Russell Global Index ?· 6.0 Russell Global Index Membership 23 ... FTSE Russell | Russell Global Index…

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<ul><li><p> Construction and Methodology </p><p>ftserussell.com March 2018 </p><p>Russell Global Index Series v4.0 </p></li><li><p>ftserussell.com March 2018 </p><p>Updated Sections </p><p>This document has been updated since the previously published version, in the following sections: </p><p>Section 2: Management Responsibilities </p><p>Section 9: Index Maintenance </p></li><li><p>ftserussell.com March 2018 </p><p>Contents </p><p>1.0 Introduction 8 </p><p> FTSE Russell Indexes 8 1.1</p><p> Available currencies 8 1.2</p><p>2.0 Management Responsibilities 10 </p><p> Frank Russell Company 10 2.1</p><p> FTSE Russell External Advisory Committees 10 2.2</p><p> Amendments to the Methodology 11 2.3</p><p>3.0 FTSE Russell Index Policies 12 </p><p> Statement of Principles for FTSE Russell Equity Indexes 12 3.1</p><p> Corporate Actions and Events Guide 12 3.2</p><p> Queries, Complaints and Appeals 12 3.3</p><p> Recalculation Policy and Guidelines 13 3.4</p><p> Index Policy for Trading Halts and Market Closures 13 3.5</p><p> Index Policy in the Event Clients are Unable to Trade a Market 13 3.6</p><p> FTSE Russell Policy for Benchmark Methodology Changes 13 3.7</p><p>4.0 Defining the Total Stock Universe 14 </p><p> Total universe securities types 14 4.2</p><p> Excluded securities 15 4.3</p><p> Depositary receipt exceptions 15 4.4</p><p> Universe minimum size requirement 15 4.5</p><p> Universe country eligibility 15 4.6</p><p> Country risk 16 4.7</p><p> Trading risks/challenges 16 4.8</p><p> Treatment of securities affected by OFAC and EU restrictions 16 4.9</p><p> Ineligible exchange segments 17 4.10</p><p> Exchange and Segment requirements 17 4.11</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 4 </p><p> No domestic exchange (NDE) and benefit driven incorporation (BDI) countries 18 4.12</p><p> Universe liquidity screen 18 4.13</p><p> Capturing 98% of the eligible universe 18 4.14</p><p> Minimum Voting Rights 19 4.15</p><p>5.0 Assigning Securities to Countries 20 </p><p> Country assignment 20 5.1</p><p> Home country indicators (HCIs) 20 5.2</p><p> Hong Kong/Macao 22 5.3</p><p> Tax rates 22 5.4</p><p>6.0 Russell Global Index Membership 23 </p><p> Index membership 23 6.1</p><p> Global large cap and small cap indexes construction 23 6.2</p><p> Construction rules 24 6.3</p><p> Corporate actions impacting reconstitution ranking 25 6.4</p><p> Countries without critical mass 25 6.5</p><p> Global SMID construction 25 6.6</p><p> Historical construction rules 26 6.7</p><p> Regional and country indexes 26 6.8</p><p> Developed, emerging, and frontier markets 27 6.9</p><p> Economic criteria 27 6.10</p><p> Market (operational) criteria 27 6.11</p><p> Moving between developed and emerging markets 28 6.12</p><p>7.0 Float-Adjusted Weighting 29 </p><p> Step 1: Remove unavailable shares 29 7.2</p><p> Step 2: Apply foreign ownership and headroom adjustments 29 7.3</p><p> Step 3: Reflect special depositary receipts 32 7.4</p><p>8.0 Determining Russell Stability Indexes 34 </p><p> Russell Defensive and Dynamic indexes 34 8.2</p><p> Quality score (comprises 50% of the overall stability probability) 35 8.3</p><p> Volatility score (comprises 50% of the overall stability probability) 36 8.4</p><p> Description of non-linear probability algorithm 36 8.5</p><p> 5% rule 37 8.6</p><p> Market capitalization of defensive/dynamic indexes 37 8.7</p><p> Missing values 37 8.8</p><p> Russell non-linear probability algorithm 37 8.9</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 5 </p><p>9.0 Index Maintenance 38 </p><p> Daily changes 38 9.2</p><p> Changes to shares outstanding and free float 38 9.3</p><p> Quarterly initial public offerings (IPOs) 40 9.8</p><p> Annual reconstitution 41 9.9</p><p>10.0 Timing and Treatment of Corporate Actions 42 </p><p> No replacement rule 43 10.2</p><p> Extraordinary events 43 10.3</p><p>11.0 Determining Frontier Countries 45 </p><p> Country risk 45 11.2</p><p> Trading risks / challenges 45 11.3</p><p> Frontier securities types 46 11.4</p><p> Universe minimum size requirement 46 11.5</p><p> Universe liquidity screen 46 11.6</p><p> Capturing 98% of the eligible frontier universe 46 11.7</p><p> Ineligible exchanges 47 11.8</p><p> Ineligible exchange segments 47 11.9</p><p> Float adjustments 47 11.10</p><p> Country weights 47 11.11</p><p> Frontier large cap and small cap index construction 47 11.12</p><p> Countries / exchanges 48 11.13</p><p> Available currencies 48 11.14</p><p> Price and Total Return indexes are calculated. 