FTSE Russell Factsheet
FTSE Developed Asia Pacific Qual/Vol/Yield
Factor Indexes
Data as at: 31 May 2017
FEATURES
Coverage
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The FTSE Global Factor Index Series is a new suite of benchmarks designed to represent the
performance of specific individual factor characteristics and combinations of these factors. The
factors represent common factor characteristics for which there is a broad academic and
Derived from the FTSE Developed Asia
Pacific index, which represents large and
practitioner consensus, supported by a body of empirical evidence across different geographies
mid cap companies in Developed Asia Pacific
and time periods.
countries.
10-Year Qual/Vol/Yield Performance relative to FTSE Developed Asia Pacific - Total
Objective
Return
The FTSE Global Factor Index Series uses a
Relative to FTSE Developed Asia Pacific (USD)
common methodology to achieve controlled
130
exposure to target factor(s), whilst
120
considering levels of diversification and
110
capacity.
100
Liquidity
Stocks in the universe index are screened to
90
ensure that the index is tradable.
80
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Data as at month end
Transparency
Index methodologies are freely available on
FTSE Developed Asia Pacific Qual/Vol/Yield Factor
FTSE Developed Asia Pacific Qual/Vol/Yield 5% Capped Factor
FTSE Developed Asia Pacific Qual / Vol / Yield 5% Capped 100% Hedged to USD Factor
10-Year Single Factors Performance relative to FTSE Developed Asia Pacific - Total
Return
the FTSE Russell website.
Availability
The index is calculated based on price and
total return methodologies and available
Relative to FTSE Developed Asia Pacific (USD)
130
end-of-day and in some cases real-time
(please see index rules for details). Net TRI
125
indexes are also available.
120
115
Industry Classification Benchmark
110
(ICB)
105
Index constituents are categorized in
100
accordance with the Industry Classification
95
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Benchmark (ICB), the global standard for
industry sector analysis.
Data as at month end
FTSE Developed Asia Pacific Quality Factor
FTSE Developed Asia Pacific Size Factor
FTSE Developed Asia Pacific Volatility Factor
FTSE Developed Asia Pacific Yield Factor
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.
1 of 5
Data as at: 31 May 2017
FTSE Developed Asia Pacific Qual/Vol/Yield Factor Indexes
10-Year Single Factors Performance relative to FTSE Developed Asia Pacific - Total
INFORMATION
Return
Index Universe
Relative to FTSE Developed Asia Pacific (USD)
130
FTSE Developed Asia Pacific Index
125
Index Launch
120
115
July and August 2015
110
Base Date
105
20 September 2013
100
Base Value
95
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Data as at month end
FTSE Developed Asia Pacific Momentum Factor
Investability Screen
FTSE Developed Asia Pacific Illiquidity Factor
Actual free float and liquidity screen applied
FTSE Developed Asia Pacific Value Factor
to underlying
Performance and Volatility - Total Return
Index (USD)
1000
Return %
Return pa %*
Index Calculation
Volatility %**
3M
6M
YTD
12M
3YR
5YR
3YR
5YR
1YR
3YR
5YR
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor
4.4
12.2
11.9
18.7
21.0
62.4
6.6
10.2
10.9
13.3
11.6
FTSE Developed Asia Pacific
Qual/Vol/Yield 5% Capped Factor
4.4
12.2
11.9
18.5
21.7
64.0
6.8
10.4
10.8
13.3
11.5
FTSE Developed Asia Pacific Qual / Vol
/ Yield 5% Capped 100% Hedged to
USD Factor
4.8
10.2
7.9
17.1
33.3
95.7
10.1
14.4
10.4
12.7
9.3
FTSE Developed Asia Pacific Quality
Factor
7.4
15.7
15.3
22.0
25.0
65.2
7.7
10.6
12.0
13.5
11.4
FTSE Developed Asia Pacific Size
Factor
5.3
14.8
13.1
20.2
31.3
81.3
9.5
12.6
12.9
13.6
11.3
FTSE Developed Asia Pacific Volatility
Factor
4.5
12.5
12.0
16.8
17.6
62.3
5.5
10.2
11.5
13.8
12.0
FTSE Developed Asia Pacific Yield
Factor
1.1
8.9
8.0
19.3
13.3
56.3
4.2
9.3
12.8
15.0
13.0
FTSE Developed Asia Pacific
Momentum Factor
4.6
12.7
12.4
16.1
17.2
58.3
5.4
9.6
12.1
13.9
11.9
FTSE Developed Asia Pacific Illiquidity
Factor
5.9
14.9
13.9
19.8
27.7
74.9
8.5
11.8
12.0
13.1
11.1
FTSE Developed Asia Pacific Value
Factor
3.2
11.9
10.2
24.8
17.4
60.4
5.5
9.9
14.7
15.5
12.6
FTSE Developed Asia Pacific
4.7
12.5
11.9
19.3
16.7
58.6
5.3
9.7
12.9
14.3
11.9
Indices calculated end-of-day
End-of-Day Distribution
Via FTP and email
Currency
USD, EUR, GBP, JPY, AUD, Local
Review Dates
Annually in September. Additional review in
March for Momentum Factor indices.
