Expert Series: FTSE vs. MSCI: Vanguard's Switch And What It Means To Investors. Sponsored by:
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1 Expert Series: FTSE vs. MSCI: Vanguard's Switch And What It Means To Investors Sponsored by:
2 Speakers: Matt Hougan President of ETF Analytics, Global Head of Editorial IndexUniverse Joel Dickson Senior ETF Strategist Vanguard Investment Strategy Group Jamie Perrett Director, Index Research FTSE Jonathan Horton President FTSE North America
3 FTSE: The Choice of Global Institutions FTSE is one of the two leading international index providers both globally and for institutional investors in the US $3 trillion in assets across all asset classes Every major global financial institution, including those US based, uses FTSE: More than 100 of the world s largest plan sponsors 25 of the top 25 assets managers (and more than 90 of top 100) 10 of the world s top 10 investment banks Well-known American academics like Stanford s Bill Sharpe, NYU s Martin Gruber and Edward Altman, MIT s Steve Ross and Richard Roll of UCLA are on our advisory board The US accounts for more than 30% of FTSE revenues and our business here is growing by almost 20% annually
4 Constructing and Calculating Indices Worldwide for 20 Years Investors and markets worldwide rely on FTSE indices Every day FTSE calculates: 150,000 unique indices (1 million, including currency, price and total return variations) 1,200 real-time indices with 20,000 constituents, 140 on streaming tick-by-tick basis More than 72,000 products benchmarked to FTSE indices Exchanges in the UK, South Africa, Italy, Singapore, Malaysia and Taiwan use FTSE to calculate their domestic benchmarks FTSE indices are used extensively world-wide for: benchmarking portfolios performance measurement investment analysis asset allocation index tracking funds structured products
5 Partnering with Equity ETF Issuers: Sept 2012 Client ETF Ticker Index name ($mm) Vanguard Vanguard FTSE All-World Ex-US VEU FTSE All-World ex US 7,220 BlackRock ishares FTSE A50 China 2823 FTSE China A50 6,186 BlackRock ishares FTSE 100 (IE) ISF FTSE 100 5,624 BlackRock ishares FTSE China 25 FXI FTSE China 25 4,706 Vanguard Vanguard High Dividend Yield VYM FTSE High Dividend Yield 3,406 Polaris Intl Securities Polaris Taiwan Top 50 Tracker 0050 FTSE TSEC Taiwan 50 3,163 BlackRock ishares FTSE EPRA/NAREIT Developed Markets Property Yield IDWP FTSE EPRA/NAREIT Developed Dividend+ 1,725 Invesco PowerShares PowerShares FTSE RAFI US 1000 PRF FTSE RAFI US 1000 Index 1,443 BlackRock ishares FTSE EPRA/NAREIT Developed Real Estate ex-us IFGL FTSE EPRA/NAREIT Developed Real Estate ex-us 1,293 Vanguard Vanguard Total World Stock VT FTSE Global All 1,213 Vanguard Vanguard FTSE All World ex-us Small- VSS FTSE Global Small ex-us 1,004 Satrix Satrix 40 STX40 FTSE/JSE Top BlackRock ishares FTSE NAREIT Mortgage Plus ped REM FTSE NAREIT All Mortgage ped 886 BlackRock ishares FTSE BRIC 50 BRIC FTSE BRIC Charles Schwab Schwab International Equity SCHF FTSE Developed ex-u.s. 833 As of September 30, Source: Bloomberg
6 The FTSE Approach Institutions insist on high quality, transparent and reliable benchmarks from their index benchmark providers. The differences that do exist reflect policy choices: Governance vs. Consultation: Transparent rules set by industry practitioners Country Classification: Driven by rules and practitioners Free Float: The international index pioneer Flexibility: Adapting to the changing investment landscape Innovation & Partnerships: Integrating the best new thinking into index methodology
7 Effective Governance FTSE s indices are governed by a family of independent committees made up of leading investment market professionals from around the world. FTSE Policy Group FTSE Regional Equity Committees FTSE Nationality Committee FTSE Country Classification Committee FTSE Bond Indices Committee FTSE ICB Advisory Committee FTSE EMEA Regional Committee FTSE Americas Regional Committee FTSE Asia Pacific Regional Committee The committees seek to ensure that the indices are managed and calculated according to transparent index rules The committees seek to ensure that the indices continue to meet market needs, and advise on the design and creation of new indices
8 A Transparent, Evidence-Driven Approach to Country Classification FTSE places great importance on applying a transparent, objective and consistent approach We engage with regulatory authorities, stock exchanges and international investors This is governed by the FTSE Country Classification Committee Developed, Emerging and Frontier market status is determined by a set of factors relating to: Economic Status/Relative economic wealth as measure by GNI 21 Quality of Market Criteria Country Size Entry Requirements The Quality of Market Criteria are categorized under these four broad headings: 7 Market & Regulatory Environment criteria 6 Custody & Settlement criteria 7 Dealing Landscape criteria 1 Derivatives Market criterion Country FTSE Promoted MSCI Promoted Russell Promoted S&P Promoted Israel Developed Sept 2008 Developed May 2010 Developed July 2001 Developed Sept 2010 South Korea Developed Sept 2009 Emerging under review Emerging under review Developed July 2001 United Arab Emirates Emerging Sept 2010 Frontier under review Emerging July 2008 Frontier under review Iceland Developed Demoted June 2012 Developed Demoted Dec 2010