48 11.15</p><p>12.0 Russell-IdealRatings Islamic Global Index 49 </p><p> Purpose of the Russell-IdealRatings Islamic Index 49 12.2</p><p> Available indexes 50 12.3</p><p> Selection of Shariah compliant securities for index membership 50 12.4</p><p> Financial-based screens 50 12.5</p><p> Sector-based, prohibited income screens 50 12.6</p><p> Additional screens 51 12.7</p><p> Maintenance 51 12.8</p><p> Compliance monitoring 51 12.9</p><p> Purification 52 12.10</p><p> Eligibility and calculation of the purification amount 52 12.11</p><p> Purification process 52 12.12</p><p> Available currencies 52 12.13</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 6 </p><p> Price and Total Return indexes are calculated. 52 12.14</p><p>13.0 Russell Equal Weight Indexes 53 </p><p> Available indexes 53 13.2</p><p> Quarterly index re-weighting and annual reconstitution 54 13.3</p><p> Corporate actiondriven changes 54 13.4</p><p> How the capacity screen is applied 54 13.5</p><p> Available currencies 55 13.6</p><p> Price and Total Return indexes are calculated. 55 13.7</p><p>14.0 Russell Australia High Dividend Index 56 </p><p> Eligible securities 56 14.2</p><p> Dividend criteria 56 14.3</p><p> Franking credits 57 14.4</p><p> Grossed up dividend calculation 57 14.5</p><p> Franking credits at different tax rates 57 14.6</p><p> The 45-day rule 57 14.7</p><p> Index treatment of franking credits 57 14.8</p><p> Composite yield score 57 14.9</p><p> 3 year average forecast dividend 58 14.10</p><p> 5 year average trailing dividend 58 14.11</p><p> 3 year forecast dividend growth 58 14.12</p><p> 3 year trailing dividend growth 59 14.13</p><p> 5 year standard deviation of annual EPS 59 14.14</p><p> Factor scoring 59 14.15</p><p> Forecasted dividend yield standardized score 59 14.16</p><p> Calculating the universe mean and standard deviation 59 14.17</p><p> Extreme values 60 14.18</p><p> Determining index membership 60 14.19</p><p> Semi-annual reconstitution 61 14.20</p><p> Index maintenance / Corporate action-driven changes 61 14.21</p><p> Available currencies 61 14.22</p><p> Price and Total Return indexes are calculated. 61 14.23</p><p>15.0 Russell Australia High Value Index 62 </p><p> Definition 62 15.1</p><p> Eligible securities 62 15.2</p><p> Style criteria 62 15.3</p><p> Semi-annual reconstitution 63 15.4</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 7 </p><p> Index maintenance / Corporate action-driven changes 63 15.5</p><p> Available currencies 63 15.6</p><p> Price and Total Return indexes are calculated. 63 15.7</p><p>Appendix A: Russell Global Indexes 64 </p><p>Appendix B: Country List 73 </p><p>Appendix C: Eligible Share Classes by Country 76 </p><p>Appendix D: Eligible Stock Exchange/MIC Codes 80 </p><p>Appendix E: Calculation of Free Float 83 </p><p>Appendix F: Assigning Primary Exchange to a Security 85 </p><p>Appendix G: BDIs, NDEs and U.S. Territories 86 </p><p>Appendix H: Country Assignment Methodology Details 87 </p><p>Appendix I: Average Daily Dollar Trading Volume Median 89 </p><p>Appendix J: Predictive Index Data 90 </p><p>Appendix K: Performance Algorithms 91 </p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 8 </p><p>Section 1 </p><p>Introduction </p><p>1.0 Introduction </p><p> FTSE Russell Indexes 1.1</p><p>1.1.1 FTSE Russell provides float-adjusted, market capitalizationweighted indexes for a precise picture of the </p><p>market. Today, $8.6 trillion in assets are benchmarked to the Russell indexes.1 In 2007, Russell