ETF INSIDE-OUT EURO INVESTMENT GRADE CORPORATE BOND INDICES July 2014 Financial Investment Adviser Registered under No. D011872 by the CNCIF, Association approved by the Autorité des Marchés Financiers, ORIAS No.13000579 www.orias.fr
A B O U T K O R I S I N T E R N A T I O N A L Koris International is a financial investment advisory firm fully focused on designing and developing dynamic asset allocation models. The company operates with a team of 14 professionals coming from the asset management industry and academia and benefits from the latest advances in financial engineering and a long proven knowhow. Located in Sophia-Antipolis on the French Riviera (head office) and in London, Koris International is wholly owned by its founders and has been operating for more than 10 years with key players in the asset management industry through an Advisory business model entirely dedicated to asset allocation. Koris International offers solutions that meet the needs of asset management companies, private banks and institutional investors throughout Europe. These advanced quantitative techniques are designed to satisfy the investors appetite for a better risk control. Koris International develops portfolio solutions for multi-management implemented with index funds, Futures, Total Return Swaps, active funds as well as liquid alternative investment strategies through managed accounts. www.koris-intl.com info@koris-intl.com D I S C L A I M E R Data and information provided in this document are for information purposes only. Koris International has strived to ensure information provided is as reliable and accurate as possible. Under no circumstances could the company be held accountable for potential errors or omissions. Information reported and calculations have been made on the sole basis of publicly available information. Time series and information on financial instruments have been sourced independently and, whenever possible, cross-checked with the ETF providers. It is stressed that information provided in this document can not be considered official and should be directly verified with the respective asset managers. Detailed information on the calculation methodology used can be found in the final section of this document. Quantitative analyses have been performed on past historical data that might not reflect the future performance of those instruments. The document is only presented as an indication of which qualitative and quantitative elements should be evaluated prior to investing in an ETF. In no circumstances could it be understood as a recommendation to invest in a financial instrument or enter into a transaction with a financial institution. 1
C O N T E N T About The Index: Barclays EuroAgg Corporate Total Return Index Value Unhedged EUR... 3 ishares Core Euro Corporate Bond UCITS ETF... 4 About The Index: Markit iboxx Euro Liquid Corporates... 6 Lyxor UCITS ETF Euro Corporate Bond... 7 Amundi ETF Euro Corporates UCITS... 9 About The Index: Markit iboxx Liquid Corporates 100 TR... 11 db X-Trackers II iboxx EUR Liquid Corporate UCITS ETF... 12 About The Index: Markit iboxx EUR Liquid Corporates Diversified Total Return... 14 Deka iboxx EUR Liquid Corporates Diversified UCITS ETF... 15 Methodology... 17 Guide on how to read the figures... 19 2
A B O U T T H E I N D E X : B A R C L A Y S E U R O A G G C O R P O R A T E T O T A L R E T U R N I N D E X V A L U E U N H E D G E D E U R GENERAL INFORMATION Bloomberg Ticker LECTPTREU Index Base currency EUR Creation date 01/06/1998 Asset Class Bonds OBJECTIVE: The Barclays Euro Corporate Bond Index is a broad-based benchmark that measures the investment grade, euro-denominated, fixedrate corporate bond market. RATING WEIGHT AAA 0.4% AA 11.2% A 46.5% BBB 41.9% 1 INDEX METHODOLOGY Eligibility: - Principal and interest must be denominated in Euro. - Bonds must be fixed rate coupon. - Senior and subordinated issues are included. - Bonds must have at least one year until final maturity, regardless of optionality. - Securities must be rated investment grade: Baa3/BBB- or above. - Bonds must have a minimum amount outstanding of 300mn. Selection: Bonds near to their original term, rather than all bonds in a maturity range. Market capitalization weighting. Rebalancing: Monthly, on the last calendar day of the month. Total Return: Income received during the month is held as cash until the month-end rebalancing, at which point it is reinvested back into the index. Taxability: Barclays indices are published gross of any tax assumption. 