 ADM LN Equity Admiral Group 1.34% 6 AD NA Equity Ahold NV -0.87% 7 ADYEN NA Equity Adyen NV 0.25% 7 AI FP Equity Air Liquide -0.44% 8 AGN NA Equity Aegon NV 0.26% 8 ALFA SS Equity Alfa Laval AB -0.62% 9 AHT LN Equity Ashtead Group 2.81% 9 ALO FP Equity Alstom -1.02% 10 AKZA NA Equity AKZO NOBEL NV EUR0.50(POST REV SPLIT) 1.11% 10 ASSAB SS Equity Assa Abloy B -0.44% 11 ALC SE Equity ALCON AG CHF0.04 0.20% 11 ATO FP Equity AtoS -2.15% 12 ALV GY Equity Allianz SE 0.64% 12 AZN LN Equity AstraZeneca Plc -1.00% 13 AMBUB DC Equity Ambu A/S 0.10% 13 BA/ LN Equity BAE Systems Plc -1.05% 14 AMP IM Equity Amplifon SpA 0.58% 14 BAER SE Equity JULIUS BAER GROUP LTD -0.06% 15 AMS SQ Equity Amadeus IT Hldg SA 0.86% 15 BARC LN Equity Barclays -0.39% 16 VNA GY Equity Deutsche Annington Immobilien 0.03% 16 BATS LN Equity British American Tobacco Plc -0.47% 17 ANTO LN Equity Antofagasta Hldgs 0.44% 17 BBVA SQ Equity Banco Bilbao Vizcaya Argentaria SA -0.20% 18 ASM NA Equity ASM Intl 0.41% 18 BEI GY Equity Beiersdorf AG -0.78% 19 ASML NA Equity ASML Holding NV 0.22% 19 BIM FP Equity BioMerieux -0.37% 20 ATCOA SS Equity Atlas Copco AB A 0.31% 20 BHP LN Equity BHP GROUP PLC ORD USD0.50 -1.29% 21 ATCOB SS Equity Atlas Copco AB B 0.12% 21 BN FP Equity Danone -0.63% 22 AV/ LN Equity Aviva 1.77% 22 BNP FP Equity BNP Paribas -0.45% 23 BARN SE Equity Barry Callebut AG Reg 0.69% 23 BNZL LN Equity Bunzl -0.71% 24 BDEV LN Equity Barratt Developments 0.41% 24 BP/ LN Equity BP -0.48% 25 PROX BB Equity Belgacom SA 0.03% 25 CBK GY Equity Commerzbank AG -0.91% 26 BMW GY Equity Bayer Motoren Werke AG (BMW) 0.11% 26 CHR DC Equity Christian Hansen Holding A/S -1.67% 27 BNR GY Equity Brenntag AG 2.74% 27 CLN SE Equity Clariant AG -0.86% 28 BOL SS Equity BOLIDEN AB NPV 0.35% 28 CLNX SQ Equity Cellnex Telecom SA -0.72% 29 BT/A LN Equity BT Group 1.28% 29 COLOB DC Equity Coloplast AS B -0.65% 30 BVI FP Equity Bureau Veritas SA 1.14% 30 CON GY Equity Continental AG -0.71% 31 CA FP Equity Carrefour SA 0.89% 31 CS FP Equity AXA -0.42% 32 CABK SQ Equity CaixaBank 0.24% 32 CSGN SE Equity CREDIT SUISSE GROUP AG-REG -0.56% 33 CAP FP Equity Cap Gemini SA 1.10% 33 DB1 GY Equity Deutsche Boerse AG -0.94% 34 CARLB DC Equity Carlsberg AS B 0.76% 34 DBK GY Equity Deutsche Bank AG -1.18% 35 CFR SE Equity CIE FINANCIERE RICHEMONT-REG 0.25% 35 DCC LN Equity DCC ORD EUR0.25 -0.92% 36 CNHI IM Equity CNH Industrial 0.41% 36 DSM NA Equity Koninklijke DSM NV -0.25% 37 CPG LN Equity Compass Group 0.26% 37 DTE GY Equity Deutsche Telekom -0.04% 38 CPR IM Equity Davide Campari Group Milano SpA 0.57% 38 AIR FP Equity EADS NV-Euro Aero Defense -0.32% 39 CRDA LN Equity