Dow Jones Titans Indices Methodology

Transcription

1 Dow Jones Titans Indices Methodology S&P Dow Jones Indices: Index Methodology May 2016

2 Table of Contents Introduction 3 Highlights and Index Family 3 Eligibility Criteria and Index Construction 5 Dow Jones Global Titans 50 Index 5 Dow Jones Africa Titans 50 Index 6 Dow Jones Arabia Titans 50 Index 7 Dow Jones Asian Titans 50 Index 8 Dow Jones Asian Titans 50 ex-japan Index 9 Dow Jones Tiger Titans 50 Index 10 Dow Jones Country Titans 30 Indices 11 Dow Jones Brazil Titans 20 ADR Index 12 Dow Jones Cyprus Titans 10 Index 13 Dow Jones EGX Egypt Titans 20 Index 14 Dow Jones SAFE Pakistan Titans 15 Index 15 Dow Jones Turkey Titans 20 Index 16 Dow Jones U.K. Titans 50 Index and Dow Jones Kuwait Titans 50 Index 17 Dow Jones Sector Titans Indices 18 Dow Jones Emerging Markets Sector Titans Indices 20 Dow Jones Emerging Asia Consumer Titans 50 Index 22 Dow Jones Emerging Markets Consumer Titans 30 Index 23 Index Calculations 24 Approaches 24 Index Maintenance 25 Rebalancing 25 Ongoing Maintenance 26 Additions 27 Deletions 27 Corporate Actions 27 Currency of Calculation 27 Exchange Rate 27 Base Dates and History Availability 27 Investable Weight Factor (IWF) 28 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 1

3 Other Adjustments 28 Index Data 29 Total Return Indices 29 Index Governance 30 Index Committee 30 Index Policy 31 Announcements 31 Pro-forma Files 31 Holiday Schedule 31 Unscheduled Market Closures 31 Recalculation Policy 32 Real-Time Calculation 32 Index Dissemination 33 Tickers 33 FTP 33 Web site 33 Appendix I Currency of Calculation 34 Index Currencies 34 Appendix II Base Dates and History Availability 36 Appendix III - Tickers 38 Bloomberg 38 Reuters 41 Appendix IV Methodology Changes 44 S&P Dow Jones Indices Contact Information 45 Index Management 45 Product Management 45 Media Relations 45 Client Services 45 Disclaimer 46 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 2

4 Introduction The Dow Jones Titans Indices measure the performance of the largest companies within countries, sectors and regions. The flagship index of the series the Dow Jones Global Titans 50 Index includes the world's largest multinational companies. All indices in the family are constructed and maintained according to the same underlying principles, with the goal of covering the largest and most established companies in specified markets. Each of the indices contains companies selected based on size, revenue, net income and/or trading volume. Highlights and Index Family Global/Regional Indices Dow Jones Global Titans 50 Index. The Index measures the performance of the largest multinational companies. The index was created in reaction to increased market globalization, providing representation of companies headquartered in countries around the world. Fifty companies are selected for the index, based on float-adjusted market capitalization, revenue and net income. Dow Jones Africa Titans 50 Index. The Index measures the performance of the largest 15 South African companies and 35 non-south African companies that are headquartered, generate the majority of their revenues, or own the majority of their assets in Africa. Index components are selected based on combined float-adjusted market capitalization, subject to screens for size and liquidity. Dow Jones Arabia Titans 50 Index. The Index measures 50 leading companies traded on the major exchanges of Arab markets that are established and open to international investors. The index currently covers Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia and the United Arab Emirates. Index components are selected based on combined full market capitalization, revenue and net income. Dow Jones Asian Titans 50 Index. The Index measures the major markets of the Asia/Pacific region. It includes 25 Japan-listed companies and 25 companies from other major Asia/Pacific markets Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. Index components are selected based on combined float-adjusted market capitalization, revenue and net income. Dow Jones Asian Titans 50 ex-japan Index. The Index measures the major markets of the Asia/Pacific region, excluding Japan. It includes 50 companies from major Asia/Pacific markets Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. Index components are selected based on combined float-adjusted market capitalization, revenue and net income. Dow Jones FEAS Titans 50 Equal Weighted Index. The Index is an equal-weighted measure of 50 of the largest companies traded on exchanges that are members of the Federation of the Euro-Asian Stock Exchanges (FEAS). For further information about this index, please see the Dow Jones FEAS Indices methodology document. Dow Jones Tiger Titans 50 Index. The Index is the world's first blue-chip measure of companies traded in "Asian Tiger" countries. Made up of 50 companies, the index covers the most developed markets of Asia, excluding Japan currently Hong Kong, Singapore, South Korea and Taiwan. Index components are selected based on combined float-adjusted market capitalization, revenue and net income. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 3

