S-Network Emerging Sector Dividend Dogs Indexsdogx.snetglobalindexes.com/uploads/sndogs/pdf... ·...
Transcript of S-Network Emerging Sector Dividend Dogs Indexsdogx.snetglobalindexes.com/uploads/sndogs/pdf... ·...
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
S-Network Emerging Sector
Dividend Dogs Index
Q1 2018
1
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Characteristics
Well-Established Universe of Index Candidates
S-Network Emerging Markets Liquid 500 Index (SNX500) Serves as Universe for EDOGX
SNX500 Comprises 500 Leading Emerging Markets Stocks Screened for Liquidity
Diversified by Sector
Five Stocks with Highest Dividend Yields in Each of the Ten GICS Sectors Comprising the SNX500 (Real
Estate and Financials Combined) are Selected for Inclusion in EDOGX, Assuring Diversification Across All
Sectors
Diversified by Country
Membership Limited to No More than Five Stocks Per Country
Pure Yield – No Qualitative Screens
EDOGX Does Not Include Any Qualitative Screens, such as Dividend Growth, Dividend Consistency or
Coverage Ratio
Based Entirely on Dividend Yield, Making EDOGX the Only Pure Play Dividend Index Available
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
2
The S-Network Emerging Sector Dividend Dogs Index Offers the First Pure Play,
Rules-Based Emerging Market High Dividend Index.
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Construction
3
The S-Network Emerging Sector Dividend Dogs Index Methodology Is Completely Transparent
and Includes Screens Designed to Mitigate Risk and Lower Transaction Costs.
Upper Middle Income Markets(Certain former Comecon countries categorized as Upper Income are included)
Apply Stock Market Screens
Capture 99% of Aggregate Market Cap Coverage
Select 5 Highest Dividend
Yielding Stocks in
Each of Ten GICS
Sectors Equally
Weighted
Apply Quantitative Screening for
ADTV and Minimum Market Cap
Select 85% of Each Country’s Market
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Performance
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016. 5
Historical Performance
Source: S-Network, as of 3/31/2018*To ensure fair comparisons, all of the starting index values are normalized to 1,000 as of December 31, 2003.
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17
S-Network Emerging Sector Dividend Dogs TR Index vs. Benchmarks(12/31/2003–3/31/2018)
EDOGXTR SPGTEDUT SNX500T
© 2017 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Current Dividend Yield Comparison
6
Source: S-Network, as of 3/31/2018
4.43%
2.05%
EDOGX
SNX500
TTM Yield
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Historical Dividend Yields
7
Over an Extended Time Frame, the S-Network Emerging Sector Dividend Dogs Index Has
Consistently Offered Higher Yield than the SNX500 Index.
Source: S-Network, as of 3/31/2018
3.3
7%
4.5
7%
4.9
8%
3.8
4%
8.7
8%
3.4
7%
4.0
5%
5.4
8%
4.9
9%
4.9
7%
5.3
1%
5.6
1%
3.9
1%
3.9
4%
4.4
3%
2.3
0%
2.6
2%
2.0
6%
1.9
4%
6.1
4%
2.0
2%
2.1
0%
3.2
0%
2.7
0%
3.0
5%
3.3
5%
3.0
0%
2.3
4%
2.0
2%
2.0
5%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
10.00%
Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Mar-18
S-Network Emerging Sector Dividend Dogs vs. S-Network Emerging Markets Liquid 500 (12/31/2004-3/31/2018)
EDOGX SNX500
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Constituents and Fundamentals
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Constituents
9
The S-Network Emerging Sector Dividend Dogs Index Offers Diversification by Sector and
Company, Avoiding Concentrated Risk.
AES Gener S.A.
CEZ-Ceske Energeticke
Zavody
ENGIE Brasil Energia S.A.
Huaneng Power Intl ADR N
Perusahaan Gas Negara PT
Intouch Holdings PCL NVDR
MegaFon PJSC GDR
Mobile TeleSystems PJSC
PLDT Inc ADR
Turkcell Iletisim Hizmet AS
ADR
Eregli Demir Celik
Indocement Tunggal Prakarsa
Tbk PT
Severstal PJSC GDR
Sinopec Shanghai
Petrochemical Co Ltd H Shares
Vedanta Ltd ADR
Cielo SA
Delta Electronics Thai PCL
Infosys Limited ADR
Lenovo Group Ltd.
Wipro Corporation Ltd ADR
BTS Group Holdings PCL
CCR S.A.
COSCO SHIPPING Energy
Transportation Co Ltd - H
Shares
Enka Insaat ve Sanayi AS
MISC Bhd
Fleury SA
Kalbe Farma Tbk PT
Life Healthcare Group Holdings
Ltd.
Netcare Ltd
Richter Gedeon
BB Seguridade Participacoes
S.A.
