Dow Jones Titans Indices Methodology

Transcription

1 Dow Jones Titans Indices Methodology March 2014 S&P Dow Jones Indices: Index Methodology

2 Table of Contents Introduction 4 Highlights and Index Family 4 Eligibility Criteria and Index Construction 7 Dow Jones Global Titans 50 Index 7 Dow Jones Africa Titans 50 Index 9 Dow Jones Andean Titans 30 Index 11 Dow Jones Arabia Titans 50 Index 12 Dow Jones Asian Titans 50 Index 13 Dow Jones Europe Titans 80 Index and Dow Jones Eurozone Titans 80 Index 14 Dow Jones GCC Titans 40 Index 16 Dow Jones Latin America Titans 80 Index 17 Dow Jones Tiger Titans 50 Index 18 Dow Jones Country Titans 30 Indices 19 Dow Jones Brazil Titans 20 ADR Index 21 Dow Jones Canada Titans 60 Index, Dow Jones Japan Titans 100 Index and Dow Jones U.K. Titans 50 Index 22 Dow Jones Cyprus Titans 10 Index 24 Dow Jones EGX Egypt Titans 20 Index 25 Dow Jones Kuwait Titans 30 Index 26 Dow Jones Mexico Titans 20 Index, Dow Jones Sri Lanka Titans 20 Index and Dow Jones Turkey Titans 20 Index 27 Dow Jones SAFE Pakistan Titans 15 Index 28 Dow Jones Sector Titans Indices 29 Dow Jones Emerging Markets Sector Titans Indices 31 Dow Jones Emerging Asia Consumer Titans 50 Index 33 Dow Jones Emerging Markets Consumer Titans 30 Index and Dow Jones Natural Resources Titans 50 Index 35 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 1

3 Index Calculations 37 Approaches 37 Index Maintenance 38 Rebalancing 38 Quarterly Updates 39 Ongoing Maintenance 40 Additions 41 Deletions 41 Corporate Actions 43 Currency of Calculation 43 Exchange Rate 43 Base Dates and History Availability 43 Investable Weight Factor (IWF) 43 Other Adjustments 43 Index Data 44 Total Return Indices 44 Index Governance 45 Index Committee 45 Index Policy 46 Announcements 46 Pro-forma Files 46 Holiday Schedule 46 Unscheduled Market Closures 47 Recalculation Policy 47 Real-Time Calculation 47 Index Dissemination 48 Tickers 48 FTP 48 Web site 48 Appendix I Currency of Calculation 49 Index Currencies 49 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 2

4 Appendix II Base Dates and History Availability 51 Base Dates and History Availability 51 Appendix III - Tickers 54 Bloomberg 54 Reuters 57 S&P Dow Jones Indices Contact Information 60 Index Management 60 Product Management 60 Media Relations 60 Client Services 61 Disclaimer 62 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 3

5 Introduction The Dow Jones Titans Indices measure the performance of the largest stocks 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 100 or fewer securities selected based on size, revenue, net income and/or trading volume. The family currently consists of 11 global/regional indices, 29 country indices and 34 industry/sector indices covering global sectors (19) and emerging markets sectors (15). 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 stocks 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 stock performance of the largest 15 South African companies and 35 non-south African companies that are headquartered or generate the majority of their revenues in Africa. Stocks are selected to the index by float-adjusted market capitalization, subject to screens for size and liquidity. Dow Jones Andean Titans 30 Index. The index represents 30 blue-chip stocks selected from the Dow Jones Total Stock Market Indices for Chile, Colombia and Peru. Dow Jones Arabia Titans 50 Index. The Index measures 50 leading stocks 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 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 stocks and 25 stocks from other major Asia/Pacific markets Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Philippines, Singapore, South Korea, Taiwan and Thailand. Stock selection is based on float-adjusted market capitalization, revenue and net income. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 4