5 Country Indices The Dow Jones Country Titans Indices represent major markets from Europe, Asia and the Americas. Companies for each index are selected based on float-adjusted market capitalization and trading volume. Component numbers vary from index to index, based on the size of the underlying market. Represented countries include: Countries Brazil Hong Kong Pakistan Sweden Cyprus Italy Saudi Arabia Switzerland Egypt Kuwait Singapore Taiwan France Malaysia South Korea Turkey Germany Netherlands Spain U.K. Sector Indices Dow Jones Sector Titans Indices. The Indices reflect the composition and performance of the 19 Supersectors defined by a proprietary classification system. Companies are chosen based on combined float-adjusted market capitalization, revenue and net income. More information on the proprietary classification system, including the complete sector definitions, can be found at Represented Supersectors include: Automobiles & Parts Banks Basic Resources Chemicals Construction & Materials Financial Services Food & Beverage Health Care Industrial Goods & Services Insurance Supersectors Media Oil & Gas Personal & Household Goods Real Estate Retail Technology Telecommunications Travel & Leisure Utilities Dow Jones Emerging Markets Sector Titans Indices. The Indices measure the performance of leading emerging-market companies in each of the 10 Industries and 2 Sectors defined by a proprietary classification system. More information on the proprietary classification system, including the complete sector definitions, can be found at Represented Industries and Sectors include: Basic Materials Consumer Goods Consumer Services Financials Healthcare Industrial Metals & Mining Industries Industrials Oil & Gas Technology Telecommunications Utilities Sectors Mining This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 4

6 Eligibility Criteria and Index Construction Global/Regional Indices Dow Jones Global Titans 50 Index Index Universe. The index universe is defined as all stocks in the Dow Jones Global Index. For Russian stocks, only developed-market listing are eligible. In addition, if a company does not generate at least 10% of its revenue from foreign markets, it is ineligible. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net profit 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net profit rank at 20%. 3. The top 50 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 30 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 70 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 5

7 Dow Jones Africa Titans 50 Index Index Universe. The index universe consists of stocks traded on recognized domestic exchanges in Africa, as well as companies trading on international exchanges that generate the majority of their revenues or own the majority of their assets in Africa. As of June 30, 2009, the local exchanges of South Africa, Egypt, Nigeria, Morocco and Kenya qualify for consideration. Selection Universe. Construction of the selection universe is as follows: 1. All current South African constituents are automatically added to the South African selection universe. All remaining constituents are added to the ex-south Africa selection universe 2. Non-South African stocks in the index universe, defined above, must have a minimum floatadjusted market capitalization of US$ 200 million and a minimum one-year average daily trading volume of US$ 1 million (US$ 500 thousand for current constituents). Stocks failing to meet these requirements are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the ex-south Africa selection universe until it reaches 70 companies. Index membership eligibility for a company with multiple share class lines is based on the total float-adjusted market capitalization of the eligible lines of the company. 3. South African stocks in the index universe, defined above, must have a minimum float-adjusted market capitalization of US$ 200 million and a minimum one-year average daily trading volume of US$ 1 million (US$ 500 thousand for current constituents). Stocks failing to meet these requirements are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the South Africa selection universe until it reaches 30 companies. Index membership eligibility for a company with multiple share class lines is based on the total float-adjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. The largest 15 South African companies and the largest 35 non-south African companies from the selection universe are added to the index. A maximum of 15 companies are selected per country. 2. During subsequent annual reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: If any South African non-constituent is among the top 12 companies, it replaces the lowest-ranked index constituent. If any South African constituent is not among the top 18 companies, it will be replaced by the highest-ranked non-constituent. If any non-south African non-constituent is among the top 30 companies, it replaces the lowest-ranked index constituent. If any non-south African constituent is not among the top 40 companies, it will be replaced by the highest-ranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization, with the following diversification requirements: 1. The weight of each country is capped at 25%. 2. The combined weight of each constituent company is capped at 8%; weights above 8% are reallocated within the constituent s country. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 6