1 More information available at http://www.barclays.com/indices 3
EUR Millions I S H A R E S C O R E E U R O C O R P O R A T E B O N D U C I T S E T F ETF STRUCTURE EUR Share Class ISIN IE00B3F81R35 DE000A0RM454 Jurisdiction Ireland Expense Ratio 0.20% Legal Structure Plc* Share creation costs 40bps** Creation date 06/03/2009 Share redemption costs 10bps** Base currency EUR Decimalisation of shares No ETF Dividend policy Distribution NAV value 30/06/2014 125.273 Index exposure Direct (Physical) Index value 30/06/2014 223.85 Replication model Sampled Replication ETF AUM 30/06/2014 3,590.88 Mios Use of derivatives No Average AUM 2011-2013 1,530.85 Mios Securities Lending Yes Securities lending Collateral Lending agent Nature Blackrock UK Advisors Limited Equities, Bonds, Certificate of Deposits and Cash Maximum level of lending 50% Custodian State Street Custodial Services Average level of lending (2013) 8.6% Maximum risk by 50% counterparty Fee redistribution 62.5% gross revenue Full ownership Yes * Public Limited Company ** Indicative values based on market conditions for a minimum investment amount of 1 share More information available at http://www.ishares.com/ Segregation of assets Yes 4,000 Assets under Management 3,000 2,000 1,000 0 Notes on data: Data was adjusted with the semi-annually distributed dividends. The dividend amounts are reintegrated to the NAV on their ex-date. 4
I S H A R E S C O R E E U R O C O R P O R A T E B O N D U C I T S E T F ANNUALIZED RETURN ETF INDEX DIFFERENCE EXPENSE RATIO Comparison Period 06/06/2011 30/06/2014 6.41% 6.54% -0.136% Period of Existence 06/03/2009 30/06/2014 7.96% 8.04% -0.073% 0.20% 3 Last Years 30/06/2011 30/06/2014 6.66% 6.81% -0.149% 12 Last Months 28/06/2013 30/06/2014 7.11% 7.20% -0.090% STATISTICS ON THE DAILY DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX COMPARISON PERIOD PERIOD OF EXISTENCE 3 LAST YEARS 12 LAST MONTHS Dates 06/06/2011 30/06/2014 06/03/2009 30/06/2014 30/06/2011 30/06/2014 28/06/2013 30/06/2014 Mean -0.001% 0.000% -0.001% 0.000% Standard Deviation (Tracking Error) 0.017% 0.043% 0.017% 0.014% Percentile 5% -0.028% -0.039% -0.028% -0.023% Correlation 99.532% 96.930% 99.537% 99.333% # datapoints 769 1334 751 251 STATISTICS ON THE ANNUAL DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX TRAILING ON COMPARISON PERIOD TRAILING ON PERIOD OF EXISTENCE TRAILING ON THE 3 LAST YEARS CALENDAR Dates 06/06/2011 30/06/2014 06/03/2009 30/06/2014 30/06/2011 30/06/2014 31/12/2009 30/12/2013 Mean (Tracking Difference) -0.146% -0.244% -0.148% -0.115% Standard Deviation 0.073% 0.343% 0.074% Percentile 5% -0.247% -1.034% -0.247% # datapoints 518 1083 500 4 VOLUME ON ORGANIZED MARKETS IE00B3F81R35 Stock Exchange London Stock Exchange NYSE Euronext Amsterdam Borsa Italiana Ticker Bloomberg - Currency IEAC LN EUR IEAC NA EUR IEAC IM EUR Listing Starting Date Mar-09 May-09 Sep-09 ADV on Listing Period ( 000) 3,883 2,444 819 ADV on 2013 ( 000) 6,841 2,904 1,089 5
