FTSE Russell Factsheet

FTSE North America All Cap Choice Index

Data as at: 31 October 2022
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The FTSE North America All Cap Choice Index measures the performance of the FTSE North FEATURES
America All Cap Index after excluding companies involved in Vice Products (Adult Entertainment,
Alcohol, Gambling, Tobacco), Non-Renewable Energy (Nuclear Power, Fossil Fuels), and Objective
Weapons (Civilian Firearms, Controversial Military Weapons, Conventional Military Weapons). The index is designed for use in the creation
Companies are also excluded based on Controversial Conduct. of index tracking funds, derivatives and as a
The index is part of the FTSE Global Choice Index Series, which is designed to help investors
performance benchmark.
align their values with their investment choices by selecting companies based on the impact of
their products and conduct on society and the environment. Investability

5-Year Performance - Total Return Stocks are selected and weighted to ensure
(USD) that the index is investable.
220 Liquidity
200
Stocks are liquidity screened to ensure that
180
the index is tradable.
160
140 Transparency
120
Index methodologies are freely available on
100
the FTSE Russell website.
80
Oct-2017 Oct-2018 Oct-2019 Oct-2020 Oct-2021 Oct-2022 Availability
Data as at month end
The index is calculated based on price and
FTSE North America All Cap Choice FTSE North America All Cap Choice Net Tax FTSE North America All Cap total return methodologies with end-of-day
pricing.

Performance and Volatility - Total Return Industry Classification Benchmark

(ICB)
Index (USD) Return % Return pa %* Volatility %**

3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR

Index constituents are categorized in

FTSE North America All Cap Choice -7.3 -7.6 -22.8 -20.9 31.2 63.4 9.5 10.3 24.5 23.7 19.1
accordance with the Industry Classification

FTSE North America All Cap Choice Net

Benchmark (ICB), the global standard for
-7.4 -7.8 -23.1 -21.2 29.6 59.7 9.0 9.8 24.5 23.7 19.1
Tax industry sector analysis.
FTSE North America All Cap -5.7 -5.8 -18.3 -16.4 31.9 59.0 9.7 9.7 22.9 23.6 19.0

* Compound annual returns measured over 3 and 5 years respectively

** Volatility – 1YR based on 12 months daily data. 3YR based on weekly data (Wednesday to Wednesday). 5YR based on monthly data

Year-on-Year Performance - Total Return

Index % (USD) 2017 2018 2019 2020 2021
FTSE North America All Cap
24.4 -4.0 33.2 26.2 26.1
Choice

FTSE North America All Cap

23.7 -4.5 32.5 25.6 25.6
Choice Net Tax

FTSE North America All Cap 21.2 -5.9 31.2 20.3 25.8

Source: FTSE Russell as at 31 October 2022. Past performance is no guarantee of future results. 1 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
FTSE North America All Cap Choice Index Data as at: 31 October 2022

Return/Risk Ratio and Drawdown - Total Return INFORMATION

Index (USD) Return/Risk Ratio Drawdown (%)
Index Universe
1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR
FTSE North America All Cap Index
FTSE North America All Cap Choice -0.8 0.4 0.5 - -28.8 -33.7 -33.7 -

FTSE North America All Cap Choice Net Tax -0.8 0.4 0.5 - -29.0 -33.8 -33.8 - Index Launch
FTSE North America All Cap -0.7 0.4 0.5 0.8 -24.9 -35.3 -35.3 -35.3 3/18/2022

Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table
Base Date
Drawdown - based on daily data
3/18/2022
Top 10 Constituents Base Value
Constituent Country ICB Sector Net MCap (USDm) Wgt %
1000
Apple Inc. USA Technology Hardware and Equipment 2,342,445 7.33
Investability Screen
Microsoft Corp USA Software and Computer Services 1,735,205 5.43

Amazon.Com USA Retailers 909,614 2.85

Actual free float applied and liquidity

Tesla USA Automobiles and Parts 578,248 1.81

screened

Alphabet Class A USA Software and Computer Services 567,945 1.78 Index Calculation
Unitedhealth Group USA Health Care Providers 518,759 1.62 End-of-day availability
Alphabet Class C USA Software and Computer Services 510,846 1.60
End-of-Day Distribution
JPMorgan Chase & Co USA Banks 366,807 1.15
Via SFTP and email
Visa USA Industrial Support Services 340,713 1.07

Nvidia USA Technology Hardware and Equipment 324,721 1.02 Currency

Totals 8,195,302 25.66 USD, GBP, EUR, JPY, AUD, CNY, HKD, CAD

Review Dates
Country Breakdown
Quarterly in March, June, Sept, Dec
FTSE North America All Cap Choice FTSE North America All Cap

Country No. of Cons Net MCap (USDm) Wgt % No. of Cons Net MCap (USDm) Wgt %

Canada 129 1,284,579 4.02 180 1,902,493 4.78

USA 1508 30,655,866 95.98 1808 37,890,846 95.22

Totals 1637 31,940,445 100.00 1988 39,793,339 100.00

ICB Supersector Breakdown

ICB Code ICB Supersector No. of Cons Net MCap (USDm) Wgt %
1010 Technology 231 8,926,296 27.95

1510 Telecommunications 37 946,058 2.96

2010 Health Care 231 4,909,093 15.37

3010 Banks 115 1,858,652 5.82

3020 Financial Services 95 1,354,527 4.24

3030 Insurance 66 1,030,596 3.23

3510 Real Estate 149 1,231,261 3.85

4010 Automobiles and Parts 26 796,505 2.49

4020 Consumer Products and Services 101 797,866 2.50

4030 Media 34 504,682 1.58

4040 Retailers 62 2,218,803 6.95

4050 Travel and Leisure 54 784,592 2.46

4510 Food Beverage and Tobacco 48 1,085,640 3.40

4520 Personal Care Drug and Grocery Stores 29 827,167 2.59

5010 Construction and Materials 35 220,738 0.69

5020 Industrial Goods and Services 204 3,348,162 10.48

5510 Basic Resources 50 303,822 0.95

5520 Chemicals 30 446,150 1.40

6010 Energy 13 96,285 0.30

6510 Utilities 27 253,550 0.79

Totals 1637 31,940,445 100.00

Source: FTSE Russell as at 31 October 2022. Past performance is no guarantee of future results. 2 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
FTSE North America All Cap Choice Index Data as at: 31 October 2022

Index Characteristics
Attributes FTSE North America All Cap Choice FTSE North America All Cap
Number of constituents 1637 1988

Net MCap (USDm) 31,940,445 39,793,339

Dividend Yield % 1.54 1.75

Constituent Sizes (Net MCap USDm)

Average 19,512 20,017

Largest 2,342,445 2,342,445

Smallest 134 134

Median 3,798 4,134

Weight of Largest Constituent (%) 7.33 5.89

Top 10 Holdings (% Index MCap) 25.66 21.27

31 October 2022

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Source: FTSE Russell as at 31 October 2022. Past performance is no guarantee of future results. 3 of 3
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.