6 Dow Jones Europe Titans 80 Index. The Index measures 80 blue-chip stocks traded in the developed markets of Europe. The index currently covers Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the U.K. Stocks are selected based on float-adjusted market capitalization, revenue and net profit. Dow Jones Eurozone Titans 80 Index. The Index measures 80 blue-chip stocks traded in the developed markets of the Eurozone. The index currently covers Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain. Stocks are selected based on float-adjusted market capitalization, revenue and net profit. Dow Jones FEAS Titans 50 Equal Weighted Index. The Index is an equal-weighted measure of 50 of the largest stocks 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 GCC Titans 40 Index. The Index measures leading stocks traded in the Gulf Cooperation Council (GCC) member countries of Bahrain, Kuwait, Oman, Qatar and the United Arab Emirates. The index is designed to limit inclusion of companies that are not accessible to foreign investors. Dow Jones Latin America Titans 80 Index. A composite of three sub-indices covering Latin America, representing 80 of the largest and most liquid stocks in the respective markets. The index includes all stocks in the Dow Jones Andean Titans 30 TM Index, Dow Jones Brazil Titans 30 TM Index and Dow Jones Mexico Titans 20 TM Index. Dow Jones Tiger Titans 50 Index. The Index is the world's first blue-chip measure of stocks traded in "Asian Tiger" countries. Made up of 50 stocks, the index covers the major markets of Asia, excluding Japan-currently Hong Kong, Singapore, South Korea and Taiwan. Stocks for the index are chosen according to float-adjusted market capitalization, revenue and net income. Country Indices The Dow Jones Country Titans Indices represent major markets from Europe, Asia and the Americas. Stocks 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 Australia Hong Kong Netherlands Sri Lanka Brazil India Pakistan Sweden Canada Italy Saudi Arabia Switzerland Cyprus Japan Singapore Taiwan Egypt Kuwait South Africa Turkey France Malaysia South Korea U.K. Germany Mexico Spain S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 5

7 Sector Indices Dow Jones Sector Titans Indices. The Indices reflect the composition and performance of the 19 Supersectors defined by a proprietary classification system. Stocks are chosen based on 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 stock 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 S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 6

8 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, subject to the following eligibility screens: If a company has more than one class of shares in the index universe, then only the most liquid class is eligible. If a company does not generate revenue from foreign markets, it is ineligible. For countries with significant barriers to direct foreign investment, S&P Dow Jones Indices may opt to include Depository Receipts (DRs) or other types of offshore listings in the 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-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 100 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 stocks 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 stock ranked among the top 30 by final rank replaces the lowest-ranked index constituent. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 7

9 Any constituent stock not among the top 70 stocks by final rank is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 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 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 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 float-adjusted market capitalization are added to the ex-south Africa selection universe until it reaches 70 securities. 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 float-adjusted market capitalization are added to the South Africa selection universe until it reaches 30 securities. 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 stocks are selected per country. 2. During subsequent 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 stocks, it replaces the lowest-ranked index constituent. If any South African constituent is not among the top 18 stocks, it will be replaced by the highest-ranked non-constituent. If any non-south African non-constituent is among the top 30 stocks, it replaces the lowest-ranked index constituent. If any non-south African constituent is not among the top 40 stocks, it will be replaced by the highest-ranked non-constituent. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 9

11 Weighting. The Dow Jones Africa Titans 50 Index is modified capitalization weighted, adjusting for free float and to meet diversification requirements as follows: 1. The weight of each country is capped at 25%. 2. The weight of each constituent stock is capped at 8%; weights above 8% are reallocated within the constituent s country. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 10

12 Dow Jones Andean Titans 30 Index Index Universe. The index universe comprises all stocks traded on the major exchanges of Chile, Colombia and Peru. 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 60 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by their total liquidity and the top 30 form the index. Total liquidity is defined as the combined median US$ daily value traded over the previous six months across all listings for each stock. These multiple listings can include the local stock, cross-exchange listings, and depository receipts. Only the locally listed stock is considered for inclusion in the index. 2. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent stock ranked among the top 25 replaces the lowestranked index constituent. Any constituent stock not among the top 35 stocks is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 11

13 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 float-adjusted market capitalization are added to the selection universe until it reaches 100 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 stocks 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 stock ranked among the top 30 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 70 stocks by final rank is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by adjusted market capitalization. Each constituent s weight is capped at 10% of the index s total adjusted market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 12

14 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. If a company has more than one class of shares in the index universe, only the most liquid class is eligible. 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 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 stocks and the top 25 non-japan-listed stocks 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 stocks, it replaces the lowest-ranked index constituent. If any Japan-listed constituent is not among the top 35 Japan-listed stocks, it will be replaced by the highest-ranked non-constituent. If any non-japan-listed non-constituent is among the top 15 non-japanlisted stocks, it replaces the lowest-ranked index constituent. If any non-japan-listed constituent is not among the top 35 non-japanlisted stocks, it will be replaced by the highest-ranked non-constituent. For countries with significant barriers to direct foreign investment, S&P Dow Jones Indices may opt to include Depository Receipts (DRs) and other types of offshore listings in the index. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 13

15 Dow Jones Europe Titans 80 Index and Dow Jones Eurozone Titans 80 Index Index Universe. The index universe is defined as follows: Dow Jones Europe Titans 80 Index. The index universe is defined as all stocks in the Dow Jones Global Indices family that trade in the developed markets of Europe currently Austria, Belgium, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the U.K. Dow Jones Eurozone Titans 80 Index. The index universe is defined as all stocks in the Dow Jones Global Indices family that trade in the developed markets of the Eurozone currently Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain. For companies with multiple share classes, only the most liquid class is eligible. 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 160 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 80 stocks 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 stock ranked among the top 60 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 100 stocks by final rank is replaced by the highest-ranked non-constituent. 5. A maximum of 20 stocks from any one country can be included in the Dow Jones Europe Titans 80 Index. A maximum of 25 stocks from any one country can be included in the Dow Jones Eurozone Titans 80 Index. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 14

