FTSE European Sustainable Yield Indexes
Total Page:16
File Type:pdf, Size:1020Kb
FTSE Russell Factsheet FTSE European Sustainable Yield Indexes Data as at: 31 August 2021 bmkTitle1 The FTSE Global Sustainable Yield Index Series has been designed to measure the performance FEATURES of an index consisting of securities exhibiting relatively high and sustainable yields. Coverage The indexes were developed to address the inclusion of stocks in some high yield indexes Global, regional and country indexes are without reference to the likelihood that a dividend will be paid. The FTSE Global Sustainable available. Yield Index Series excludes extreme yielding stocks and examines the financial and operating strength of prospective constituents with specific emphasis on companies with strong balance Objective sheets and the ability to generate cash flow. Other screening criteria include the payout ratio The indexes are designed for the creation of and incidence of historic or forecast dividend cuts as, historically, such stocks are susceptible to index tracking funds, derivatives and as a falling dividends and consequently yield disappointment. performance benchmark. Investability A series of net of tax total return indexes are also calculated. Stocks in the underlying indexes are selected 10-Year Performance - Total Return (USD) and weighted to ensure that the index is investable. 250 Liquidity 200 Stocks in the underlying indexes are 150 screened to ensure that the index is tradable. 100 Transparency 50 Index methodologies are freely available on Aug-2011 Aug-2012 Aug-2013 Aug-2014 Aug-2015 Aug-2016 Aug-2017 Aug-2018 Aug-2019 Aug-2020 Aug-2021 Data as at month end the FTSE Russell website. FTSE Developed Europe Sustainable Yield FTSE Developed Europe Availability FTSE Developed Europe ex UK Sustainable Yield FTSE Developed Europe ex UK FTSE UK Sustainable Yield FTSE 350 ex Inv Tr Price, Total Return and Net of Tax Indexes will be calculated on an end of day basis. Performance and Volatility - Total Return Industry Classification Benchmark Index (USD) Return % Return pa %* Volatility %** (ICB) 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Index constituents are categorized in FTSE Developed Europe Sustainable 0.1 12.1 15.9 30.1 22.1 45.5 6.9 7.8 16.7 23.7 17.6 Yield accordance with the Industry Classification FTSE Developed Europe 2.1 15.0 16.2 30.1 35.0 67.8 10.5 10.9 15.5 22.0 16.2 Benchmark (ICB), the global standard for FTSE Developed Europe ex UK 0.7 13.1 15.5 29.2 31.2 61.1 9.5 10.0 16.1 23.5 17.7 industry sector analysis. Sustainable Yield FTSE Developed Europe ex UK 2.9 16.3 16.7 30.8 42.6 81.5 12.5 12.7 15.3 21.8 16.4 FTSE UK Sustainable Yield -1.0 11.7 19.5 40.6 11.9 21.5 3.8 4.0 21.1 27.8 20.4 FTSE 350 ex Inv Tr 0.0 11.8 15.4 29.9 15.5 36.1 4.9 6.4 18.2 24.4 17.5 * 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 Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 1 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. FTSE European Sustainable Yield Indexes Data as at: 31 August 2021 Year-on-Year Performance - Total Return INFORMATION Index % (USD) 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Index Universe FTSE Developed Europe -5.2 17.6 27.2 -4.2 -2.7 -0.4 24.2 -15.4 21.5 -2.7 Sustainable Yield Underlying index from FTSE Global Equity FTSE Developed Europe -11.2 20.2 26.2 -5.6 -1.9 0.1 26.5 -14.5 24.6 6.6 Index Series FTSE Developed Europe ex UK -12.2 19.6 29.7 -4.8 0.2 0.8 25.3 -14.7 22.2 4.4 Sustainable Yield Index Launch FTSE Developed Europe ex UK -15.0 22.7 28.9 -5.8 0.2 0.3 28.3 -14.4 25.3 12.3 20 January 2015 FTSE UK Sustainable Yield 6.0 20.6 25.2 -1.7 -5.3 -8.1 19.6 -17.6 21.4 -12.2 Base Date FTSE 350 ex Inv Tr -3.4 16.9 23.4 -4.7 -4.4 -3.0 23.9 -14.6 23.0 -8.5 19 September 2014 Return/Risk Ratio and Drawdown - Total Return Base Value Index (USD) Return/Risk Ratio Drawdown (%) 1000 1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR Investability Screen FTSE Developed Europe Sustainable Yield 1.7 0.3 0.4 0.4 -11.9 -38.7 -40.5 -40.5 Underlying indexes are free-float adjusted FTSE Developed Europe 1.9 0.5 0.7 0.5 -9.6 -35.7 -35.7 -35.7 and liquidity screened FTSE Developed Europe ex UK Sustainable 1.7 0.4 0.6 0.5 -12.2 -36.9 -38.2 -38.2 Yield Index Calculation FTSE Developed Europe ex UK 1.9 0.6 0.8 0.6 -9.9 -34.2 -34.2 -34.2 End-of-day index available FTSE UK Sustainable Yield 1.9 0.2 0.2 0.3 -9.8 -48.6 -49.7 -51.6 End-of-Day Distribution FTSE 350 ex Inv Tr 1.6 0.2 0.4 0.3 -9.5 -43.3 -43.3 -43.3 Via FTP and email Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data Currency USD, GBP, EUR, JPY and Local 5-Year Correlation - Total Return Review Dates FTSE FTSE FTSE FTSE FTSE UK FTSE 350 ex Developed Developed Developed Developed Sustainable Inv Tr Semi-annually in March and September Europe Europe Europe ex UK Europe ex UK Yield Sustainable Sustainable History Yield Yield FTSE Developed Europe 22 September 2003 1.000 0.983 0.993 0.976 0.936 0.945 Sustainable Yield FTSE Developed Europe 1.000 0.979 0.994 0.928 0.957 FTSE Developed Europe ex 1.000 0.984 0.895 0.912 UK Sustainable Yield FTSE Developed Europe ex 1.000 0.888 0.919 UK FTSE UK Sustainable Yield 1.000 0.982 FTSE 350 ex Inv Tr 1.000 Top 10 Constituents - FTSE Developed Europe Sustainable Yield Constituent Country ICB Sector FTSE Developed Europe FTSE Developed Diff % Sustainable Yield (Wgt %) Europe (Wgt %) Nestle Switzerland Food Producers 5.63 3.03 2.60 Roche Hldgs Pharmaceuticals and Switzerland 5.38 2.37 3.01 (GENUS) Biotechnology Pharmaceuticals and Novartis (REGD) Switzerland 3.79 1.67 2.12 Biotechnology Pharmaceuticals and Novo-Nordisk B Denmark 3.11 1.37 1.74 Biotechnology Personal Care Drug and Unilever UK 2.81 1.24 1.57 Grocery Stores Siemens AG Germany General Industrials 2.41 1.06 1.35 Pharmaceuticals and Sanofi France 2.17 0.96 1.21 Biotechnology HSBC Hldgs UK Banks 2.10 0.92 1.17 TotalEnergies SE France Oil Gas and Coal 2.07 0.91 1.15 Allianz SE Germany Non-life Insurance 1.86 0.82 1.04 Totals 31.33 14.35 Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 2 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. FTSE European Sustainable Yield Indexes Data as at: 31 August 2021 Top 10 Constituents - FTSE Developed Europe ex UK Sustainable Yield Constituent Country ICB Sector FTSE Developed Europe ex UK FTSE Developed Europe Diff % Sustainable Yield (Wgt %) ex UK (Wgt %) Nestle Switzerland Food Producers 5.58 3.95 1.63 Roche Hldgs Pharmaceuticals and Switzerland 5.51 3.09 2.43 (GENUS) Biotechnology Pharmaceuticals and Novartis (REGD) Switzerland 5.04 2.17 2.86 Biotechnology Pharmaceuticals and Novo-Nordisk B Denmark 4.14 1.79 2.35 Biotechnology Siemens AG Germany General Industrials 3.21 1.39 1.82 Pharmaceuticals and Sanofi France 2.89 1.25 1.64 Biotechnology TotalEnergies SE France Oil Gas and Coal 2.75 1.19 1.56 Allianz SE Germany Non-life Insurance 2.48 1.07 1.41 Iberdrola Spain Electricity 1.88 0.81 1.07 Daimler AG Germany Automobiles and Parts 1.82 0.79 1.03 Totals 35.30 17.50 Top 10 Constituents - FTSE UK Sustainable Yield Constituent Country ICB Sector FTSE UK Sustainable Yield FTSE 350 ex Inv Tr Diff % (Wgt %) (Wgt %) Pharmaceuticals and GlaxoSmithKline UK 5.56 3.22 2.34 Biotechnology Glencore UK Industrial Metals and Mining 5.54 1.76 3.79 Personal Care Drug and Grocery Unilever UK 5.02 4.70 0.32 Stores BHP Group Plc UK Industrial Metals and Mining 4.94 2.09 2.85 British American UK Tobacco 4.93 2.78 2.15 Tobacco Anglo American UK Industrial Metals and Mining 4.86 1.68 3.17 National Grid UK Gas Water and Multi-utilities 4.70 1.49 3.21 Rio Tinto UK Industrial Metals and Mining 4.48 2.61 1.87 BP UK Oil Gas and Coal 4.40 2.63 1.76 Lloyds Banking Group UK Banks 4.36 1.38 2.98 Totals 48.79 24.34 Country Breakdown FTSE Developed Europe FTSE Developed Europe Sustainable Yield Country No.