A B O U T T H E I N D E X : M A R K I T I B O X X E U R O L I Q U I D C O R P O R A T E S GENERAL INFORMATION Bloomberg Ticker IB8A Index Base currency EUR Creation date 31/12/1998 Asset Class Bonds OBJECTIVE: The Markit iboxx Euro Liquid Corporates index represents the performance of 40 eurodenominated bonds, issued by international companies. RATING WEIGHT AAA 0.00% AA 16.68% A 57.50% BBB 25.81% 2 INDEX METHODOLOGY Eligibility: - Only Euro and legacy currency denominated bullet fixed coupon bonds. The issuer domicile is not relevant. - Bonds must have a remaining time to maturity of at least 1.5 years at rebalancing date. - All bonds require a specific minimum amount outstanding of EUR 750mn. - Bonds older than three years are excluded. - The maximum permissible minimum lot size is EUR 50,000. - Each bond has a minimum run of one year. Selection: The number of bonds is limited to 40 bonds. Market capitalization weighting. Rebalancing: Quarterly, on the last calendar day of the month. Total Return: Cash received from coupon payments and non-substituted bonds are invested at the end of each month in the money market until the end of the following month. Cash is reinvested in the index at the next rebalancing. Taxability: iboxx indices are published gross of any tax assumption. 2 More information available at http://www.iboxx.com/ 6
EUR Millions L Y X O R U C I T S E T F E U R O C O R P O R A T E B O N D ETF STRUCTURE EUR Share Class ISIN FR0010737544 Jurisdiction France Expense Ratio 0.20% Legal Structure FCP* Share creation costs 27bps** Creation date 31/03/2009 Share redemption costs 5bps** Base currency EUR Decimalisation of shares No ETF Dividend policy Capitalization NAV value 30/06/2014 137.5503 Index exposure Indirect ( Synthetic) Index value 30/06/2014 203.97 Replication model Unfunded Swap ETF AUM 30/06/2014 638.78 Mios Counterparty Risk Average AUM 2011-2013 547.30 Mios Swap counterparty Société Générale Basket of securities Swap reset strategy Every day on Euronext close Nature Bonds Maximum risk by counterparty Securities lending 10% Custodian No * Fonds Commun de Placement ** Indicative values based under normal market conditions for a minimum investment amount of 3M EUR More information available at http://www.lyxoretf.fr/ Société Générale Securities Services 800 Assets under Management 600 400 200 0 Notes on data: The ETF switched from the 11am fixing to the 5pm fixing of the index on 3 June 2011, hence the analysis was only conducted from this date. 7
L Y X O R U C I T S E T F E U R O C O R P O R A T E B O N D ANNUALIZED RETURN ETF INDEX DIFFERENCE EXPENSE RATIO Comparison Period 06/06/2011 30/06/2014 5.75% 5.96% -0.210% Period of Existence 06/06/2011 30/06/2014 5.75% 5.96% -0.210% 3 Last Years 30/06/2011 30/06/2014 5.94% 6.16% -0.212% 12 Last Months 28/06/2013 30/06/2014 5.73% 5.94% -0.210% 0.20% STATISTICS ON THE DAILY DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX COMPARISON PERIOD PERIOD OF EXISTENCE 3 LAST YEARS 12 LAST MONTHS Dates 06/06/2011 30/06/2014 06/06/2011 30/06/2014 30/06/2011 30/06/2014 28/06/2013 30/06/2014 Mean -0.001% -0.001% -0.001% -0.001% Standard Deviation (Tracking Error) 0.002% 0.002% 0.002% 0.002% Percentile 5% -0.005% -0.005% -0.005% -0.005% Correlation 99.991% 99.991% 99.991% 99.984% # datapoints 783 783 765 255 STATISTICS ON THE ANNUAL DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX TRAILING ON COMPARISON PERIOD TRAILING ON PERIOD OF EXISTENCE TRAILING ON THE 3 LAST YEARS CALENDAR Dates 06/06/2011 30/06/2014 06/06/2011 30/06/2014 30/06/2011 30/06/2014 30/12/2011 31/12/2013 Mean (Tracking Difference) -0.209% -0.209% -0.209% -0.214% Standard Deviation 0.006% 0.006% 0.006% Percentile 5% -0.218% -0.218% -0.218% # datapoints 532 532 514 2 VOLUME ON ORGANIZED MARKETS FR0010737544 Stock Exchange Borsa Italiana NYSE Euronext Paris Deutsche Börse Ticker Bloomberg - Currency CRPE IM EUR CRP FP EUR LYXCRP GY EUR Listing Starting Date Jun-09 Apr-09 Jun-09 ADV on Listing Period ( 000) 981 754 273 ADV on 2013 ( 000) 835 771 338 8