16 Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 15

17 Dow Jones GCC Titans 40 Index Index Universe. The index universe consists of stocks traded in the GCC-region countries of Bahrain, Kuwait, Oman, Qatar and United Arab Emirates, as well as companies trading outside the region that generate the majority of their revenues on the Arabian Peninsula. Only stocks with an average daily trading volume of at least US$1 million are eligible for consideration. 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 80 securities. Constituent Selection. Constituent selection is as follows: 1. Eligible securities in the selection universe are ranked by float-adjusted market capitalization. 2. The top three companies in each country Bahrain, Kuwait, Oman, Qatar and United Arab Emirates are selected as index constituents. 3. Stocks are then selected top-down from the pool of all remaining companies until 40 constituents are reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent stock ranked among the top 30 replaces the lowestranked index constituent. Any constituent stock not among the top 50 stocks is replaced by the highest-ranked non-constituent. 5. A maximum of 15 companies per country can be included in the index. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s weight is capped at 8% 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 Latin America Titans 80 Index Index Universe. The index is a composite of three sub-indices covering Latin America: Dow Jones Andean Titans 30 Index Dow Jones Brazil Titans 30 Index Dow Jones Mexico Titans 20 Index Index Construction. The index includes all stocks in the Dow Jones Andean Titans 30 Index, Dow Jones Brazil Titans 30 Index and Dow Jones Mexico Titans 20 Index. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 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, subject to the following eligibility screens: If a company has more than one class of shares in the index universe, then only the most liquid class is eligible. 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 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 stocks 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 stock ranked among the top 40 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 60 stocks by final rank is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 18

20 Country Indices Dow Jones Country Titans 30 Indices Index Universe. The index universe is defined as all stocks in the following indices. Index Dow Jones Australia Titans 30 Index Dow Jones Brazil Titans 30 Index Dow Jones France Titans 30 Index Dow Jones Germany Titans 30 Index Dow Jones Hong Kong Titans 30 Index Dow Jones India 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 Africa 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 Australia Index Dow Jones Brazil Index Dow Jones France Index Dow Jones Germany Index Dow Jones Hong Kong Index Dow Jones India 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 Africa 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 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by float-adjusted market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Stocks 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 stock ranked 25 or higher replaces the lowestranked index constituent. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 19

21 Any constituent stock ranked 35 or lower is replaced by the highestranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 20

22 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. 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 40 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by 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 stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Twenty stocks are selected based on final rank, using a buffer of During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: The top 15 issues 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 issues is still less than 20, current nonconstituents ranked are selected top-down to fill the remaining spots. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s weight is capped at 25% of the index s total float-adjusted market capitalization. In addition, the weight of the top five constituents is capped at 50%. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 21

23 Dow Jones Canada Titans 60 Index, Dow Jones Japan Titans 100 Index and Dow Jones U.K. Titans 50 Index Index Universe. The index universe is defined as all stocks in the following indices. Index Dow Jones Canada Titans 60 Index Dow Jones Japan Titans 100 Index Dow Jones U.K. Titans 50 Index Index Universe Dow Jones Canada Index Dow Jones Japan Index Dow Jones U.K. 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-constituents by float-adjusted market capitalization are added to the selection universe until it reaches the following: Selection Universe Target Index Count Dow Jones Canada Titans 60 Index 120 Dow Jones Japan Titans 100 Index 200 Dow Jones U.K. Titans 50 Index 100 Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by float-adjusted market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Stocks are selected top-down by final rank until the target constituent count is reached. Index Target Constituent Count Dow Jones Canada Titans 60 Index 60 Dow Jones Japan Titans 100 Index 100 Dow Jones U.K. Titans 50 Index During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Dow Jones Canada Titans 60 Index. Any non-constituent stock ranked 50 or higher replaces the lowest-ranked index constituent. Any constituent stock ranked 70 or lower is replaced by the highest-ranked non-constituent. Dow Jones Japan Titans 100 Index. Any non-constituent stock ranked 80 or higher replaces the lowest-ranked index constituent. Any S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 22

24 constituent stock ranked 120 or lower is replaced by the highest-ranked non-constituent. Dow Jones U.K. Titans 50 Index. Any non-constituent stock ranked 40 or higher replaces the lowest-ranked index constituent. Any constituent stock ranked 60 or lower is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 23

