S-Network Sector Low Volatility Index (SLOWX)

Transcription

1 S-Network Sector Low Volatility Index (SLOWX) September S-Network Global Indexes, 267 Fifth Avenue, New York, NY

2 Index Rationale Well-Established Universe of Index Candidates S&P 500 Serves as Universe for SLOWX Comprises of 45 Constituents Stocks Must Meet All Screens Needed to Qualify for the Leading Large-Cap US Equity Benchmark Index Diversified by Sector Five Stocks with the Lowest Trailing Twelve-Month Daily Volatility in Each of Nine GICS Sectors Telecom & Technology Combined into One Sector REITS excluded Diversification Assured Across All Sectors Entirely Rules Based Depends on a Clearly Defined Rules-Based Methodology No Discretion is Exercised in Compiling the Index Pre-Defined Screening Protocol Assures a Consistent, Transparent and Arms-Length Compilation Process The S-Network Sector Low Volatility Index Provides Exposure to Stocks with Low Volatility, Diversified by Sector S-Network Global Indexes, 267 Fifth Avenue, New York, NY

3 Historical Performance 5000 S-Network Sector Low Volatility Total Return Index vs. Benchmarks (12/31/1999-9/30/2015) S-Network Sector Low Volatility TR S&P 500 TR MSCI USA Minimum Volatility TR Source: Bloomberg, as of 9/30/2015 The S-Network Sector Low Volatility Index Offers Consistent Performance Over Time, Regularly Outperforming Other Low Volatility Indexes S-Network Global Indexes, 267 Fifth Avenue, New York, NY

4 Return Risk/Return Profile 12.00% 10.00% Less Risk More Return More Risk More Return 8.00% S-Network Sector Low Volatility TR 6.00% 4.00% 2.00% S&P 500 TR 0.00% -2.00% Less Risk Less Return More Risk Less Return -4.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00% Risk *From 12/31/1999 Source: S-Network, as at 9/30/2015 The S-Network Sector Low Volatility Index Offers a Compelling Risk/Reward Ratio S-Network Global Indexes, 267 Fifth Avenue, New York, NY

5 Index Constituents Consumer Discretionary Consumer Staples Energy Financials Health Care McDonald'S Corp Coca-Cola Co Chevron Corp Ace Limited Johnson & Johnson AutoZone Inc Procter & Gamble Exxon Mobil Corp Travelers Cos Inc Schein Henry Inc Genuine Parts Co PepsiCo Inc Occidental Petroleum Berkshire Hathaway B DaVita Healthcare Partners Inc Omnicom Group Mccormick & Co Spectra Energy Corp Xl Group Plc Pfizer Inc VF Corp General Mills Inc Kinder Morgan Inc Marsh & Mclennan Companies AmerisourceBergen Corp Industrials IT/Telecom Materials Utilities Republic Services Inc AT&T Inc Ecolab Inc Pinnacle West Capital Lockheed Martin Verizon Communications Inc Praxair Inc Consolidated Edison Inc Waste Management Inc Paychex Inc Avery Dennison Corp Southern Co Stericycle Inc Automatic Data Processing Airgas Inc Dominion Resources Inc Rockwell Collins Fiserv Inc Sherwin-Williams Co NextEra Energy Inc Source: S-Network, as at 9/30/2015 The S-Network Sector Low Volatility Index Offers Diversification by Sector and Company, Avoiding Concentrated Risk S-Network Global Indexes, 267 Fifth Avenue, New York, NY

6 Sector Distribution 25.00% S-Network Sector Low Volatility Index Sector Distribution vs. Benchmarks 22.72% 20.00% 18.29% 18.69% 19.30% 16.45% 14.60% 14.58% 15.00% 13.02% 11.02% 11.48% 11.02% 11.09% 10.75% 11.12% 11.21% 9.88% 10.01% 10.00% 8.26% 6.88% 5.32% 5.00% 2.41% 11.70% 10.61% 8.36% 4.14% 2.80% 3.12% 0.00% Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials IT/Telecom Materials Utilities S-Network Sector Low Volatility S&P 500 MSCI USA Min Low Volatility Source: Bloomberg, BlackRock, Invesco as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