EUR Millions A M U N D I E T F E U R O C O R P O R A T E S U C I T S ETF STRUCTURE EUR Share Class ISIN FR0010754119 Jurisdiction France Expense Ratio 0.16% Legal Structure FCP* Share creation costs 18bps** Creation date 29/06/2009 Share redemption costs 0bps** Base currency EUR Decimalisation of shares No ETF Dividend policy Capitalization NAV value 30/06/2014 202.04 Index exposure Indirect (Synthetic) Index value 30/06/2014 203.97 Replication model Unfunded Swap ETF AUM 30/06/2014 180.42 Mios Counterparty Risk Average AUM 2011-2013 233.21 Mios Swap counterparty Société Générale Basket of Securities Swap reset strategy Mark to market at 0% every day at 4PM Nature Maximum risk by counterparty 10% Custodian CACEIS Securities lending No * Fonds Commun de Placement ** Indicative values based on market conditions, there is no minimum investment amount More information available at http://www.amundietf.com/ Investment Grade Bonds issued by OECD countries and corporates 400 Assets under Management 300 200 100 0 Notes on data: 6 NAV missing from public data were added back to the time series. Public data also contained 5 wrong NAV that were corrected before computing the statistics. 9
A M U N D I E T F E U R O C O R P O R A T E S U C I T S ANNUALIZED RETURN ETF INDEX DIFFERENCE EXPENSE RATIO Comparison Period 06/06/2011 30/06/2014 5.77% 5.96% -0.196% Period of Existence 22/06/2009 30/06/2014 5.59% 5.79% -0.200% 3 Last Years 30/06/2011 30/06/2014 5.96% 6.16% -0.197% 12 Last Months 28/06/2013 30/06/2014 5.76% 5.94% -0.177% 0.16% STATISTICS ON THE DAILY DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX COMPARISON PERIOD PERIOD OF EXISTENCE 3 LAST YEARS 12 LAST MONTHS Dates 06/06/2011 30/06/2014 22/06/2009 30/06/2014 30/06/2011 30/06/2014 28/06/2013 30/06/2014 Mean -0.001% -0.001% -0.001% -0.001% Standard Deviation (Tracking Error) 0.003% 0.007% 0.003% 0.002% Percentile 5% -0.005% -0.005% -0.005% -0.005% Correlation 99.991% 99.916% 99.991% 99.983% # datapoints 783 1286 765 256 STATISTICS ON THE ANNUAL DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX TRAILING ON COMPARISON PERIOD TRAILING ON PERIOD OF EXISTENCE TRAILING ON THE 3 LAST YEARS CALENDAR Dates 06/06/2011 30/06/2014 22/06/2009 30/06/2014 30/06/2011 30/06/2014 31/12/2009 31/12/2013 Mean (Tracking Difference) -0.198% -0.198% -0.198% -0.202% Standard Deviation 0.009% 0.010% 0.009% Percentile 5% -0.211% -0.209% -0.211% # datapoints 532 1035 514 4 VOLUME ON ORGANIZED MARKETS FR0010754119 Stock Exchange SIX Swiss Exchange NYSE Euronext Paris Deutsche Börse Ticker Bloomberg - Currency CC4 SW EUR CC4 FP EUR CC4GR GY EUR Listing Starting Date Jul-10 Jun-09 May-10 ADV on Listing Period ( 000) 258 243 232 ADV on 2013 ( 000) 259 372 272 10
A B O U T T H E I N D E X : M A R K I T I B O X X L I Q U I D C O R P O R A T E S 1 0 0 T R GENERAL INFORMATION Bloomberg Ticker IBOXLC00 Index Base currency EUR Creation date 31/10/2005 Asset Class Bonds OBJECTIVE: The index represents the performance of up to 100 euro denominated corporate bonds within the liquid universe of euro denominated corporate debt issued by corporate issuers taking into account re-balancing costs. RATING WEIGHT AAA 0.00% AA 26.24% A 53.66% BBB 20.10% 3 INDEX METHODOLOGY Eligibility: - Only Euro and legacy currency denominated bullet fixed coupon bonds. - Only issuers classified as corporates. The issuer domicile is not relevant. - Bonds must have a remaining time to maturity of at least 2 years at rebalancing date. - Bonds must have a minimum amount outstanding of EUR 750mn. - The maximum permissible lot size is EUR 50,000. - Each bond has a minimum run of one year. Selection: The number of bonds is limited to 100 bonds. Market capitalization weighting. Rebalancing: Semi-annually, on the last calendar day of the month. Total Return: Cash received from coupon payments and non-substituted bonds are invested at the end of each month in the money market until the end of the following month. Cash is reinvested in the index at the next rebalancing. Taxability: iboxx indices are published gross of any tax assumption. 3 More information available at http://www.iboxx.com 11
