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 4: Companies in S&P 500 with highest exposure to emerging markets - The table below lists the companies which have highest exposure (% of sales) to emerging markets. The table also lists the cap-weighted rank of the stock in the index. The index constituents and market capitalisation are as of June-end 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). Name Emerging market sales (% of total sales) Cap-weighted rank WYNN RESORTS 71.15% 271 DIAMOND OFFS.DRL. 69.66% 333 AES 67.30% 350 JABIL CIRCUIT 64.22% 457 ADVANCED MICRO DEVC. 62.33% 483 MICRON TECHNOLOGY 60.28% 239 YUM! BRANDS 59.18% 111 PHILIP MORRIS INTL. 58.19% 18 NVIDIA 57.58% 367 SANDISK 56.40% 238 Table 5: Weight of stocks with > 50% and < 50% United States exposure in S&P 500- The table below reports weights of stocks in the S&P 500 with more than 50% and less than 50% exposure to United States. The weights represent market capitalisation weights at the end of June every year. The currency used is US $. The exposure is calculated using segment sales data for the previous fiscal year. The source of geographic segmentation data is DataStream (Worldscope). Weight of stocks with > 50% US exposure Weight of stocks with < 50% US exposure 2004 83.50% 16.50% 2005 81.63% 18.37% 2006 76.97% 23.03% 2007 74.06% 25.94% 2008 63.76% 36.24% 2009 62.91% 37.09% 2010 62.40% 37.60% 2011 59.61% 40.39% 2012 56.20% 43.80% 2013 59.89% 40.11% Table 6: Weight of stocks with > 50% and < 50% Emerging market exposure in S&P 500- The table below reports weights of stocks in the S&P 500 with more than 50% and less than 50% exposure to Emerging markets. The weights represents market capitalisation weights at the end of June every year. The currency used is US $. The exposure is calculated using segment sales data for the previous fiscal year. The source of geographic segmentation data is DataStream (Worldscope). Weight of stocks with > 50% Emerging market exposure Weight of stocks with < 50% Emerging market exposure 2004 0.10% 99.90% 2005 0.40% 99.60% 2006 0.48% 99.52% 2007 0.58% 99.42% 2008 1.72% 98.28% 2009 1.86% 98.14% 2010 1.22% 98.78% 2011 2.49% 97.51% 2012 2.69% 97.31% 2013 2.87% 97.13%

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An EDHEC-Risk Institute Publication