7 Index Market Capitalization Market Capitalization Profile Number of Constituents 45 Total Market Capitalization Largest Market Capitalization Smallest Market Capitalization Average Market Capitalization Median Market Capitalization 3.06 Trillion USD Billion USD 5.17 Billion USD Billion USD Source: Bloomberg, as of 9/30/ Billion USD Solid Fundamentals and a Large Capitalization Bias Help Mitigate Risks in the S-Network Sector Low Volatility Index S-Network Global Indexes, 267 Fifth Avenue, New York, NY

8 Statistical Profile I Calendar Year Ending Price Appreciation S-Net Sector Low Volatility TR S&P 500 TR Performance vs S&P 500 TR 12/31/ % -9.10% 25.86% 12/31/ % % 18.22% 12/31/ % % 13.92% 12/31/ % 28.68% -7.58% 12/31/ % 10.88% 4.27% 12/31/ % 4.91% -1.93% 12/31/ % 15.79% 9.81% 12/31/ % 5.49% 4.05% 12/31/ % % 13.09% 12/31/ % 26.46% % 12/31/ % 15.06% 2.31% 12/31/ % 2.11% 11.43% 12/31/ % 16.00% -3.13% 12/31/ % 32.39% -1.90% 12/31/ % 13.69% 2.21% YTD 9/30/ % -5.29% -2.02% Source: S-Network, as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

9 Statistical Profile II Total Return Appreciation S-Net Sector Low Volatility TR S&P 500 TR MSCI USA Min Volatility TR Since Inception* % 76.62% % 10 Year % 93.05% % 5 Year 95.29% 87.02% 95.73% 3 Year 39.64% 42.02% 42.82% 1 Year 0.56% -0.61% 7.35% YTD -3.75% -6.44% -1.26% Compound Annual Growth Rate S-Net Sector Low Volatility TR S&P 500 TR MSCI USA Min Volatility TR Since Inception* 9.36% 3.68% 6.23% 10 Year 9.68% 6.80% 8.46% 5 Year 14.32% 13.34% 14.38% 3 Year 11.77% 12.40% 12.62% 1 Year 0.56% -0.61% 7.35% Annualized Standard Deviation S-Net Sector Low Volatility TR S&P 500 TR MSCI USA Min Volatility TR Since Inception* 11.37% 15.11% 11.70% 10 Year 11.20% 14.90% 11.79% 5 Year 8.95% 11.51% 8.68% 3 Year 9.31% 9.74% 8.94% 1 Year 9.59% 11.01% 9.50% *From 12/31/1999 Source: Bloomberg, as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

10 Statistical Profile III Sharpe Ratio S-Net Sector Low Volatility TR S&P 500 TR MSCI USA Min Volatility TR Since Inception* Year Year Year Year Information Ratio (vs S&P 500 TR) S-Net Sector Low Volatility TR MSCI USA Min Volatility TR Since Inception* Year Year Year Year Alpha (vs S&P 500 TR) S-Net Sector Low Volatility TR MSCI USA Min Volatility TR Since Inception* 0.33% 0.24% 10 Year 0.25% 0.12% 5 Year 0.39% 0.01% 3 Year 0.09% -0.05% 1 Year 0.08% -0.52% *From 12/31/1999 Source: Bloomberg, as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

11 Statistical Profile IV Treynor Ratio (S-Net Sector Low Volatility TR) vs S&P 500 TR vs MSCI USA Min Volatility TR Since Inception* Year Year Year Year Downside Risk (vs S-Net Sector Low Volatility TR) vs S&P 500 TR vs MSCI USA Min Volatility TR Since Inception* Year Year Year Year Sortino Ratio (vs S&P 500 TR) S-Net Sector Low Volatility TR MSCI USA Min Volatility TR Since Inception* Year Year Year Year *From 12/31/1999 Source: Bloomberg, as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