EUR Millions DB X - T R A C K E R S II I B O X X E U R L I Q U I D C O R P O R A T E U C I T S E T F ETF STRUCTURE EUR Share Class ISIN LU0478205379 Jurisdiction Luxembourg Expense Ratio 0.20% Legal Structure OPCVM* Share creation costs variable** Creation date 23/02/2010 Share redemption costs variable** Base currency EUR Decimalisation of shares No ETF Dividend policy Capitalization NAV value 30/06/2014 142.632 Index exposure Indirect (Synthetic) Index value 30/06/2014 143.8436 Replication model Unfunded Swap ETF AUM 30/06/2014 214.556 Mios Counterparty Risk Average AUM 2011-2013 116.29 Mios Swap counterparty Deutsche Bank AG Basket of Securities Swap reset strategy Maximum risk by counterparty Securities lending - If there is a Subscription/Redemption - If the counterparty exposure > 5% Nature Eurozone Investment Grade Government, Corporate and Convertibles Bonds 5% Custodian State Street Bank Luxembourg No * Organisme de Placement Collectif en Valeurs Mobilières ** Indicative values based on market conditions for a minimum cash investment amount of EUR 250k More information available at http://www.etf.db.com/ 300 Assets under Management 200 100 0 Notes on data: Public data contained two wrong NAV which were corrected before computing the statistics. 12
D B X - T R A C K E R S I I I B O X X E U R L I Q U I D C O R P O R A T E U C I T S E T F ANNUALIZED RETURN ETF INDEX DIFFERENCE EXPENSE RATIO Comparison Period 06/06/2011 30/06/2014 5.28% 5.49% -0.203% Period of Existence 23/02/2010 30/06/2014 4.44% 4.64% -0.203% 3 Last Years 30/06/2011 30/06/2014 5.45% 5.65% -0.204% 12 Last Months 28/06/2013 30/06/2014 4.69% 4.88% -0.195% 0.20% STATISTICS ON THE DAILY DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX COMPARISON PERIOD PERIOD OF EXISTENCE 3 LAST YEARS 12 LAST MONTHS Dates 06/06/2011 30/06/2014 23/02/2010 30/06/2014 30/06/2011 30/06/2014 28/06/2013 30/06/2014 Mean -0.001% -0.001% -0.001% -0.001% Standard Deviation (Tracking Error) 0.005% 0.004% 0.005% 0.009% Percentile 5% -0.002% -0.002% -0.002% -0.002% Correlation 99.952% 99.967% 99.950% 99.644% # datapoints 766 1088 750 248 STATISTICS ON THE ANNUAL DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX TRAILING ON COMPARISON PERIOD TRAILING ON PERIOD OF EXISTENCE TRAILING ON THE 3 LAST YEARS CALENDAR Dates 06/06/2011 30/06/2014 23/02/2010 30/06/2014 30/06/2011 30/06/2014 31/12/2010 31/12/2013 Mean (Tracking Difference) -0.209% -0.207% -0.209% -0.207% Standard Deviation 0.006% 0.006% 0.006% Percentile 5% -0.216% -0.215% -0.216% # datapoints 515 837 499 3 VOLUME ON ORGANIZED MARKETS LU0478205379 Stock Exchange Deutsche Börse Borsa Italiana Ticker Bloomberg - Currency XBLC GY EUR XBLC IM EUR Listing Starting Date Mar-10 Jun-10 ADV on Listing Period ( 000) 239 52 ADV on 2013 ( 000) 309 67 13
A B O U T T H E I N D E X : M A R K I T I B O X X E U R L I Q U I D C O R P O R A T E S D I V E R S I F I E D T O T A L R E T U R N GENERAL INFORMATION Bloomberg Ticker IBOXCDTR Index Base currency EUR Creation date 31/10/2003 Asset Class Bonds OBJECTIVE: The index represents the performance of up to 75 euro denominated corporate bonds within the Markit iboxx EUR Liquid Corporates Index. RATING WEIGHT AAA 0.00% AA 19.07% A 55.07% BBB 25.86% 4 INDEX METHODOLOGY Eligibility: - Only Euro and currency denominated bullet fiwed rate coupon bonds. Only senior debt. - Bonds older than three years are excluded. - Bonds must have a remaining time to maturity of at least 1.5 years at rebalancing date. - The Markit iboxx rating must be BBB- or higher for a non-financial bond and A- or higher for a financial bond. - Only issuers whose HQ is in a Euro country or in Denmark, Norway, Sweden, Switzerland or the United Kingdom. - The minimum outstanding is EUR 1bn for financial bonds and EUR 500m for non financials. Selection: The number of bonds is limited to 75 bonds. Market capitalization weighting. Rebalancing: Quarterly, on the last calendar day of the month. Total Return: Cash received from coupon payments and non-substituted bonds are invested at the end of each month in the money market until the end of the following month. Cash is reinvested in the index at the next rebalancing. Taxability: iboxx indices are published gross of any tax assumption. 4 More information available at http://www.iboxx.com/ 14
