FTSE Russell Factsheet
FTSE Developed Europe Diversified Factor
Indexes
Data as at: 31 May 2017
FEATURES
Objective
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The FTSE Developed Europe Diversified Factor Index is comprised of large and mid cap equity
securities selected from the FTSE Developed Europe Index, and use a rules-based risk allocation
and multi-factor selection process developed in conjunction with J.P. Morgan Asset Management.
The indexes are designed for the creation of
index tracking funds, derivatives and as a
The index is designed to reflect the performance of stocks representing a diversified set of
performance benchmark.
characteristics. Constituents are selected using investment characteristics including attractive
Investability
relative valuation, positive price momentum and strong quality metrics, and seeks to equally
diversify risk across regions and industries. Where hedged 100% to USD, the calculation reduces
the foreign currency risk from a USD perspective from the index. Where hedged 100% to USD,
A transparent and replicable portfolio
construction strategy.
the calculation removed foreign currency risk from a USD perspective from the index.
Liquidity
10-Year Performance
Stocks in the underlying universe are
screened to ensure that the index is
(USD)
tradable.
200
Transparency
150
The index uses a transparent, rules-based
100
construction process. Index Rules are freely
available on the FTSE Russell website.
50
Availability
0
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
The index is calculated based on price and
Data as at month end
total return methodologies, both real time
FTSE Developed Europe Diversified Factor
FTSE Developed Europe Diversified Factor Net Tax
FTSE Dev. Eur. Diversified Factor 100% Hedged to USD
FTSE Developed Europe
and end of day. Net Total Return and
hedged indexes are also calculated.
Industry Classification Benchmark
Performance and Volatility - Total Return
Index (USD)
Return %
Return pa %*
Index constituents are categorized in
Volatility %**
3M
6M
YTD
12M
3YR
5YR
3YR
5YR
1YR
3YR
5YR
FTSE Developed Europe Diversified
Factor
15.0
24.3
18.7
15.6
7.2
78.4
2.3
12.3
16.6
16.0
12.5
FTSE Developed Europe Diversified
Factor Net Tax
14.5
23.7
18.2
14.8
5.1
72.5
1.7
11.5
16.6
16.0
12.4
FTSE Dev. Eur. Diversified Factor 100%
Hedged to USD
10.3
19.1
13.1
20.4
33.7
103.9
10.2
15.3
11.6
15.0
9.8
FTSE Developed Europe
13.5
23.4
17.2
17.5
2.5
72.8
0.8
11.6
17.7
17.3
13.2
accordance with the Industry Classification
Benchmark (ICB), the global standard for
industry sector analysis.
* 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)
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
FTSE Developed Europe
Diversified Factor
13.4
-40.3
38.1
9.9
-5.3
19.2
26.1
-2.6
0.4
-0.7
FTSE Developed Europe
Diversified Factor Net Tax
12.8
-40.7
37.0
9.2
-6.0
18.3
25.2
-3.3
-0.3
-1.4
6.1
-32.0
29.9
14.7
-3.2
16.1
22.7
9.4
8.4
7.6
14.9
-45.9
37.3
4.4
-11.2
20.2
26.2
-5.6
-1.9
0.1
FTSE Dev. Eur. Diversified Factor
100% Hedged to USD
FTSE Developed Europe
Source: FTSE Russell as at 31 May 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 May 2017
FTSE Developed Europe Diversified Factor Indexes
INFORMATION
Return/Risk Ratio and Drawdown - Total Return
Index (USD)
Return/Risk Ratio
Drawdown (%)
Index Universe
1YR
3YR
5YR
10YR
1YR
3YR
5YR
10YR
FTSE Developed Europe Diversified Factor
0.9
0.2
1.0
0.2
-12.4
-20.1
-20.1
-56.2
FTSE Developed Europe Diversified Factor
Net Tax
0.9
0.1
0.9
0.2
-12.4
-20.7
-20.7
-56.6
FTSE Dev. Eur. Diversified Factor 100%
Hedged to USD
1.7
0.7
1.6
0.5
-7.5
-18.3
-18.3
-46.3
(Hedged)
FTSE Developed Europe
1.0
0.1
0.9
0.1
-13.5
-25.1
-25.1
-62.7
Base Date