8 Dow Jones Arabia Titans 50 Index Index Universe. The index universe comprises all companies domiciled in and traded on the major exchanges of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia and the United Arab Emirates. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined full market capitalization, adjusted for any foreign ownership restrictions Sales/revenue Net income 2. For each company, a final rank is calculated by weighting the adjusted capitalization rank at 60%, the sales/revenue rank at 20%, and the net income rank at 20%. 3. The top 50 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 30 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 70 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 7

9 Dow Jones Asian Titans 50 Index Index Universe. The index universe is defined as all stocks in the Dow Jones Asia/Pacific Index. Countries included in the Dow Jones Asia/Pacific index are Australia, China, Hong Kong, India, Indonesia, Japan, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. Only Hong Kong-listed Chinese stocks and developed-market listings from India are eligible for inclusion.. Preferred shares are ineligible. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net income 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net income rank at 20%. 3. The top 25 Japan-listed companies and the top 25 non-japan-listed companies by final rank are selected as index constituents for a total of During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: If any Japan-listed non-constituent is among the top 15 Japan-listed companies, it replaces the lowest-ranked index constituent. If any Japan-listed constituent is not among the top 35 Japan-listed companies, it will be replaced by the highest-ranked non-constituent. If any non-japan-listed non-constituent is among the top 15 non-japan-listed companies, it replaces the lowest-ranked index constituent. If any non-japan-listed constituent is not among the top 35 non-japan-listed companies, it will be replaced by the highest-ranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 8

10 Dow Jones Asian Titans 50 ex-japan Index Index Universe. The index universe is defined as all stocks in the Dow Jones Asia/Pacific ex-japan Index. Countries included in the Dow Jones Asia/Pacific ex-japan Index are Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. Only Hong Kong-listed Chinese stocks and developed-market listings from India are eligible for inclusion. Preferred shares are ineligible. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net income 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net income rank at 20%. 3. The top 50 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 40 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 60 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 9

11 Dow Jones Tiger Titans 50 Index Index Universe. The index universe comprises constituent stocks of the Dow Jones Global Index that trade in Hong Kong, Singapore, South Korea and Taiwan. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net income 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net income rank at 20%. 3. The top 50 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 40 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 60 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 10

12 Country Indices Dow Jones Country Titans 30 Indices Index Universe. The index universe is defined as all locally listed stocks in the following indices. Preferred shares are ineligible for Dow Jones Hong Kong, Malaysia, Singapore, South Korea and Taiwan Titans indices. Index Dow Jones France Titans 30 Index Dow Jones Germany Titans 30 Index Dow Jones Hong Kong Titans 30 Index Dow Jones Italy Titans 30 Index Dow Jones Malaysia Titans 30 Index Dow Jones Netherlands Titans 30 Index Dow Jones Saudi Titans 30 Index Dow Jones Singapore Titans 30 Index Dow Jones South Korea Titans 30 Index Dow Jones Spain Titans 30 Index Dow Jones Sweden Titans 30 Index Dow Jones Switzerland Titans 30 Index Dow Jones Taiwan Titans 30 Index Index Universe Dow Jones France Index Dow Jones Germany Index Dow Jones Hong Kong Index Dow Jones Italy Index Dow Jones Malaysia Index Dow Jones Netherlands Index All stocks trading on the Saudi Stock Exchange Dow Jones Singapore Index Dow Jones South Korea Index Dow Jones Spain Index Dow Jones Sweden Index Dow Jones Switzerland Index Dow Jones Taiwan Index Selection Universe. For each index, construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 60 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by combined 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Companies are selected top-down by final rank until the target constituent count of 30 is reached, subject to the following buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked 25 or higher replaces the lowest-ranked index constituent. Any constituent company ranked 35 or lower is replaced by the highest-ranked nonconstituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization (15% for the Dow Jones Saudi Titans 30 Index). Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 11