EUR Millions D E K A I B O X X E U R L I Q U I D C O R P O R A T E S D I V E R S I F I E D U C I T S E T F ETF STRUCTURE EUR Share Class ISIN DE000ETFL375 Jurisdiction Germany Expense Ratio 0.20% Legal Structure FCP* Share creation costs 13bps** Creation date 17/02/2010 Share redemption costs 0bps** Base currency EUR Decimalisation of shares No ETF Dividend policy Distribution NAV value 30/06/2014 109.373 Index exposure Direct (Physical) Index value 30/06/2014 167.4 Replication model Full Replication ETF AUM 30/06/2014 112.91 Mios Use of Derivatives No Average AUM 2011-2013 112.62 Mios Securities lending Yes Securities lending Collateral Lending Agent Maximum level of lending Average level of lending (2013) DekaBank, Deutsche Girozentrale Nature Bonds, Equities, European Central Bank -Basket 100% legal limit Custodian DekaBank 11,93% (16,52% max) Maximum risk by counterparty Fee redistribution 100% Full ownership Yes Segregation of assets 10%, except Clearstream Banking Frankfurt*** * Fonds Commun de Placement ** Indicative values based on market conditions for a minimum cash investment amount of EUR 1M *** Deka Investment can lend up to 100% to Clearstream Banking Frankfurt (CBF). KAGplus, the securities lending system of CBF enables investment trust companies to improve yield and also assists in the minimisation of legally defined risks. CBF has been certified as an organised system under Section 56 of the German Investment Act (InvG), ensuring investor protection. Investment trust companies that use KAGplus are recognised as fulfilling investor protection requirements. KAGplus offers additional operational advantages, since CBF handles the transactions entirely, including matching, margining, collateralisation, as well as comprehensive and transparent reporting More information available at http://www.deka-etf.de/ Yes 200 Assets under Management 150 100 50 0 Notes on data: Data was adjusted with the quarterly distributed dividends. The dividend amounts are reintegrated to the NAV on their exdate. 15
D E K A I B O X X E U R L I Q U I D C O R P O R A T E S D I V E R S I F I E D U C I T S E T F ANNUALIZED RETURN ETF INDEX DIFFERENCE EXPENSE RATIO Comparison Period 06/06/2011 30/06/2014 6.52% 6.66% -0.141% Period of Existence 17/02/2010 30/06/2014 5.42% 5.57% -0.147% 3 Last Years 30/06/2011 30/06/2014 6.72% 6.86% -0.147% 12 Last Months 28/06/2013 30/06/2014 7.19% 7.44% -0.247% 0.20% STATISTICS ON THE DAILY DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX COMPARISON PERIOD PERIOD OF EXISTENCE 3 LAST YEARS 12 LAST MONTHS Dates 06/06/2011 30/06/2014 17/02/2010 30/06/2014 30/06/2011 30/06/2014 28/06/2013 30/06/2014 Mean -0.001% -0.001% -0.001% -0.001% Standard Deviation (Tracking Error) 0.013% 0.014% 0.013% 0.010% Percentile 5% -0.022% -0.025% -0.022% -0.019% Correlation 99.742% 99.678% 99.744% 99.735% # datapoints 780 1112 762 253 STATISTICS ON THE ANNUAL DIFFERENCE BETWEEN THE RETURNS OF THE ETF AND THE UNDERLYING INDEX TRAILING ON COMPARISON PERIOD TRAILING ON PERIOD OF EXISTENCE TRAILING ON THE 3 LAST YEARS CALENDAR Dates 06/06/2011 30/06/2014 17/02/2010 30/06/2014 30/06/2011 30/06/2014 30/12/2010 30/12/2013 Mean (Tracking Difference) -0.127% -0.126% -0.128% -0.126% Standard Deviation 0.037% 0.032% 0.036% Percentile 5% -0.184% -0.176% -0.185% # datapoints 529 861 511 3 VOLUME ON ORGANIZED MARKETS Stock Exchange Ticker Bloomberg - Currency Listing Starting Date DE000ETFL375 Deutsche Börse ETFLCD GY EUR Mar-10 ADV on Listing Period ( 000) 230 ADV on 2013 ( 000) 194 16