Croda Intl 0.87% 39 ELE SQ Equity Endesa SA -0.30% 40 CRH ID Equity CRH ORD EUR0.32 0.15% 40 ELUXB SS Equity Electrolux AB B -0.43% 41 DANSKE DC Equity Danske Bank A/S 0.01% 41 EN FP Equity Bouygues -0.25% 42 ORSTED DC Equity Orsted A/S 0.07% 42 ENR GY Equity Siemens Energy AG -0.37% 43 DGE LN Equity Diageo Plc 0.79% 43 EO FP Equity Faurecia -0.40% 44 DHER GY Equity DELIVERY HERO AG 0.12% 44 EOAN GY Equity E.ON AG -0.55% 45 DIM FP Equity Sartorius Stedim Biotech 0.61% 45 ESSITYB SS Equity ESSITY AKTIEBOLAG-B -0.94% 46 DNB NO Equity DNB ASA 0.18% 46 EXPN LN Equity Experian Plc -1.09% 47 DPW GY Equity Deutsche Post AG 0.21% 47 FBK IM Equity FinecoBank Banca Fineco SpA -0.67% 48 DSV DC Equity Dsv A/S 0.59% 48 FER SQ Equity Ferrovial SA -0.80% 49 DSY FP Equity Dassault Systemes SA 0.41% 49 FGR FP Equity Eiffage -1.34% 50 DWNI GY Equity Deutsche Wohnen AG BR 0.36% 50 FME GY Equity Fresenius Medical -0.87% 51 EBS AV Equity Erste Group Bank AG 0.19% 51 FP FP Equity TOTAL SA -0.33% 52 EDF FP Equity Electricite de France 0.74% 52 FR FP Equity Valeo -1.76% 53 ENEL IM Equity Enel SpA 0.27% 53 G24 GY Equity Scout24 AG -0.57% 54 ENI IM Equity ENI SpA 0.28% 54 GALP PL Equity Galp Energia SGPS SA -0.19% 55 EPIA SS Equity EPIROC AB SER'A'NPV (POST SPLIT) 1.79% 55 GMAB DC Equity Genmab AS -0.13% 56 ERF FP Equity EUROFINS SCIENTIFI EUR0.10 1.11% 56 GIVN SE Equity GIVAUDAN-REG -1.63% 57 ERICB SS Equity ERICSSON LM-B SHS 0.33% 57 GLEN LN Equity Glencore International PLC -0.76% 58 EVK GY Equity Evonik Industries 0.54% 58 GLPG NA Equity Galapagos NV -2.02% 59 EVO SS Equity Evolution Gaming Group AB 0.32% 59 GRF SQ Equity Grifols SA -0.23% 60 STLA IM Equity FIAT CHRYSLER AUTO EUR0.01 2.15% 60 GSK LN Equity GlaxoSmithKline -1.48% 61 FRE GY Equity Fresenius SE & Co KGaA 0.09% 61 ENGI FP Equity GDF Suez -0.44% 62 G IM Equity Assicurazioni Generali SpA 0.24% 62 HFG GY Equity HelloFresh SE -0.26% 63 SGRE SQ Equity Gamesa Corp Tecnologica SA 0.39% 63 HMB SS Equity Hennes & Mauritz AB B -0.11% 64 GEBN SE Equity GEBERIT AG-REG 0.87% 64 HNR1 GY Equity Hannover Ruckversicherungs AG Reg -0.31% 65 GN DC Equity GN Store Nord AS 0.54% 65 HSBA LN Equity HSBC Holdings Plc -0.39% 66 ENT LN Equity GVC HLDGS PLC ORD EUR0.01 2.60% 66 INGA NA Equity ING Groep NV -0.44% 67 HEI GY Equity HeidelbergCement AG 2.24% 67 ISP IM Equity Intesa SanPaolo -0.73% 68 HEIA NA Equity Heineken NV 0.58% 68 ITX SQ Equity Inditex SA -0.20% 69 HEN3 GY Equity Henkel AG & Co. KGaA Nvtg Prf 0.45% 69 KBX GY Equity Knorr-Bremse AG -0.98% 70 HEXAB SS Equity HEXAGON AB SER'B'NPV 1.38% 70 KER FP Equity PPR SA -0.50% 71 IBE SQ Equity Iberdrola SA 0.98% 71 KGF LN Equity