History
Available from September 2001
* 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 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.
2 of 5
Data as at: 31 May 2017
FTSE Developed Asia Pacific Qual/Vol/Yield Factor Indexes
Year-on-Year Performance - Total Return
Index % (USD)
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor
25.1
-33.5
25.8
17.5
-9.8
14.3
7.7
3.0
2.8
9.4
FTSE Developed Asia Pacific
Qual/Vol/Yield 5% Capped Factor
25.2
-33.1
24.8
17.6
-9.5
14.3
8.4
3.7
2.8
9.3
FTSE Developed Asia Pacific
Qual / Vol / Yield 5% Capped
100% Hedged to USD Factor
20.5
-35.8
18.3
4.4
-12.5
16.8
21.3
11.7
6.3
8.2
FTSE Developed Asia Pacific
Quality Factor
19.1
-36.7
29.7
19.4
-13.6
12.9
10.0
1.3
2.5
8.9
FTSE Developed Asia Pacific
Size Factor
9.2
-32.6
28.9
21.0
-12.0
12.6
18.2
1.0
9.4
7.2
FTSE Developed Asia Pacific
Volatility Factor
11.8
-32.4
25.3
15.3
-6.8
17.1
12.3
1.3
4.3
4.0
FTSE Developed Asia Pacific
Yield Factor
21.3
-38.3
36.3
17.5
-13.0
17.5
11.9
-1.3
1.2
8.7
FTSE Developed Asia Pacific
Momentum Factor
13.0
-37.7
23.3
17.5
-12.3
19.1
17.7
-4.8
5.3
1.4
FTSE Developed Asia Pacific
Illiquidity Factor
12.6
-33.9
30.1
20.1
-10.4
14.9
14.9
1.3
6.8
6.4
FTSE Developed Asia Pacific
Value Factor
10.4
-33.5
23.7
17.9
-11.3
15.0
16.6
-2.5
1.6
9.3
FTSE Developed Asia Pacific
8.4
-37.3
27.6
17.6
-13.2
16.3
15.7
-3.2
2.8
5.2
Return/Risk Ratio and Drawdown - Total Return
Index (USD)
Return/Risk Ratio
Drawdown (%)
1YR
3YR
5YR
10YR
1YR
3YR
5YR
10YR
FTSE Developed Asia Pacific Qual/Vol/Yield
Factor
1.6
0.5
0.9
0.3
-7.1
-19.4
-19.4
-49.9
FTSE Developed Asia Pacific Qual/Vol/Yield
5% Capped Factor
1.7
0.5
0.9
0.3
-7.1
-19.4
-19.4
-49.6
FTSE Developed Asia Pacific Qual / Vol /
Yield 5% Capped 100% Hedged to USD
Factor
1.6
0.8
1.5
0.3
-6.6
-17.1
-17.1
-47.8
FTSE Developed Asia Pacific Quality Factor
1.8
0.6
0.9
0.2
-6.9
-20.6
-20.6
-53.4
FTSE Developed Asia Pacific Size Factor
1.5
0.7
1.1
0.3
-6.5
-19.1
-19.1
-51.0
FTSE Developed Asia Pacific Volatility Factor
1.4
0.4
0.8
0.3
-6.3
-21.1
-21.1
-50.0
FTSE Developed Asia Pacific Yield Factor
1.4
0.3
0.7
0.2
-5.9
-25.0
-25.0
-55.4
FTSE Developed Asia Pacific Momentum
Factor
1.3
0.4
0.8
0.2
-6.2
-22.2
-22.2
-55.8
FTSE Developed Asia Pacific Illiquidity Factor
1.6
0.6
1.1
0.3
-6.3
-19.5
-19.5
-51.1
FTSE Developed Asia Pacific Value Factor
1.6
0.3
0.8
0.2
-7.0
-26.6
-26.6
-51.7
FTSE Developed Asia Pacific
1.4
0.4
0.8
0.2
-6.1
-24.3
-24.3
-55.3
Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table
Drawdown - based on daily data
Top 10 Constituents - Qual/Vol/Yield
Constituent
Country ICB Industry
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor (Wgt %)
FTSE Developed Asia Diff %
Pacific (Wgt %)
Samsung Electronics
Korea
Consumer Goods
4.60
3.42
1.18
Toyota Motor
Japan
Consumer Goods
3.10
2.48
0.62
NTT Docomo
Japan
Telecommunications
2.49
0.54
1.95
Japan Tobacco
Japan
Consumer Goods
2.45
0.76
1.69
Wesfarmers
Australia
Consumer Services
2.40
0.61
1.79
Link Real Estate
Investment Trust
Hong
Kong
Financials
2.30
0.30
2.00
BHP Billiton Ltd
Australia
Basic Materials
1.90
0.97
0.94
Fanuc
Japan
Industrials
1.77
0.65
1.12
Canon
Japan
Technology
1.66
0.61
1.05
Woolworths
Australia
Consumer Services
1.63
0.42
1.21
24.30
10.76
Totals
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.
