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 25: Sum of market capitalisations (or market-cap weights) of index constituents weighted by foreign/emerging market exposure (STOXX Europe 50) - The table below reports the sum of market capitalisations (or market-cap weights) 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 1,379,298 48.44% 355,426 12.48% 2005 1,523,741 48.03% 423,511 13.35% 2006 1,733,551 46.41% 546,135 14.62% 2007 2,111,064 44.79% 753,324 15.98% 2008 1,920,302 45.77% 788,945 18.80% 2009 1,400,434 47.40% 626,891 21.22% 2010 1,516,915 52.16% 658,081 22.63% 2011 2,137,090 56.55% 934,319 24.72% 2012 1,975,914 62.14% 873,340 27.47% 2013 2,460,613 64.62% 1,070,452 28.11% FTSE 100: Geographic Exposure Table 26: Non-UK and Emerging market exposure of companies in FTSE 100 - The table below lists the non-UK and emerging market sales, as % of total sales, of companies in the FTSE 100. 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-UK sales (% of total sales ) Emerging market sales (% of total sales) ANTOFAGASTA 99.42% 42.28% ARM HOLDINGS 85.81% 13.61% ASSOCIATED BRIT.FOODS 57.17% 18.91% ASTRAZENECA 93.41% 25.49% BAE SYSTEMS 76.33% 18.41% BARCLAYS 69.90% 28.09% BG GROUP 83.88% 23.25% BHP BILLITON 98.68% 52.14% BP 79.93% 20.41% BRITISH AMERICAN TOBACCO 100.00% 45.14% BRITISH SKY BCAST.GP. 6.16% 2.02% BT GROUP 23.52% 7.03% BURBERRY GROUP 74.63% 32.89% CAPITA 3.58% 1.18% CENTRICA 29.03% 2.40% COMPASS GROUP 95.86% 19.70% EXPERIAN 83.09% 27.04% FRESNILLO 100.00% 100.00% GLAXOSMITHKLINE 94.23% 28.20% GLENCORE 92.68% 30.05% HSBC HDG. (ORD $0.50) 95.63% 26.91% ITV 13.71% 4.51% JOHNSON MATTHEY 66.79% 19.79%

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An EDHEC-Risk Institute Publication