Kingfisher -0.01% 72 IFX GY Equity Infineon Technologies AG 1.79% 72 KGX GY Equity KION Group AG -0.63% 73 IHG LN Equity INTERCONTL HOTELS ORD GBP0.208521303 0.49% 73 KNEBV FH Equity Kone Corp B -0.80% 74 III LN Equity 3I Group 0.84% 74 KYG ID Equity Kerry Group A -1.26% 75 IMB LN Equity Imperial Tobacco 0.48% 75 LGEN LN Equity Legal & General Group -0.61% 76 INVEB SS Equity INVESTOR AB SER'B'NPV 2.84% 76 LLOY LN Equity Lloyds Banking Group Plc -0.36% 77 JMAT LN Equity JOHNSON MATTHEY PLC 0.02% 77 LONN SE Equity LONZA GROUP AG-REG -0.42% 78 KBC BB Equity KBC Group NV 0.18% 78 LR FP Equity Legrand Promesses -0.52% 79 KINVB SS Equity KINNEVIK AB SER'B'NPV (POST SPLIT) 1.12% 79 LSEG LN Equity London Stock Exchange Plc -0.99% 80 KN FP Equity Natixis 0.00% 80 LUNE SS Equity Lundin Petroleum A -0.71% 81 KNIN SE Equity KUEHNE + NAGEL INTL AG-REG 0.86% 81 MOWI NO Equity Marine Harvest ASA -0.40% 82 KPN NA Equity Koninklijke KPN NV 0.83% 82 MONC IM Equity MONCLER SPA -0.36% 83 HOLN SE Equity LAFARGEHOLCIM LTD-REG 0.51% 83 MT NA Equity ArcelorMittal -1.54% 84 LOGN SE Equity Logitech International SA 1.48% 84 MTX GY Equity MTU Aero Engines Holding AG -0.43% 85 MAERSKB DC Equity AP Moller - Maersk AS B 1.13% 85 NESN SE Equity NESTLE SA-REG -1.37% 86 MB IM Equity Mediobanca SpA 0.01% 86 NG/ LN Equity National Grid PLC -0.32% 87 MC FP Equity LVMH-Moet Vuitton 0.34% 87 NOKIA FH Equity Nokia OYJ -1.27% 88 ML FP Equity Michelin CGDE B Brown 0.47% 88 NOVN SE Equity NOVARTIS AG-REG -0.54% 89 MNG LN Equity M&G PLC ORD GBP0.05 1.00% 89 NOVOB DC Equity Novo Nordisk AS B -0.34% 90 MRK GY Equity MERCK KGaA 2.07% 90 NZYMB DC Equity Novozymes AS B -0.09% 91 NDA SS Equity NORDEA BANK AB NPV 0.07% 91 OCDO LN Equity Ocado Group PLC -1.51% 92 NESTE FH Equity Neste Oil OYJ 1.28% 92 PRX NA Equity Prosus NV -0.93% 93 NHY NO Equity Norsk Hydro AS 0.48% 93 PRY IM Equity Prysmian SpA -0.91% 94 NN NA Equity NN Group NV 1.23% 94 PUM GY Equity PUMA SE -0.21% 95 NXT LN Equity Next 0.48% 95 RACE IM Equity FERRARI NV -0.62% 96 OR FP Equity L'Oreal 1.63% 96 RKT LN Equity Reckitt Benckiser Group PLC -1.02% 97 PAH3 GY Equity Porsche Automobil Holding SE 0.44% 97 NWG LN Equity ROYAL BANK OF SCOTLAND GROUP -0.12% 98 PGHN SE Equity PARTNERS GROUP HLG CHF0.01 (REGD) 0.79% 98 RDSA LN Equity Royal Dutch Shell PLC -0.23% 99 PHIA NA Equity Koninklijke Philips Electronics NV (Royal Philips Electronics) 0.84% 99 RDSB LN Equity Royal Dutch Shell PLC B -0.41% 100 PNDORA DC Equity Pandora A/S 0.21% 100 REL LN Equity Reed Elsevier -1.10% 101 PSN LN Equity Persimmon 0.23% 101 RIO LN Equity Rio Tinto Plc -0.86% 102 PST IM Equity Poste Italiane SpA 0.26% 