12 Statistical Profile V Correlation (vs S&P 500 TR) vs S&P 500 TR vs MSCI USA Min Volatility TR Since Inception* Year Year Year Year Beta (vs S&P 500 TR) vs S&P 500 TR vs MSCI USA Min Volatility TR Since Inception* Year Year Year Year R-Square (vs S&P 500 TR) vs S&P 500 TR vs MSCI USA Min Volatility TR Since Inception* Year Year Year Year *From 12/31/1999 Source: Bloomberg, as of 9/30/ S-Network Global Indexes, 267 Fifth Avenue, New York, NY

13 Index Construction - Methodology All Constituents of SLOWX Must Be Constituents of the S&P 500 Selection Criteria for the S&P 500 Include Requirements for Sector Inclusion, Primary Exchange Listing, Minimum Market Capitalization, Minimum Average Daily Trading Volume, and Other Factors Individual Securities Included in SLOWX Selected Based on the Five Stocks in Each of the Nine Eligible GICS Sectors with the Lowest Volatility as of Last Trading Day of November The S-Network Sector Low Volatility Index Uses A Stable and Transparent Construction Methodology S-Network Global Indexes, 267 Fifth Avenue, New York, NY

14 Index Construction Weighting and Deletions Share Weights Based on Prices as of Close of Trading on Second Friday of Rebalancing Month Index Is Rebalanced and Reconstituted Quarterly on the Third Friday of the Last Month of Each Calendar Quarter Index is Rebalanced Quarterly Back to Equal Weights Stocks That Are Deleted From S&P 500 Are Deleted from SLOWX Effective Upon Deletion from S&P 500 A Detailed Methodology and Rules Is Available at S-Network Global Indexes, 267 Fifth Avenue, New York, NY

15 Index Details & Data Distribution Index Values Distributed in Real Time (15 second snapshots) in USD and EUR Total Return Index Calculated Daily in USD and EUR Index Values Distributed via NYSE Global Index Feed Comprehensive Historic Data (including simulated back-tests from 12/31/1999) Daily Prices for Price-Only + TR Indexes in USD + EURO Quarterly Portfolio Snapshots (Historic Constituents and Weights) Extensive Analytic support Quarterly Reports ( Index Insights ) Industry Overviews Extensive Statistical Data Comprehensive website Broad data distribution via third party vendors S&P/Bloomberg/Yahoo, etc. S-Network contribution page on Bloomberg: SNET S-Network Global Indexes, 267 Fifth Avenue, New York, NY

16 Company History Standard & Poor s Custom Index Group S&P Indices recognizes that no single index meets the needs of all investors. A custom index calculated by S&P Indices enables our clients either to refine existing S&P indices to reflect tailored measurements of market performance, or to create a unique index as the basis for a new derivative investment product. Drawing on this expertise and a global database of over 17,000 individual stocks, the S&P Custom Index Group provides an independent, flexible and accurate service enabling clients to purposefully design a Custom Index to meet their specific requirements. S-Network Global Indexes S-Network Global Indexes, Inc. (SNGI) is a publisher and developer of proprietary and custom indexes. Founded in 2005, SNGI publishes over 200 indexes, which provide the foundations for ETFs and other financial products with approximately $3 billion in asset under management. Key clients in this capacity include some of the world s leading providers of ETFs, UIT, Structured Products and SMAs. SNGI is an industry leader in the development of smart beta indexes, which isolate key investment factors to produce indexes with unique performance characteristics. The firm is also a leader in sustainable and impact investing, its most recent accomplishment being the development and maintenance of the Thomson Reuters Corporate Responsibility Ratings and Indexes, which create new common denominators for environmental, social, and governance benchmarking. SNGI produces several important Impact Indexes, including the S-Network Global Water Indexes and the Ardour Global Alternative Energy Indexes, which have been continuously published longer than any other indexes of their type S-Network Global Indexes, 267 Fifth Avenue, New York, NY