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 28: Companies in FTSE 100 with highest exposure to emerging markets - The table below lists the companies in the FTSE 100 which have the 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 FRESNILLO 100.00% 43 RANDGOLD RESOURCES 100.00% 75 TULLOW OIL 89.80% 33 VEDANTA RESOURCES 83.24% 87 PETROFAC 73.05% 65 BHP BILLITON 52.14% 13 RECKITT BENCKISER GROUP 50.10% 16 RIO TINTO 49.53% 10 G4S 49.24% 82 BRITISH AMERICAN TOBACCO 45.14% 6 Table 29: Weight of stocks with > 50% and < 50% UK exposure in FTSE 100 - The table below reports weights of stocks in the FTSE 100 with more than 50% and less than 50% exposure to the UK. 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% UK exposure Weight of stocks with < 50% UK exposure 2004 28.85% 71.15% 2005 29.11% 70.89% 2006 31.91% 68.09% 2007 33.16% 66.84% 2008 21.85% 78.15% 2009 18.35% 81.65% 2010 16.55% 83.45% 2011 15.73% 84.27% 2012 14.75% 85.25% 2013 16.80% 83.20% Table 30: Weight of stocks with > 50% and < 50% Emerging market exposure in FTSE 100 - The table below reports weights of stocks in the FTSE 100 with more than 50% and less than 50% exposure to Emerging markets. 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% Emerging market exposure Weight of stocks with < 50% Emerging market exposure 2004 2.33% 97.67% 2005 2.05% 97.95% 2006 3.53% 96.47% 2007 3.77% 96.23% 2008 8.18% 91.82% 2009 4.74% 95.26% 2010 3.49% 96.51% 2011 3.84% 96.16% 2012 11.20% 88.80% 2013 6.56% 93.44%

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An EDHEC-Risk Institute Publication