102 RNO FP Equity Renault SA -0.78% 103 PUB FP Equity Publicis Groupe 1.99% 103 ROG SE Equity ROCHE HOLDING AG-GENUSSCHEIN -1.87% 104 FLTR ID Equity PADDY POWER PLC 0.83% 104 RR/ LN Equity Rolls-Royce Holdings Plc -1.04% 105 QIA GY Equity QIAGEN AG 0.44% 105 RTO LN Equity Rentokil Initial -1.49% 106 RAND NA Equity Randstad Hldgs NV 1.32% 106 SAF FP Equity Safran SA -0.18% 107 TEP FP Equity Teleperformance 0.12% 107 SAN FP Equity Sanofi-Aventis -0.18% 108 REP SQ Equity Repsol-YPF SA 0.33% 108 SAP GY Equity SAP AG -1.58% 109 RI FP Equity Pernod-Ricard 0.22% 109 SCMN SE Equity SWISSCOM AG-REG -1.51% 110 RMS FP Equity Hermes Intl 0.41% 110 SEBA SS Equity SEB-Skand Enskilda Banken A -0.04% 111 RSA LN Equity RSA Insurance Group Plc 1.80% 111 SGRO LN Equity SEGRO Plc -0.39% 112 SAMPO FH Equity Sampo Oyj A 0.27% 112 SGSN SE Equity SGS SA-REG -0.48% 113 SBRY LN Equity Sainsbury (J) 1.57% 113 SHBA SS Equity Svenska Handelsbanken A -1.15% 114 SCAB SS Equity SCA-Svenska Cellulosa B 0.59% 114 SKAB SS
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    PORTFOLIO OF INVESTMENTS CTIVP® – Lazard International Equity Advantage Fund, March 31, 2020 (Unaudited) (Percentages represent value of investments compared to net assets) Investments in securities Common Stocks 96.4% Common Stocks (continued) Issuer Shares Value ($) Issuer Shares Value ($) Australia 6.4% Legrand SA 131,321 8,375,908 AGL Energy Ltd. 880,686 9,216,678 L’Oreal SA 104,607 27,073,419 Aristocrat Leisure Ltd. 728,775 9,443,206 Orange SA 949,535 11,496,452 ASX Ltd. 162,820 7,642,885 Peugeot SA 1,014,598 13,209,331 BHP Group Ltd. 471,264 8,549,345 Schneider Electric SE 553,434 46,777,833 CIMIC Group Ltd. 332,784 4,713,315 STMicroelectronics NV 400,446 8,608,225 CSL Ltd. 166,037 30,097,798 Total SA 1,095,152 41,264,011 Fortescue Metals Group Ltd. 4,669,354 28,614,857 Total 209,274,345 (a),(b) IDP Education Ltd. 447,152 3,487,548 Germany 4.2% Inghams Group Ltd. 1,200,179 2,405,115 Adidas AG 22,586 5,014,708 Magellan Financial Group Ltd. 729,823 19,356,167 Allianz SE, Registered Shares 319,746 54,451,936 Regis Resources Ltd. 1,318,187 2,929,557 Continental AG 32,324 2,304,645 Santos Ltd. 4,606,425 9,460,470 Dialog Semiconductor PLC(c) 82,878 2,154,248 (c) Saracen Mineral Holdings Ltd. 3,513,246 7,900,242 Hugo Boss AG 273,602 6,848,821 Technology One Ltd. 897,813 4,336,750 MTU Aero Engines AG 74,698 10,801,095 Total 148,153,933 SAP SE 91,344 10,198,367 Austria 0.2% Siemens Healthineers AG 179,517 6,939,504 OMV AG 81,189 2,221,890 Total 98,713,324 Raiffeisen Bank International AG 111,223 1,599,856 Hong Kong 3.9% Total 3,821,746 CK Hutchison Holdings Ltd.