M E T H O D O L O G Y D A T A Our selection methodology consists in ranking all existing ETFs on the related index from largest to smallest average assets under management (in EUR) from 2011 to 2013, with a minimum of 50M AuM. We then apply a track record filter restricting the selection to those ETFs with more than 3 years of existence. Finally, we select all ETFs from the five first providers that meet the two first criteria. The ETFs are presented in decreasing size order based on their average AUM over 2011-2013. For the ETF, we use the official Net Asset Value (NAV), assets under management and trading volumes. Should an ETF distribute a dividend, the amount paid would be reintegrated into the ETF valuation on the ex-date, which is the reinvestment date. For the underlying index, we use the official index tracked by the ETF. The historical data is downloaded on a daily basis, according to the ETF NAV schedule. The expense ratio includes administration and management fees but not the swap fees (when applicable) nor the transaction costs. Volume on organized markets: The ADV is the Average Daily Volume of the ETF traded on the three main exchanges where it is listed. This statistic is computed on the listing period and on 2013. It is presented in thousands of USD and sorted by decreasing ADV on 2013. S T A T I S T I C S The statistics are computed over daily and annual basis. We compute several statistics for the analysis part: Annualized return: compounded over each given period and annualized over 365 days. Mean: arithmetic average computed over the whole data period for each chosen return periodicity. Standard deviation: computed on the overall available data for each chosen return periodicity. Percentile 5%: threshold value below which the worst 5% returns belong. Correlation: correlation coefficient of the daily and yearly return series between the ETF and the index. # Data points: number of available returns used for the daily and yearly calculations. 17
C H A R T S Assets under Management: daily series of the ETF total assets under management consolidated in EUR throughout all existing share classes. Version of the methodology Date issued Change control 1.0 March 31 st 2014 Initial release. 1.1 April 30 th 2014 Historical charts removed pending review Inclusion of a three year time period 18
G U I D E O N H O W T O R E A D T H E F I G U R E S Tracking Error D E S C R I P T I V E S T A T I S T I CS The tracking error is commonly measured as the standard deviation of the differences between the returns of the ETF and those of the index. However, it excludes the drag component, which makes it possible to have a tracking error equal to zero in spite of large differences between the returns. This single measure is thus incomplete and we therefore provided several statistics that encompass each aspect of these differences. - Average difference of returns: It can be interpreted as the drag between the returns of the ETF and that of the Index. For each trading period it is the difference of returns the investor can expect to be exposed to. - Standard Deviation: Gives a measure of the dispersion of the differences around the abovementioned average. A large value is synonym to more uncertainty in evaluating the impact of investing in the ETF: on short investment periods, the differences might be quite far from the mean. On the contrary, a standard deviation equal to zero means that for each period, the difference of returns is equal to the average. - 5% percentile: Gives a measure of the extreme differences that might occur. It represents the threshold under which the 5% worst differences can be found. One year trailing difference This provides statistics on a one year long investment. The mean difference can be interpreted as the difference that one can expect on average when investing in the ETF for a period of one year. The standard deviation gives a measure of the dispersion of this difference: a low figure indicates that the difference of returns at the end of the one year period is generally quite close to the mean difference. On the contrary, a high figure indicates that the difference can differ widely among these one year investments. The 5% percentile represents an extreme case of such an investment. 19