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. of Cons Wgt % No. of Cons Wgt % Diff %
Austria 5 0.53 7 0.34 0.19
Belgium 6 0.72 15 1.52 -0.80
Denmark 6 4.34 20 3.96 0.38
Finland 5 1.16 16 2.20 -1.04
France 27 13.52 82 16.47 -2.95
Germany 28 15.72 81 14.21 1.51
Ireland 2 0.11 4 0.39 -0.28
Italy 13 3.67 34 3.84 -0.16
Netherlands 15 5.42 28 7.67 -2.25 Norway 5 1.23 17 1.07 0.16
Poland 4 0.46 12 0.49 -0.03
Portugal 2 0.40 4 0.28 0.13
Spain 8 4.42 25 3.68 0.74
Sweden 19 4.92 58 5.80 -0.88
Switzerland 20 21.28 52 14.90 6.38
UK 37 22.08 120 23.18 -1.11
Totals 202 100.00 575 100.00
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 3 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
Country Breakdown
FTSE Developed Europe ex UK FTSE Developed Europe ex UK Sustainable Yield
Country No. of Cons Wgt % No. of Cons Wgt % Diff %
Austria 5 0.71 7 0.44 0.26
Belgium 6 0.96 15 1.97 -1.01
Denmark 6 5.77 20 5.16 0.61
Finland 5 1.55 16 2.86 -1.31
France 27 17.98 82 21.43 -3.46
Germany 28 20.91 81 18.50 2.41
Ireland 2 0.15 4 0.51 -0.36
Italy 13 4.89 34 5.00 -0.11
Netherlands 15 7.21 28 9.99 -2.78
Norway 5 1.64 17 1.40 0.24
Poland 4 0.61 12 0.64 -0.03
Portugal 2 0.53 4 0.36 0.18
Spain 8 5.88 25 4.80 1.09
Sweden 19 6.55 58 7.55 -1.00
Switzerland 20 24.67 52 19.39 5.28
Totals 165 100.00 455 100.00
ICB Industry Breakdown
FTSE Developed FTSE Developed FTSE Developed FTSE Developed Europe Europe Europe ex UK Europe ex UK Sustainable Sustainable Yield Yield
ICB Industry No. of Wgt % No. of Wgt % Diff % No. of Wgt % No. of Wgt % Diff % Cons Cons Cons Cons
Technology - - 29 8.06 -8.06 - - 24 9.97 -9.97
Telecommunications 13 3.40 25 3.29 0.12 12 4.00 23 3.53 0.47
Health Care 7 16.54 52 14.80 1.74 7 20.29 47 15.84 4.44
Financials 54 22.97 103 15.76 7.21 46 24.78 80 15.35 9.44
Real Estate 10 1.93 25 1.87 0.06 8 2.21 20 1.90 0.32
Consumer Discretionary 22 6.96 86 12.97 -6.01 15 7.52 59 13.34 -5.82
Consumer Staples 19 13.14 46 11.17 1.98 15 10.80 33 9.08 1.72
Industrials 31 11.61 115 16.80 -5.19 27 13.99 94 18.05 -4.06
Basic Materials 15 7.05 41 6.50 0.56 11 2.93 31 5.17 -2.24
Energy 12 8.63 23 4.71 3.92 9 5.44 20 3.53 1.91
Utilities 19 7.76 30 4.09 3.67 15 8.05 24 4.24 3.81
Totals 202 100.00 575 100.00 165 100.00 455 100.00
ICB Industry Breakdown
FTSE UK Sustainable Yield FTSE 350 ex Inv Tr
ICB Code ICB Industry No. of Cons Wgt % No. of Cons Wgt % Diff %
10 Technology 1 0.19 16 2.17 -1.98
15 Telecommunications 3 2.31 6 2.38 -0.08
20 Health Care 1 5.56 13 10.66 -5.11
30 Financials 22 21.32 47 16.82 4.49
35 Real Estate 9 3.05 25 3.16 -0.11
40 Consumer Discretionary 9 7.31 62 13.15 -5.84
45 Consumer Staples 5 14.06 20 16.27 -2.22
50 Industrials 7 6.33 57 14.09 -7.76
55 Basic Materials 8 21.33 20 10.16 11.16
60 Energy 3 8.80 9 7.84 0.96
65 Utilities 7 9.75 9 3.28 6.47
Totals 75 100.00 284 100.00
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 4 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
Index Characteristics
Attributes FTSE Developed FTSE Developed FTSE Developed FTSE Developed Europe Europe Europe ex UK Europe ex UK Sustainable Yield Sustainable Yield
Number of constituents 202 575 165 455
Net MCap (USDm) 5,173,796 11,734,374 3,890,696 9,014,042
Dividend Yield % 3.32 2.30 3.12 2.01
Constituent Sizes (Net MCap USDm)
Average 25,613 20,408 23,580 19,811
Largest 291,378 355,850 216,940 355,850
Smallest 1,213 271 1,213 271
Median 11,096 9,174 10,996 9,058
Weight of Largest Constituent (%) 5.63 3.03 5.58 3.95
Top 10 Holdings (% Index MCap) 31.33 18.09 35.28 22.42
Index Characteristics
Attributes FTSE UK Sustainable Yield FTSE 350 ex Inv Tr
Number of constituents 75 284
Net MCap (USDm) 977,443 3,085,768
Dividend Yield % 4.30 3.08
Constituent Sizes (Net MCap USDm)
Average 13,033 10,865
Largest 54,302 181,165
Smallest 461 239
Median 5,973 3,205
Weight of Largest Constituent (%) 5.56 5.87
Top 10 Holdings (% Index MCap) 48.78 33.88
31 August 2021
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Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 5 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
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Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 6 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.