FTSE All World Index Series
Index Launch
9 November 2015 and 13 November 2015
18 April 2014
Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table
Drawdown - based on daily data
Base Value
Top 10 Constituents
1000
Constituent
Country
ICB Industry
FTSE Developed Europe Diversified FTSE Developed Europe Diff %
Factor (Wgt %)
(Wgt %)
SAP
Germany
Technology
2.55
1.06
1.48
Available from March 2001 (September 2003
History
Iberdrola
Spain
Utilities
2.18
0.50
1.68
for Hedged)
Vodafone Group
UK
Telecommunications
2.00
0.88
1.12
Index Calculation
Novartis (REGD)
Switzerland Health Care
1.92
2.15
-0.23
Real-time and end-of-day (Hedged Indexes
GlaxoSmithKline
UK
Health Care
1.81
1.20
0.61
end-of-day only)
Roche Hldgs
(GENUS)
Switzerland Health Care
1.66
2.14
-0.48
End-of-Day Distribution
Via FTP and email
Swisscom
Switzerland Telecommunications
1.53
0.12
1.41
Infineon Technology
Germany
Technology
1.48
0.28
1.20
British American
Tobacco
UK
Consumer Goods
1.43
1.48
-0.05
USD, EUR, GBP, JPY
Cap Gemini
France
Technology
1.39
0.18
1.21
Review Dates
17.95
9.99
Totals
Currency
Quarterly
ICB Industry Breakdown
FTSE Developed Europe
Diversified Factor
FTSE Developed Europe
No. of Cons
Wgt %
No. of Cons
Wgt %
Diff %
13
7.33
18
6.66
0.67
ICB Code
ICB Industry
0001
Oil & Gas
1000
Basic Materials
29
8.94
44
7.57
1.37
2000
Industrials
58
10.69
110
13.84
-3.15
3000
Consumer Goods
32
11.92
75
19.14
-7.22
4000
Health Care
19
11.84
39
12.71
-0.87
5000
Consumer Services
41
10.90
65
6.74
4.16
6000
Telecommunications
13
9.60
21
4.02
5.58
7000
Utilities
16
10.20
28
3.86
6.34
8000
Financials
56
8.33
123
21.82
-13.49
9000
Technology
6.61
Totals
12
10.26
17
3.65
289
100.00
540
100.00
Source: FTSE Russell as at 31 May 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 May 2017
FTSE Developed Europe Diversified Factor Indexes
Country Breakdown
FTSE Developed Europe Diversified
Factor
Country
No. of Cons
Wgt %
FTSE Developed Europe
No. of Cons
Wgt %
Diff %
Austria
3
1.13
7
0.37
0.76
Belgium
6
1.81
13
1.93
-0.12
Denmark
9
2.76
19
2.71
0.05
Finland
11
4.41
14
1.70
2.71
France
47
13.79
84
15.59
-1.80
Germany
37
14.38
71
14.89
-0.51
Ireland
1
0.19
5
0.37
-0.17
Italy
8
2.40
35
3.70
-1.30
Netherlands
15
4.84
25
5.12
-0.28
Norway
9
2.52
11
0.92
1.60
Portugal
3
1.10
4
0.25
0.85
Spain
20
8.35
31
5.37
2.98
Sweden
20
5.38
38
4.54
0.84
Switzerland
31
11.72
48
13.77
-2.05
-3.55
UK
Totals
69
25.22
135
28.78
289
100.00
540
100.00
Index Characteristics
Attributes
FTSE Developed Europe Diversified
Factor
Number of constituents
FTSE Developed Europe
289
540
6,433,940
9,020,105
3.25
3.19
Average
22,263
16,704
Largest
163,827
263,481
Net MCap (USDm)
Dividend Yield %
Constituent Sizes (Net MCap USDm)
Smallest
Median
309
245
14,273
7,570
Weight of Largest Constituent (%)
2.55
2.92
Top 10 Holdings (% Index MCap)
17.93
16.97
31 May 2017
Data definitions available from
[email protected]
To learn more, visit www.ftserussell.com;
email [email protected]; 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 3581 2764
Sydney +61 (0) 2 8823 3521
Source: FTSE Russell as at 31 May 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 May 2017
FTSE Developed Europe Diversified Factor Indexes
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whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Diversified Factor Indexes or the fitness or suitability of
the FTSE Diversified Factor Indexes 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
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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.
Source: FTSE Russell as at 31 May 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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