3 of 5
Data as at: 31 May 2017
FTSE Developed Asia Pacific Qual/Vol/Yield Factor Indexes
ICB Industry Breakdown - Qual/Vol/Yield
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor
ICB Code
ICB Industry
0001
Oil & Gas
1000
Basic Materials
2000
Industrials
3000
4000
FTSE Developed Asia Pacific
No. of Cons
Wgt %
No. of Cons
Wgt %
Diff %
5
2.58
21
1.74
0.84
18
7.13
68
6.71
0.42
64
16.64
183
17.49
-0.86
Consumer Goods
41
19.77
150
21.84
-2.07
Health Care
17
5.57
48
5.59
-0.02
5000
Consumer Services
48
12.03
130
9.69
2.34
6000
Telecommunications
11
6.51
17
3.77
2.75
7000
Utilities
15
6.22
27
2.85
3.37
8000
Financials
44
20.17
165
25.84
-5.67
9000
Technology
12
3.37
44
4.47
-1.09
275
100.00
853
100.00
Totals
Country Breakdown - Qual/Vol/Yield
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor
FTSE Developed Asia Pacific
Country
No. of Cons
Wgt %
No. of Cons
Wgt %
Australia
59
24.65
94
16.63
8.02
Hong Kong
41
13.95
91
9.00
4.95
Japan
123
42.90
493
58.25
-15.35
Korea
17
9.66
126
12.42
-2.76
New Zealand
12
2.13
14
0.58
1.56
3.59
Singapore
Totals
23
6.70
35
3.12
275
100.00
853
100.00
Diff %
Index Characteristics - FTSE Developed Asia Pacific Qual/Vol/Yield
Attributes
FTSE Developed Asia Pacific
Qual/Vol/Yield Factor
FTSE Developed Asia Pacific
Qual/Vol/Yield 5% Capped Factor
Number of constituents
275
275
Dividend Yield %
3.11
3.11
Average
0.36
0.36
Largest
4.60
4.60
Constituent (Wgt %)
Median
Top 10 Holdings (Wgt %)
0.17
0.17
24.30
24.30
Index Characteristics - FTSE Developed Asia Pacific Single Factors
Attributes
FTSE Developed
Asia Pacific
Quality Factor
FTSE Developed
Asia Pacific Size
Factor
FTSE Developed FTSE Developed
Asia Pacific Asia Pacific Yield
Volatility Factor
Factor
Number of constituents
561
554
343
363
Dividend Yield %
2.15
2.03
2.87
3.49
Constituent (Wgt %)
Average
0.18
0.18
0.29
0.28
Largest
7.75
0.42
5.64
5.06
0.07
0.18
0.14
0.12
20.32
3.98
24.68
22.95
Median
Top 10 Holdings (Wgt %)
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.
4 of 5
Data as at: 31 May 2017
FTSE Developed Asia Pacific Qual/Vol/Yield Factor Indexes
Index Characteristics - FTSE Developed Asia Pacific Single Factors (cont.)
Attributes
FTSE Developed
Asia Pacific
Momentum Factor
FTSE Developed FTSE Developed
Asia Pacific Asia Pacific Value
Illiquidity Factor
Factor
FTSE Developed
Asia Pacific
Number of constituents
787
586
650
853
Dividend Yield %
2.35
2.13
2.65
2.44
Average
0.13
0.17
0.15
0.12
Largest
5.77
1.87
5.44
3.42
Median
0.05
0.15
0.05
0.05
20.08
6.96
25.82
15.97
Constituent (Wgt %)
Top 10 Holdings (Wgt %)
31 May 2017
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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
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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
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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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