13 Dow Jones Brazil Titans 20 ADR Index Index Universe. The index universe is defined as all Depository Receipts that trade on NYSE or NASDAQ. Excluded are derivative issues and issues with less than three months of volume history. Selection Universe. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The 40 top ranked eligible companies by float-adjusted market capitalization are added to the selection universe. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by three-month average dollar volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Twenty companies are selected based on final rank. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: The top 15 companies are selected for the index, regardless of whether they are current constituents. Current constituents ranked are selected top-down to fill the remaining spots. If the number of selected companies is still less than 20, current non-constituents are selected top-down to fill the remaining spots. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 25% of the index s total float-adjusted market capitalization. In addition, the weight of the top five constituent companies is capped at 50%. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 12

14 Dow Jones Cyprus Titans 10 Index Index Universe. The index universe is defined as all stocks in the Dow Jones Cyprus Total Stock Market Index. The exchanges currently represented in the index are the Cyprus Stock Exchange and the Athens Stock Exchange. Issues listed on the Athens Stock Exchange from companies domiciled in Cyprus are eligible for inclusion if the local listing is less liquid. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. The top ranked non-constituents in the index universe, defined above, by combined float-adjusted market capitalization are added to the selection universe until it reaches 20 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by combined 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Companies are selected top-down by final rank until the target constituent count of 10 is reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked 8 or higher replaces the lowest-ranked index constituent. Any constituent company ranked 12 or lower is replaced by the highest-ranked nonconstituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 20% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 13

15 Dow Jones EGX Egypt Titans 20 Index Index Universe. The index universe is defined as all companies trading on The Egypt Exchange (EGX) and domiciled in Egypt. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having had 30 or more non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the selection universe until it reaches 40 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Sales/revenue Net income 2. For each company, a final rank is calculated by weighting the combined float-adjusted market capitalization rank at 60%, the sales/revenue rank at 20%, and the net income rank at 20%. 3. The top 20 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 10 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 30 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Constituent company s combined weights may be capped so that one constituent company may have a combined weight of up to 35%, and all other constituent companies may have combined weights of up to 20%. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 14

16 Dow Jones SAFE Pakistan Titans 15 Index Index Universe. The index universe includes constituent stocks of the Dow Jones SAFE 100 Index, which measures the performance of 50 of the largest stocks trading in India and 50 of the largest stocks trading in Bangladesh, Mauritius, Pakistan and Sri Lanka. Non-Pakistan-traded issues are excluded. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by combined float-adjusted market capitalization are added to the selection universe until it reaches 30 companies. Index membership eligibility for a company with multiple share class lines is based on the total floatadjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by combined 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Companies are selected top-down by final rank until the target constituent count of 15 is reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked 12 or higher replaces the lowest-ranked index constituent. Any constituent company ranked 19 or lower is replaced by the highest-ranked nonconstituent. Weighting. The index is weighted by float-adjusted market capitalization. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 15

17 Dow Jones Turkey Titans 20 Index Index Universe. The index universe is defined as all stocks in the Dow Jones Turkey Index. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituent companies by combined floatadjusted market capitalization are added to the selection universe until it reaches 40 companies. Index membership eligibility for a company with multiple share class lines is based on the total float-adjusted market capitalization of the eligible lines of the company. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by combined 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Companies are selected top-down by final rank until the target constituent count of 20 is reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked 17 or higher replaces the lowest-ranked index constituent. Any constituent company ranked 23 or lower is replaced by the highest-ranked nonconstituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 16

