Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios

Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios — March 2015

Appendix

Table 1: Special regions- The table below lists the source we used to define those specific regions that are reported by companies but are not defined in the United Nations country classification. Geographic region Source of data Central and Eastern Europe http://stats.oecd.org/glossary/detail.asp?ID=303 European Union http://europa.eu/about-eu/countries/index_en.htm CIS http://stats.oecd.org/glossary/detail.asp?ID=392 OECD http://www.oecd.org/about/membersandpartners/list-oecd-member-countries.htm Eurozone http://www.eurozone.europa.eu/euro-area/euro-area-member-states/ Pacific http://www.scientificbeta.com/#/tab/article/eri-scientific-beta-universe-construction-rules EU-15 http://www.oecd.org/newsroom/36371703.pdf (130000) Balkans http://www.worldatlas.com/webimage/countrys/europe/balkans.htm Baltic http://www.worldatlas.com/webimage/countrys/europe/baltic.htm Nordic https://unstats.un.org/unsd/dnss/docViewer.aspx%3FdocID%3D2764+&cd=1&hl=en&ct=clnk Persian Gulf http://www.worldatlas.com/aatlas/infopage/persiangulf.htm Scandinavia http://www.worldatlas.com/webimage/countrys/europe/euscan.htm S&P 500: Geographic Exposure Table 2: Non United States and Emerging market exposure of Top 50 companies (by market capitalisation weight) in S&P 500 - The table below lists the non-United States and emerging market sales, as % of total sales, of the top 50 companies in the S&P 500 by market capitalisation. The index constituents and market capitalisation weight is as of end of June 2013, for which sales data is taken for fiscal year 2012. The source of geographic segmentation data is DataStream (Worldscope). If a company reports sales for a geography (other than country-level sales), we break down geographic sales to country-level sales based on the GDP weight of the country with the geography (see Section 1). Non-US sales (% of total sales ) Emerging market sales (% of total sales) 3M 64.82% 30.73% AT&T 0.00% 0.00% ABBVIE 40.50% 11.02% ALTRIA GROUP 0.00% 0.00% AMAZON.COM 47.79% 18.95% AMERICAN EXPRESS 29.51% 14.46% AMERICAN INTL.GP. 29.68% 12.90% AMGEN 22.30% 9.47% APPLE 61.06% 30.92% BANK OF AMERICA 13.39% 5.30% BOEING 54.46% 30.96% BRISTOL MYERS SQUIBB 39.96% 12.29% CVS HEALTH 0.00% 0.00% CISCO SYSTEMS 42.47% 14.88% CITIGROUP 57.99% 36.09% COCA COLA 51.12% 20.96% COMCAST A 0.00% 0.00% CONOCOPHILLIPS 47.60% 6.70% EXXON MOBIL 66.61% 28.36% GENERAL ELECTRIC 52.24% 16.77% GILEAD SCIENCES 42.37% 9.79%

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An EDHEC-Risk Institute Publication