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 7: Sum of market capitalisation (or market-cap weight) of index constituents weighted by foreign/emerging market exposure (S&P 500) - The table below reports the sum of market capitalisations (or market-cap weight) of index constituents weighted by proportion of sales coming from foreign/emerging markets. 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). In the table below Mcap implies market capitalisation and CW implies cap-weight of index constituent. Σ MCap x Foreign Exposure Σ CW x Foreign Exposure Σ MCap x Emerging Exposure Σ CW x Emerging Exposure 2004 2,852,257 29.96% 868,534 9.12% 2005 3,018,843 30.06% 964,998 9.61% 2006 3,480,065 31.67% 1,190,568 10.83% 2007 4,438,225 33.77% 1,545,782 11.76% 2008 4,211,044 38.02% 1,545,252 13.95% 2009 3,088,392 37.85% 1,178,511 14.44% 2010 3,398,664 37.04% 1,347,844 14.69% 2011 4,690,211 38.74% 1,949,716 16.10% 2012 4,854,328 39.21% 2,065,918 16.69% 2013 5,637,967 38.75% 2,391,347 16.44% STOXX Europe 600: Geographic Exposure Table 8: Non-Developed Europe and Emerging market exposure of Top 50 companies (by market capitalisation weight) in the STOXX Europe 600- The table below lists the non-Developed Europe markets and emerging market sales, as % of total sales, of top 50 companies in the STOXX Europe 600 by market capitalisation. The index constituents and market capitalisation weights are 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-Developed European sales (% of total sales ) Emerging market sales (% of total sales) ABB LTD N 69.17% 34.28% ALLIANZ (XET) 42.54% 18.70% ANHEUSER-BUSCH INBEV 88.08% 41.00% ASTRAZENECA 74.84% 25.49% AXA 41.96% 5.91% BARCLAYS 56.94% 28.09% BASF (XET) 69.29% 28.39% BAYER (XET) 64.50% 30.74% BBV.ARGENTARIA 65.45% 52.73% BANCO SANTANDER 61.97% 56.36% BG GROUP 67.68% 23.25% BHP BILLITON 90.06% 52.14% BMW (XET) 69.08% 37.24% BNP PARIBAS 31.17% 14.96% BP 65.71% 20.41% BRITISH AMERICAN TOBACCO 77.50% 45.14% RICHEMONT N 76.51% 44.49% DAIMLER (XET) 68.88% 24.59% DANONE 55.21% 25.88% DEUTSCHE BANK (XET) 42.88% 17.52% DEUTSCHE TELEKOM (XET) 35.05% 4.62%

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An EDHEC-Risk Institute Publication