18 Dow Jones U.K. Titans 50 Index and Dow Jones Kuwait Titans 50 Index Index Universe. The index universe is defined as follows: Dow Jones U.K. Titans 50 Index. The index universe is defined as all stocks in the Dow Jones U.K. Index. Dow Jones Kuwait Titans 50 Index. The index universe is defined as all companies trading on The Kuwait Stock Exchange (KSX) and domiciled in Kuwait. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. For a company with multiple share class lines, index eligibility is based on the total float-adjusted market capitalization of the company s eligible share class lines. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked first by combined float-adjusted market capitalization and then by combined 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the companies in the selection universe are sorted by this final rank. 3. Companies are selected top-down by final rank until the target constituent count of 50 is reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked 40 or higher replaces the lowest-ranked index constituent. Any constituent company ranked 60 or lower is replaced by the highest-ranked nonconstituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 17

19 Sector Indices Dow Jones Sector Titans Indices Index Universe. The index universe is defined as all stocks in the Dow Jones Global Index that are categorized into the corresponding Supersector, based on a proprietary classification system used by S&P Dow Jones Indices, as noted in the table below. Only developed-market listings are eligible for China, India, and Russia. Index Supersector (Code) Dow Jones Automobile & Parts Titans 30 Index Automobiles & Parts (3300) Dow Jones Banks Titans 30 Index Banks (8300) Dow Jones Basic Resources Titans 30 Index Basic Resources (1700) Dow Jones Chemicals Titans 30 Index Chemicals (1300) Dow Jones Construction & Materials Titans 30 Index Construction & Materials (2300) Dow Jones Financial Services Titans 30 Index Financial Services (8700) Dow Jones Food & Beverage Titans 30 Index Food & Beverage (3500) Dow Jones Health Care Titans 30 Index Health Care (4500) Dow Jones Industrial Goods & Services Titans 30 Index Industrial Goods & Services (2700) Dow Jones Insurance Titans 30 Index Insurance (8500) Dow Jones Media Titans 30 Index Media (5500) Dow Jones Oil & Gas Titans 30 Index Oil & Gas (0500) Dow Jones Personal & Household Goods Titans 30 Index Personal & Household Goods (3700) Dow Jones Real Estate Titans 30 Index Real Estate (8600) Dow Jones Retail Titans 30 Index Retail (5300) Dow Jones Technology Titans 30 Index Technology (9500) Dow Jones Telecommunications Titans 30 Index Telecommunications (6500) Dow Jones Travel & Leisure Titans 30 Index Travel & Leisure (5700) Dow Jones Utilities Titans 30 Index Utilities (7500) Selection Universe. For each of the 19 Supersector indices, construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 60 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net profit 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net profit rank at 20%. 3. The top 30 companies by final rank are selected as index constituents. While each individual index is fixed at 30 companies, it is possible for an index to contain more than 30 stocks at any S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 18

20 point in time. Such cases arise when an index contains more than one share class for a particular company. The index uses both share classes in its index calculation, in order to maintain the full market capitalization weight of the company in the index. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 20 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 40 by final rank is replaced by the highestranked non-constituent. Weighting. The index is weighted by modified float-adjusted market capitalization. Each constituent company s combined weight is capped at 10% of the index s total float-adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 19