Banco Santander Mexico
Bank Pekao SA
Barclays Africa Group Ltd
Malayan Banking Bhd
Gazprom PJSC GDR
Lukoil PJSC GDR
Semirara Mining and Power
Corp
Thai Oil PCL
Tupras-Turkiye Petrol Rafine
AVI Ltd
British American Tobacco
Malaysia Bhd
Cencosud SA
Charoen Pokphand Foods
Kimberly Clark de Mexico
S.A.B. de C.V. A
Astra International Tbk PT
Astro Malaysia Holdings Bhd
Ford Otomotive Sanayii AS
Great Wall Motor Co. Ltd. - H
Shares
Woolworth Hldgs
Consumer
Discretionary
Consumer
StaplesEnergy Financials Health Care
IndustrialsInformation
TechnologyMaterials Telecommunication
ServicesUtilities
Source: S-Network, as of 3/31/2018
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Sector Distribution
10
Source: S-Network, as of 3/31/2018
Consumer Staples10.40%
Industrials10.36%
Utilities10.15%
Health Care10.09%
Financials10.03%
Information Technology10.01%
Energy9.99%
Telecommunication Services
9.89%
Materials9.62%
Consumer Discretionary9.47%
S-Network Emerging Sector Dividend Dogs Index:Sector Distribution
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Country Distribution
11
Source: S-Network, as of 3/31/2018
Thailand10.53%
Russian Federation10.01%
South Africa10.01%
China9.99%
Turkey9.94%
Brazil9.89%
Malaysia8.18%
Indonesia7.62% India
5.90%Mexico4.10% Chile
3.96%
Philippines3.86%
Czech Republic2.13%
Others3.88%
S-Network Emerging Sector Dividend Dogs Index:Country Distribution
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Fundamentals
12
Solid Fundamental and a Large Capitalization Bias Help Mitigate Risks in the S-Network
Emerging Sector Dividend Dogs Index.
EDOGX SNX500
Price/Earnings 14.49 16.43
Price/Book Value 1.78 1.95
Dividend Yield 4.43% 2.05%
Index Fundamentals
Number of Constituents 50
Total Market Capitalization 550.10 Billion USD
Largest Market Capitalization 58.98 Billion USD
Smallest Market Capitalization 1.95 Billion USD
Average Market Capitalization 11.00 Billion USD
Median Market Capitalization 6.93 Billion USD
Market Capitalization Profile
Source: S-Network, as of 3/31/2018
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Statistical Profiles
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Statistical Profile I
14
The S-Network Emerging Sector Dividend Dogs Total Return Index has Outperformed the
SXN1000 Total Return Index in Nine of the Last 14 Years.
S-Net Emerging Sector Div Dogs TR SNX500T Out/Underperformance
12/31/2004 25.93% 29.88% -3.95%
12/31/2005 28.72% 34.50% -5.78%
12/31/2006 37.99% 34.39% 3.60%
12/31/2007 45.30% 33.63% 11.67%
12/31/2008 -41.77% -52.52% 10.76%
12/31/2009 108.88% 81.32% 27.56%
12/31/2010 35.10% 21.32% 13.78%
12/31/2011 -4.88% -20.19% 15.30%
12/31/2012 31.95% 17.23% 14.73%
12/31/2013 -2.79% -2.60% -0.19%
12/31/2014 1.33% -5.27% 6.60%
12/31/2015 -15.42% -14.27% -1.15%
12/31/2016 16.39% 15.91% 0.48%
12/31/2017 21.48% 37.82% -16.34%
YTD (3/31/2018) -1.42% 1.68% -3.10%
Calendar Year Ending Price Appreciation
Source: S-Network, as of 3/31/2018
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Statistical Profile II
15
EDOGXTR SPGTEDUT SNX500T
Since Inception* 678.31% 268.88% 293.83%
10 Year 158.85% 44.26% 36.80%
5 Year 17.29% 5.50% 30.62%
3 Year 18.90% 26.93% 36.75%
1 Year 11.94% 25.93% 28.30%
EDOGXTR SPGTEDUT SNX500T
Since Inception* 15.49% 9.59% 10.10%
10 Year 9.98% 3.73% 3.18%
5 Year 3.24% 1.08% 5.49%
3 Year 5.94% 8.27% 11.00%
1 Year 11.94% 25.93% 28.30%
Total Return Appreciation
Compound Annual Growth Rate
*From 12/31/2003 Source: S-Network, as of 3/31/2018
© 2017 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Statistical Profile III
16
EDOGXTR SPGTEDUT SNX500T
Since Inception* 20.87% 21.52% 21.78%
10 Year 22.15% 22.77% 22.90%
5 Year 15.29% 17.35% 16.05%
3 Year 16.38% 18.97% 17.25%
1 Year 10.66% 11.08% 13.68%
EDOGXTR SPGTEDUT SNX500T
Since Inception* 0.7391 0.4779 0.4969
10 Year 0.5273 0.2615 0.2394
5 Year 0.2601 0.1257 0.3892
3 Year 0.3968 0.4810 0.6565
1 Year 0.9986 2.0412 1.8143
Standard Deviation (Monthly)
Sharpe Ratio (Monthly)
*From 12/31/2003 Source: S-Network, as of 3/31/2018
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
EDOGXTR SPGTEDUT
Since Inception* 0.9334 0.9452
10 Year 0.9333 0.9508
5 Year 0.8850 0.9195
3 Year 0.8661 0.9114
1 Year 0.9249 0.7976
Statistical Profile IV
17
EDOGXTR SPGTEDUT
Since Inception* 0.48% 0.01%
10 Year 0.56% 0.06%
5 Year -0.11% -0.34%
3 Year -0.23% -0.19%
1 Year -0.60% 0.55%
Jensen’s Alpha (versus SNX500T, Monthly)
*From 12/31/2003 Source: S-Network, as of 3/31/2018