  • Investment Holdings As of June 30, 2019

    Investment Holdings As of June 30, 2019

    Investment Holdings As of June 30, 2019 Montana Board of Investments | Portfolio as of June 30, 2019 Transparency of the Montana Investment Holdings The Montana Board of Investment’s holdings file is a comprehensive listing of all manager funds, separately managed and commingled, and aggregated security positions. Securities are organized across common categories: Pension Pool, Asset Class, Manager Fund, Aggregated Individual Holdings, and Non-Pension Pools. Market values shown are in U.S. dollars. The market values shown in this document are for the individual investment holdings only and do not include any information on accounts for receivables or payables. Aggregated Individual Holdings represent securities held at our custodian bank and individual commingled accounts. The Investment Holdings Report is unaudited and may be subject to change. The audited Unified Investment Program Financial Statements, prepared on a June 30th fiscal year-end basis, will be made available once the Legislative Audit Division issues the Audit Opinion. Once issued, the Legislative Audit Division will have the Audit Opinion available online at https://www.leg.mt.gov/publications/audit/agency-search-report and the complete audited financial statements will also be available on the Board’s website http://investmentmt.com/AnnualReportsAudits. Additional information can be found at www.investmentmt.com Montana Board of Investments | Portfolio as of June 30, 2019 2 Table of Contents Consolidated Asset Pension Pool (CAPP) 4 CAPP - Domestic Equities 5 CAPP - International
  • Remuneration in Danish Large Cap Companies Benchmarking of Remuneration of Executive Management and Boards 2013 - 2016 Remuneration in Danish Large Cap Companies

    Remuneration in Danish Large Cap Companies Benchmarking of Remuneration of Executive Management and Boards 2013 - 2016 Remuneration in Danish Large Cap Companies

    Remuneration in Danish Large Cap companies Benchmarking of remuneration of executive management and boards 2013 - 2016 Remuneration in Danish Large Cap companies Content Introduction 3 Key takeaways 4 Current trends 5 Experience from the UK 8 Overview 9 Methodology 10 Remuneration of executive directors 11 Base salary 15 Pension 18 Bonus (STIs) 19 Long-Term Incentives (LTIs) 22 Board remuneration 31 How can Deloitte help? 32 Our contacts 33 Appendix 35 2 Remuneration in Danish Large Cap companies Introduction This report gives an overview of and insight into reported with the required level of detail to be included remuneration of executive directors and boards of listed in our analysis. All the included company reports companies within the Danish Large Cap1 index. In March in accordance with IFRS and financial reporting on 2017 the Large Cap Index is comprised of 38 companies, remuneration of executives are more specifically of which the names can be found in a list in the appendix. governed by IFRS 2 and the Danish Financial Statements These companies represent some of the largest Danish Act. Remuneration of executive directors is required by companies from a wide range of industries, from financial IFRS to be disclosed on both fixed and variable elements services to energy and supplies. for executive management. Although reporting this level of detail for all individual members of management is During 2016 no companies left the Danish Large Cap not a requirement, it is however best practice guidance Index, while DFDS, NKT Holding, SimCorp and Össur from the Committee on Corporate Governance3. LTI entered following OMX Nasdaq’s annual review in programmes must also be disclosed separately in their December 2015.
  • The Aggregate Cost of Equity Underdiversification* Internet

    The Aggregate Cost of Equity Underdiversification* Internet

    The aggregate cost of equity underdiversification* Internet Appendix June 2019 Bjarne Florentsen Ulf Nielsson Peter Raahauge Jesper Rangvid * All authors are at Copenhagen Business School. Bjarne, Ulf and Jesper are research fellows at the Danish Finance Institute. Jesper is also affiliated with PerCent and Ulf with the University of Iceland. Emails: Bjarne: [email protected], Ulf: [email protected], Peter: [email protected], and Jesper: [email protected] (corresponding author). 1. Introduction In this internet appendix, we provide additional information about the underlying individual Danish stocks that we use in the paper itself. We also provide the results from a number of robustness tests. 2. Stock Characteristics We examine returns on all Danish stocks for which we have monthly stock market returns throughout the last twenty years. There are 91 stocks that fulfil this requirement. The sample period is April 1997 through April 2017. We list in Table A1 the names of the stocks, the average monthly returns (annualized), and the annualized standard deviations of monthly returns. The stocks are listed according to their average returns, in descending order. There is a wide dispersion in average returns. Two stocks (DSV and AMBU) have returned an impressive 22.4% per year on average for the last twenty years. This means that DKK 100 invested in one of these two stocks in April 1997 have turned into almost DKK 6,000 twenty years later. This appears from Figure A1 that shows the cumulative value of all 91 stocks throughout our sample period. At the bottom of the list, Torm has returned an average return of -22.8% per year.