21 Dow Jones Emerging Markets Sector Titans Indices Index Universe. The index universe is defined as all stocks in the Dow Jones Emerging Markets Total Stock Market Index, excluding those from Taiwan, that are categorized into the corresponding Industry or Sector, based on a proprietary classification system used by S&P Dow Jones Indices, as noted in the table below. Only developed-market listings are eligible for Brazil, China, India, and Russia. Index Industy/Sector (Code) Dow Jones Emerging Markets Sector Titans Composite 100 Index Each of the 10 Industries Dow Jones Emerging Markets Basic Materials Titans 30 Index Basic Materials (1000) Dow Jones Emerging Markets Consumer Goods Titans 30 Index Consumer Goods (3000) Dow Jones Emerging Markets Consumer Services Titans 30 Index Consumer Services (5000) Dow Jones Emerging Markets Financials Titans 30 Index Financials (8000) Dow Jones Emerging Markets Health Care Titans 30 Index Healthcare (4000) Dow Jones Emerging Markets Industrials Titans 30 Index Industrials (2000) Dow Jones Emerging Markets Metals & Mining Titans 30 Index Industrial Metals & Mining (1750) Mining (1770) Dow Jones Emerging Markets Oil & Gas Titans 30 Index Oil & Gas (0001) Dow Jones Emerging Markets Technology Titans 30 Index Technology (9000) Dow Jones Emerging Markets Telecommunications Titans 30 Index Telecommunications (6000) Dow Jones Emerging Markets Utilities Titans 30 Index Utilities (7000) Selection Universe. With the exception of the Dow Jones Emerging Markets Sector Titans Composite 100 Index, each index s selection universe is constructed as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, with less than a $500,000 three-month average daily value traded are excluded. In addition, stocks having more than 10 non-trading days over the past quarter are also excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 60 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net profit 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net profit rank at 20%. 3. The top 30 companies by final rank are selected as index constituents. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 20 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 40 by final rank is replaced by the highestranked non-constituent. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 20

22 For the Dow Jones Emerging Markets Sector Titans Composite 100 Index, the index is created by selecting the 10 top-ranked companies from each of the 10 Dow Jones Emerging Markets Sector Titans Indices for a total constituent count of 100. Weighting. The indices are modified capitalization weighted, adjusting for free float and to meet diversification requirements as follows: The weight of any individual company is restricted to 10% in the index. The aggregate weight of individual companies with weights of 4.5% or more is restricted to 45% in the index. The index constituent weightings are updated on a quarterly basis, in March, June, September and December. Constituent weights will be aggregated together in cases where a constituent owns 50% or more of another constituent s outstanding shares when the quarterly weight factors detailed above are calculated. Constituents exceeding the defined threshold will be classified as related companies and will be required to meet the weight diversification rules outlined above on a quarterly basis. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 21

23 Dow Jones Emerging Asia Consumer Titans 50 Index Index Universe. The index universe is defined as all constituent stocks of the Dow Jones Global Total Stock Market Index from China Offshore, India, Indonesia, Malaysia, the Philippines and Thailand that are classified as Consumer Goods (3000) or Consumer Services (5000), based on a proprietary classification system used by S&P Dow Jones Indices. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, with less than a $500,000 three-month average daily value traded are excluded. In addition, stocks having more than 10 non-trading days over the past quarter are also excluded. The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by each of the following: Combined float-adjusted market capitalization Revenue Net profit 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the revenue rank at 20%, and the net profit rank at 20%. 3. The top 20 companies by final rank from each industry are selected as index constituents. 4. Ten additional companies are selected from the remaining non-constituent companies starting with the highest ranking remaining company based on final rank. 5. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 40 by final rank replaces the lowestranked index constituent. Any constituent company not among the top 60 by final rank is replaced by the highestranked non-constituent. Weighting. The index is modified capitalization weighted, adjusting for free float and to meet diversification requirements as follows: The weight of any individual company is restricted to 5% in the index. The aggregate weight of individual companies with weights of 4.5% or more is restricted to 45% in the index. The index constituent weightings are updated on a quarterly basis, in March, June, September and December. Constituent weights will be aggregated together in cases where a constituent owns 50% or more of another constituent s outstanding shares when the quarterly weight factors detailed above are calculated. Constituents exceeding the defined threshold will be classified as related companies and will be required to meet the weight diversification rules outlined above on a quarterly basis. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 22