9 The FTSE Global Equity Index Series Launched in 2003 using seamless/non-overlapping building block approach. The existing FTSE World Index, which dates from early 1986, became a subset of GEIS Aims to capture 98 per cent of the investable opportunity set in 47 countries (currently over 7,250 constituents) Review We review countries within regions with the exception of Japan - this is aligned with how most institutional investors run mandates North America Emerging Europe Middle East & Africa Latin America Developed Europe Japan Asia Pacific ex Japan
10 Our Review Process We screen for: Size We apply size rules across regions on a cumulative and relative basis for consistency and size integrity These form the building blocks of all of FTSE s global indexes Developed Adv Emerging Secondary Emerging FTSE Global All Large Mid FTSE All-World Small FTSE Global Equity Index Series Based on 7 regions Developed Adv Emerging Secondary Emerging Large Mid Small FTSE Global Small Developed Adv Emerging Secondary Emerging Large Mid Small
11 Our Review Process Free float Companies are screened for free float Companies are weighted in our indices on a banded free float basis. In March 2013, we will move to an actual free float basis Liquidity We apply a median liquidity screen over a 12-month time horizon FTSE does not differentiate between developed or emerging markets (i.e. companies are either sufficiently liquid or not) Nationality screens The FTSE Nationality Committee assigns companies to a single country FTSE assigns a country classification to all companies and does not exclude them from its indices unless they fail other eligibility criteria
12 Indexes continue to evolve as markets and investor preferences change FTSE was at the forefront to: Expand global equity universe to include seamless coverage of Emerging Markets and Small Develop a transparent, predictable, and codified country classification system Implement free float Calculate and disseminate indices on a streaming or intra-second basis Calculation of the first ever 24/5 institutional FX benchmark in the world
13 FTSE Emerging Transition Index FTSE Emerging Index P Chips Actual Free Float Korea FTSE Emerging Transition Index FTSE created the Emerging Transition Index to provide Vanguard with the ability to manage the transition gradually over time Differs from FTSE s existing Emerging Index in that it contains both P Chips and Korean companies and is based on actual free float P Chips and actual free float will be added/applied to the FTSE Emerging Index in March 2013 The FTSE transition index will reduce the weight of Korea over a 25-week time horizon At the end, the FTSE Transition Index will be aligned with the official FTSE Emerging Index
14 APPENDIX
15 Country Classification FTSE s 4-tiered structure in classifying countries provides additional information to managers investing in emerging markets As of September 30, 2012.
16 FTSE s Country Classification Criteria As of September 30, 2012.
17 Contact details Name: Jonathan Horton Title: President, FTSE North America Tel no: +1 (212) Name: Jamie Perrett Title: Director, Index Research Tel no: +44 (0) FTSE Disclaimer None of the information in this webinar or presentation constitute an offer to buy or sell, or promote a security of ETF. This webinar and presentation is solely for informational purposes. Indices are unmanaged and cannot be invested in directly. Nothing contained in this material is intended to constitute legal, tax, securities or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited ( FTSE ) under licence. All rights in and to the indices vest in FTSE. The Industry Classification Benchmark ( ICB ) is owned by FTSE. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by FTSE or its licensors for any errors or for any loss from use of this publication. Neither FTSE nor any of its licensors makes any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the name of the Index set out above or the fitness or suitability of the Index for any particular purpose to which it might be put. All figures and graphical representations in this publication refer to past performance and are sourced by FTSE. Past performance is not a reliable indicator or future results. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of FTSE. Distribution of FTSE data and the use of FTSE Indices to create financial products requires a licence with FTSE and/or its licensors. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
18 Speakers: Matt Hougan President of ETF Analytics, Global Head of Editorial IndexUniverse Joel Dickson Principal Vanguard Investment Strategy Group Jamie Perrett Director, Index Research FTSE Jonathan Horton President FTSE North America
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