applied </p><p>its practical, industry-leading U.S. Index methodology to the worlds equity markets and launched its </p><p>family of global indexes. Covering 78 markets worldwide, we provide comprehensive benchmarks </p><p>covering 98% of investable global equity, making them more representative of the market. </p><p>1.1.2 The Russell Global Index is modular and can be divided into thousands of components by capitalization </p><p>size, region, sector, industry, etc. See Appendix A for a list. </p><p> Available currencies 1.2</p><p>1.2.1 The base currency of the benchmark is US Dollars. Index values may also be published in other </p><p>currencies. </p><p>1.0 FTSE Russell </p><p>1.2.2 FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global </p><p>Debt Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and MTSNext </p><p>Limited), Mergent, Inc., FTSE Fixed Income LLC and The Yield Book Inc. </p><p>1.2.3 FTSE Russell hereby notifies users of the index series that it is possible that circumstances, including </p><p>external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, </p><p>the index series and therefore, any financial contracts or other financial instruments that reference the </p><p>index series or investment funds which use the index series to measure their performance should be </p><p>able to withstand, or otherwise address the possibility of changes to, or cessation of, the index. </p><p>1.2.4 Index users who choose to follow this index series or to buy products that claim to follow this index </p><p>series should assess the merits of the indexs rules-based methodology and take independent </p><p>investment advice before investing their own or client funds. No liability whether as a result of negligence </p><p> 1 U.S. Equity indexes: Institutional Benchmark Survey, December 2016. </p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 9 </p><p>or otherwise is accepted by FTSE Russell for any losses, damages, claims and expenses suffered by </p><p>any person as a result of: </p><p> any reliance on these Construction and Methodology, and/or </p><p> any errors or inaccuracies in these Construction and Methodology, and/or </p><p> any non-application or misapplication of the policies or procedures described in these Construction </p><p>and Methodology, and/or </p><p> any errors or inaccuracies in the compilation of the index or any constituent data. </p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 10 </p><p>Section 2 </p><p>Management Responsibilities </p><p>2.0 Management Responsibilities </p><p> FTSE International Limited (FTSE) 2.1</p><p>2.1.1 FTSE is the benchmark administrator. </p><p>2.1.2 FTSE Russell is responsible for the daily calculation, production and operation of the index series and </p><p>will: </p><p> maintain records of the index weightings of all constituents; </p><p> make changes to the constituents and their weightings in accordance with the Methodology; </p><p> carry out the periodic index reviews of the index series and apply the changes resulting from the </p><p>reviews as required by the Methodology; </p><p> publish changes to the constituent weightings resulting from their ongoing maintenance and the </p><p>periodic reviews; </p><p> disseminate the indexes. </p><p> FTSE Russell External Advisory Committees 2.2</p><p>2.2.1 To assist in the oversight of the indexes FTSE Russell has established the following external advisory </p><p>committees: </p><p> FTSE Russell Asia Pacific Regional Equity Advisory Committee </p><p> FTSE Russell Europe, Middle East &amp; Africa Regional Equity Advisory Committee </p><p> FTSE Russell Americas Regional Equity Advisory Committee </p><p> FTSE Russell Country Classification Advisory Committee </p><p> FTSE Russell Industry Classification Advisory Committee </p><p> FTSE Russell Policy Advisory Board </p><p>2.2.2 The Terms of Reference of the FTSE Russell external advisory committees are set out on the FTSE </p><p>Russell website and can be accessed using the following link: </p><p> Terms of Reference </p><p>http://www.ftse.com/products/indices/terms-of-reference</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 11 </p><p> Amendments to the Methodology 2.3</p><p>2.3.1 This Methodology shall be subject to regular review (at least once a year) by FTSE Russell to ensure </p><p>that they continue to meet the current and future requirements of investors and other index users. Any </p><p>proposals for significant amendments to this Methodology will be subject to consultation with FTSE </p><p>Russell advisory committees and other stakeholders if appropriate. The feedback from these </p><p>consultations will be considered by the FTSE Russell Product Governance Board before approval is </p><p>granted. </p><p>2.3.2 As provided for in the Statement of Principles for FTSE Russell Equity Indexes, where FTSE Russell </p><p>determines that the Methodology is silent or does not specifically and unambiguously apply to the </p><p>subject matter of any decision, any decision shall be based as far as practical on the Statement of </p><p>Principles. After making any such determination, FTSE Russell shall advise the market of its decision at </p><p>the earliest opportunity. Any such treatment will not be considered as an exception or change to the </p><p>Methodology, or to set a precedent for future action, but FTSE Russell will consider whether the Rules </p><p>should subsequently be updated to provide greater clarity. </p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 12 </p><p>Section 3 </p><p>FTSE Russell Index Policies </p><p>3.0 FTSE Russell Index Policies </p><p>These Ground Rules should be read in conjunction with the following policy documents which can be </p><p>accessed using the links below: </p><p> Statement of Principles for FTSE Russell Equity Indexes 3.1</p><p>3.1.1 Indexes need to keep abreast of changing markets and the Russell Index Methodologies cannot </p><p>anticipate every eventuality. Where the Methodology does not fully cover a specific event or </p><p>development, FTSE Russell will determine the appropriate treatment by reference to the Statement of </p><p>Principles which summarizes the ethos underlying FTSE Russells approach to index construction. The </p><p>Statement of Principles is reviewed annually and any changes proposed by FTSE Russell are presented </p><p>to the FTSE Russell Policy Advisory Board for discussion before approval by the FTSE Russell Product </p><p>Governance Board. </p><p>The Statement of Principles can be accessed using the following link: Statement_of_Principles.pdf </p><p> Corporate Actions and Events Guide 3.2</p><p>3.2.1 Full details of changes to constituent companies due to corporate actions and events can be accessed </p><p>in the Corporate Actions and Events Guide using the following link: </p><p>Corporate_Actions_and_Events_Guide.pdf </p><p> Queries, Complaints and Appeals 3.3</p><p>3.3.1 A constituent or prospective constituent company (or professional advisor acting on behalf of the </p><p>company), a national organization or a group of no fewer than ten users of the Indexes from different </p><p>organizations acting in their professional capacity may appeal against decisions taken by FTSE Russell. </p><p>FTSE Russells complaints procedure can be accessed using the following link: </p><p>FTSE_Russell_Benchmark_Determination_Complaints_Handling_Policy.pdf </p><p>FTSE Russells Appeal Process can be accessed using the following link: </p><p>Appeals_Against_Decisions.pdf </p><p>http://www.ftse.com/products/downloads/Statement_of_Principles.pdfhttp://www.ftse.com/products/downloads/Corporate_Actions_and_Events_Guide.pdfhttp://www.ftse.com/products/downloads/FTSE_Russell_Benchmark_Determination_Complaints_Handling_Policy.pdfhttp://www.ftse.com/products/downloads/Appeals_Against_Decisions.pdf</p></li><li><p>FTSE Russell | Russell Global Index Series Construction and Methodology, v4.0, March 2018 13 </p><p> Recalculation Policy and Guidelines 3.4</p><p>3.4.1 The Russell Global Index Series are recalculated whenever errors or distortions occur that are deemed </p><p>t...</p></li></ul>