Correlation (versus SNX500T, Monthly)
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Statistical Profile V
18
Source: S-Network, as of 3/31/2018
EDOGXTR SPGTEDUT
Since Inception* 0.8713 0.8935
10 Year 0.8711 0.9041
5 Year 0.7832 0.8455
3 Year 0.7502 0.8307
1 Year 0.8555 0.6362
EDOGXTR SPGTEDUT
Since Inception* 0.8946 0.9339
10 Year 0.9024 0.9454
5 Year 0.8430 0.9941
3 Year 0.8226 1.0027
1 Year 0.7206 0.6461
Beta (versus SNX500T, Monthly)
R-Squared (versus SNX500T, Monthly)
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Construction and Distribution
19
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Construction – Methodology
All Constituents of EDOGX Must Be Constituents of the S-Network Emerging
Markets Index
Selection Criteria for S-Network Emerging Markets Index Include Requirements
for Sector Inclusion, Primary Exchange Listing, Minimum Market Capitalization,
Minimum Average Daily Trading Volume, and Other Factors
Individual Securities Included in EDOGX Selected Based on Ranking system
Within Each Sector
Selects the Five Stocks in Each Sector with Highest Dividend Yield as of Last Trading Day of November
Dividend Yield is Computed Based on Regular Cash Dividends Paid by the Company Over Previous Twelve
Month Period, Divided by Share Price (Special Dividends Not Included)
20
The S-Network Emerging Sector Dividend Dogs Index Uses A Stable and Transparent
Construction Methodology.
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Construction – Weighting and Deletions
Share Weights Based on Prices as of Close of Trading on Second Friday of
Rebalancing Month
Index Is Rebalanced 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 of SNX500 Are Deleted from EDOGX Effective
Upon Deletion from SNX500
If Less Than Five Eligible Securities are Represented in any GICS Sector as of
Snapshot Date Only Those Securities Which Qualify are Included
21
A Detailed Methodology and Rules Is Available at www.sectordividenddogs.com.
© 2018 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
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 Consolidated Tape
Comprehensive Historic Data (including simulated back-tests from 12/31/2003)
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: www.sectordividenddogs.com
Broad data distribution via third party vendors
S&P/Bloomberg/Yahoo, etc.
S-Network contribution page on Bloomberg: SNET
22
© 2017 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Company History
S-Network Global Indexes
S-Network Global Indexes, Inc. is a publisher and developer of proprietary and custom indexes. Founded in 1997, S-Network publishes over 200 indexes, which serve as the underlying portfolios for financial products with over USD 6 billion in assets under management. S-Network indexes, which are supported by a state-of-the-art technology platform, are known for their transparency and efficiency.
S-Network is a leader in socially responsible investment, publishing best-practice benchmark indexes in collaboration with Thomson Reuters. S-Network published the first global alternative energy and water indexes, which today serve as the recognized benchmarks for those sectors worldwide. In addition to publishing socially responsible indexes, S-Network produces proprietary environmental, social and governance ratings on nearly 5,000 public companies worldwide.
S-Network publishes a comprehensive suite of benchmark indexes covering US, European, Pacific Basin and emerging markets companies and mirroring the performance characteristics of the most popular indexes. The benchmark series offers detailed historical data, including daily constituent level data, from December 31, 1999 to the present. S-Network benchmarks serve as starting universes for smart beta indexes, as institutional-quality performance benchmarks, and as bases for Separately Managed Accounts.
S-Network is a prominent provider of smart beta indexes that incorporate both standard market statistics, as well as unique and highly specialized proprietary data sets derived from non-traditional sources. Smart beta indexes developed by S-Network embrace powerful single-factor models as well as complex multi-factor models that incorporate over 200 discrete factors. All indexes developed by S-Network address and resolve issues such as liquidity, investability and index turnover characteristics.
For more information please visit http://www.snetglobalindexes.com
23