24 Dow Jones Emerging Markets Consumer Titans 30 Index Index Universe. The index universe is defined as all constituent stocks of the Dow Jones Emerging Markets Consumer Goods Titans 30 Index and the Dow Jones Emerging Markets Consumer Services Titans 30. Selection Universe. Construction of the selection universe is as follows: 1. All current constituents are automatically added to the selection universe. 2. Stocks in the index universe, defined above, having more than 10 non-trading days over the past quarter are excluded. In addition, stocks that make up the index universe must have a six-month median daily value traded of at least US$ 5 million (US$ 3 million for current constituents). The top ranked eligible non-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 60 companies. Constituent Selection. Constituent selection is as follows: 1. Companies in the selection universe are ranked by combined float-adjusted market capitalization and the top 10 companies in each of the two industries are selected as index constituents. 2. Ten additional companies are selected from the remaining non-constituent companies starting with the largest remaining company based on float-adjusted market capitalization. 3. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent company ranked among the top 20 replaces the lowest-ranked index constituent. Any constituent company not among the top 40 companies is replaced by the highestranked non-constituent. Weighting. The index is modified capitalization weighted, adjusting for free float and to meet diversification requirements as follows: The weight of any individual company is restricted to 10% in the index. The aggregate weight of individual companies with weights of 4.5% or more is restricted to 45% in the index. The index constituent weightings are updated on a quarterly basis, in March, June, September and December. Constituent weights will be aggregated together in cases where a constituent owns 50% or more of another constituent s outstanding shares when the quarterly weight factors detailed above are calculated. Constituents exceeding the defined threshold will be classified as related companies and will be required to meet the weight diversification rules outlined above on a quarterly basis. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 23

25 Index Calculations Approaches The indices are calculated by means of the divisor methodology used in all S&P Dow Jones Indices equity indices. For more information on the Index calculation methodology, please refer to the Modified Market Capitalization Weighted Indices section of S&P Dow Jones Indices Index Mathematics Methodology. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 24

26 Index Maintenance Rebalancing Index Composition. Index composition is rebalanced annually in September, unless indicated otherwise in the table below. Changes are implemented at the open of trading on the Monday following the third Friday of the annual rebalancing month. The rebalancing reference date is the third Friday of the month prior to the rebalancing month. Index Dow Jones Brazil Titans 20 ADR Index Dow Jones Cyprus Titans 10 Index Dow Jones EGX Egypt Titans 20 Index Dow Jones France Titans 30 Index Dow Jones Germany Titans 30 Index Dow Jones Hong Kong Titans 30 Index Dow Jones Italy Titans 30 Index Dow Jones Kuwait Titans 50 Index Dow Jones Malaysia Titans 30 Index Dow Jones Netherlands Titans 30 Index Dow Jones SAFE Pakistan Titans 15 Index Dow Jones Saudi Titans 30 Index Dow Jones Singapore Titans 30 Index Dow Jones South Korea Titans 30 Index Dow Jones Spain Titans 30 Index Dow Jones Sweden Titans 30 Index Dow Jones Switzerland Titans 30 Index Dow Jones Taiwan Titans 30 Index Dow Jones Turkey Titans 20 Index Dow Jones U.K. Titans 50 Index Annual Rebalancing Month March March June March March March March March March March March March March March March March March March March March Quarterly Updates. The constituent shares outstanding and cap factors are reviewed and updated quarterly. Changes to a constituent s shares and cap factors as a result of the quarterly review are implemented after the close of trading on the third Friday in March, June, September and December, and are effective at the open of the next trading day. For capped indices, a constituent s weight in the index is calculated using closing prices on the Wednesday prior to the second Friday of the quarterly review month as the reference price. Index share amounts are calculated and assigned to each stock to arrive at the weights determined on the reference price date. Since index shares are assigned based on reference prices prior to the rebalancing, the actual weight of each stock at the rebalancing differs from these weights due to market movements. In addition, on a quarterly basis (outside of the annual index composition rebalancing), the selection universe is updated and re-ranked in order to check for possible early entry or removal of securities. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 25