25 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 floatadjusted market capitalization are added to the selection universe until it reaches 20 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by float-adjusted market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Stocks 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 stock ranked 8 or higher replaces the lowest-ranked index constituent. Any constituent stock ranked 12 or lower is replaced by the highestranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s 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 24

26 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. If a company has more than one class of shares in the index universe, then only the larger class is eligible. 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 float-adjusted market capitalization are added to the selection universe until it reaches 40 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: Float-adjusted market capitalization Sales/revenue Net income 2. For each company, a final rank is calculated by weighting the float-adjusted market capitalization rank at 60%, the sales/revenue rank at 20%, and the net income rank at 20%. 3. The top 20 stocks 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 stock ranked among the top 10 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 30 stocks by final rank is replaced by the highest-ranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Constituents weights may be capped so that one constituent may have a weight of up to 35%, and all other constituents may have weights of up to 20%. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 25

27 Dow Jones Kuwait Titans 30 Index Index Universe. The index universe is defined as all stocks trading on the Kuwait Stock Exchange. 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 60 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by full market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. 3. Stocks are selected top-down by final rank until the target constituent count of 30 is reached. 4. During subsequent reviews, selections are subject to buffers that aim to limit index turnover by favoring current constituents: Any non-constituent stock ranked 25 or higher replaces the lowestranked index constituent. Any constituent stock ranked 35 or lower is replaced by the highestranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s weight is capped at 10% of the index s total full market capitalization. Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 26

28 Dow Jones Mexico Titans 20 Index, Dow Jones Sri Lanka Titans 20 Index and Dow Jones Turkey Titans 20 Index Index Universe. The index universe is defined as follows: Dow Jones Mexico Titans 20 Index. The index universe is defined as all stocks in the Dow Jones Mexico Total Stock Market Index. Dow Jones Sri Lanka Titans 20 Index. The index universe is defined as all stocks in the Dow Jones Sri Lanka Index. Dow Jones Turkey Titans 20 Index. 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-constituents by float-adjusted market capitalization are added to the selection universe until it reaches 40 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by float-adjusted market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Stocks 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 stock ranked 17 or higher replaces the lowestranked index constituent. Any constituent stock ranked 23 or lower is replaced by the highestranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. Each constituent s weight is capped at 10% of the index s total float-adjusted market capitalization (15% of the index s total float-adjusted market capitalization for the Dow Jones Sri Lanka Titans 20 Index). Weights are reviewed quarterly. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 27

29 Dow Jones SAFE Pakistan Titans 15 Index Index Universe. The index universe for the Dow Jones SAFE Pakistan Titans 15 Index 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 float-adjusted market capitalization are added to the selection universe until it reaches 30 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked first by float-adjusted market capitalization and then by 12-month average daily domestic currency trading volume. 2. An equally weighted combination of the size and liquidity ranks is calculated, and then the stocks in the selection universe are sorted by this final rank. For companies with more than one issue, the issue with the lower final rank is removed. 3. Stocks 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 stock ranked 12 or higher replaces the lowestranked index constituent. Any constituent stock ranked 19 or lower is replaced by the highestranked non-constituent. Weighting. The index is weighted by float-adjusted market capitalization. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 28

30 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. In addition, stocks are subject to the following eligibility screens: If a company has more than one class of shares in the index universe, then only the most liquid class is eligible. For countries with significant barriers to direct foreign investment, S&P Dow Jones Indices may opt to include Depository Receipts (DRs) or other types of offshore listings in the index. 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 securities. S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 29

31 Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: 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 stocks 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 stock ranked among the top 20 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 40 stocks by final rank is replaced by the highest-ranked non-constituent. Weighting. The indices are weighted by float-adjusted market capitalization. Within each index, each constituent s 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 30

32 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 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. For countries with significant barriers to direct foreign investment, S&P Dow Jones Indices may opt to include Depository Receipts (DRs) or other types of offshore listings in the index. The index excludes local China shares that trade in Shanghai and Shenzhen. Only stocks of companies in mainland China that trade on the exchanges of Hong Kong and the U.S. are eligible. 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, 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 securities. Constituent Selection. Constituent selection is as follows: 1. Stocks in the selection universe are ranked by each of the following: Float-adjusted market capitalization Revenue Net profit S&P Dow Jones Indices: Dow Jones Titans Indices Methodology 31

33 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 stocks 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 stock ranked among the top 20 by final rank replaces the lowest-ranked index constituent. Any constituent stock not among the top 40 stocks by final rank is replaced by the highest-ranked non-constituent. For the Dow Jones Emerging Markets Sector Titans Composite 100 Index, the index is created by selecting the 10 top-ranked stocks 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 security is restricted to 10% in the index. The aggregate weight of individual securities 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 32