I NDEX G UIDELINE
Solactive Global Factor Series [GFS]

Version 2.3
19 June 2024

INDEX GUIDELINETABLE OF CONTENTS
Introduction .............................................................................................................................................................................................................................. 3
1.

Index Specifications ................................................................................................................................................................................................... 4
1.1.

Scope of the Index ................................................................................................................................................................................................ 4

1.2.

Identifiers and Publication ................................................................................................................................................................................ 4

1.3.

Initial Level of the Index ..................................................................................................................................................................................... 4

1.4.

Prices and calculation frequency ................................................................................................................................................................... 5

1.5.

Licensing.................................................................................................................................................................................................................. 52.

Index Selection ............................................................................................................................................................................................................ 6
2.1.

Index Universe Requirements........................................................................................................................................................................... 6

2.2.

Selection of the Index Components ............................................................................................................................................................... 6

2.3.

Weighting of the Index Components ............................................................................................................................................................. 11

3.

Rebalance ....................................................................................................................................................................................................................13
3.1.

Ordinary Rebalance ............................................................................................................................................................................................13

3.2.

Extraordinary Rebalance ..................................................................................................................................................................................13

4.

Calculation of the Index ..........................................................................................................................................................................................14
4.1.

Index formula ........................................................................................................................................................................................................14

4.2.

Accuracy .................................................................................................................................................................................................................144.3. Adjustments ..........................................................................................................................................................................................................144.4. Corporate actions ................................................................................................................................................................................................15
4.5. Recalculation ........................................................................................................................................................................................................16
4.6. Market Disruption ................................................................................................................................................................................................16
5.

Miscellaneous ............................................................................................................................................................................................................. 17
5.1.

Discretion ............................................................................................................................................................................................................... 17

5.2.

Methodology Review........................................................................................................................................................................................... 175.3. Changes in calculation method ...................................................................................................................................................................... 175.4. Termination ...........................................................................................................................................................................................................18
5.5.

Oversight ................................................................................................................................................................................................................18

6.

Definitions ....................................................................................................................................................................................................................19

7.

Factor Definitions ...................................................................................................................................................................................................... 21
7.1.

Value ........................................................................................................................................................................................................................ 21

7.2.

Quality ..................................................................................................................................................................................................................... 21

7.3.

Momentum ........................................................................................................................................................................................................... 22
2

Version 2.3 – 19 June 2024

INDEX GUIDELINE

7.4.

Low Volatility ....................................................................................................................................................................................................... 22

7.5.

Low Size ................................................................................................................................................................................................................. 22

7.6.

Growth .................................................................................................................................................................................................................... 22

7.7.

Quality style.......................................................................................................................................................................................................... 23

8.

Index Characteristics .............................................................................................................................................................................................. 25
8.1.

Starting universe ................................................................................................................................................................................................ 25

8.2.

Weighting .............................................................................................................................................................................................................. 27

8.3. Selection and Weighting – Quality Style .................................................................................................................................................... 28
8.4. Multifactor Weighting ....................................................................................................................................................................................... 28
9.

History of Index Changes ....................................................................................................................................................................................... 29

Contact .....................................................................................................................................................................................................................................30

INTRODUCTION
This document (the “GUIDELINE”) is to be used as a guideline with regard to the composition, calculation andmaintenance of the SOLACTIVE GLOBAL FACTOR SERIES INDICES (the “INDICES” and individually the “INDEX”). Anyamendments to the rules made to the GUIDELINE are approved by the OVERSIGHT COMMITTEE specified in
Section 5.5. The INDICES are owned, calculated, administered and published by Solactive AG (“SOLACTIVE”)
assuming the role as administrator (the “INDEX ADMINISTRATOR”) under the Regulation (EU) 2016/1011 (the“BENCHMARK REGULATION” or “BMR”). The name “Solactive” is trademarked.

The text uses defined terms which are formatted with “SMALL CAPS”. Such Terms shall have the meaning
assigned to them as specified in Section 6 (Definitions).
The GUIDELINE and the policies and methodology documents referenced herein contain theunderlying principles and rules regarding the structure and operation of the INDICES. SOLACTIVE does
not offer any explicit or tacit guarantee or assurance, neither pertaining to the results from the useof the INDICES nor the level of the INDICES at any certain point in time nor in any other respect.
SOLACTIVE strives to the best of its ability to ensure the correctness of the calculation. There is no
obligation for SOLACTIVE – irrespective of possible obligations to issuers – to advise third parties,
including investors and/or financial intermediaries, of any errors in the INDICES. The publication of
the INDICES by SOLACTIVE does not constitute a recommendation for capital investment and does notcontain any assurance or opinion of SOLACTIVE regarding a possible investment in a financial
instrument based on these INDICES.

3

Version 2.3 – 19 June 2024

INDEX GUIDELINE

1.

INDEX SPECIFICATIONS

1.1.

SCOPE OF THE INDEX

Category
Asset Class
Strategy
Regional Allocation
Rebalancing Frequency

Description
EquityThe INDICES aim to provide exposure to a range of equity risk
factors for various segments of the global stock market.
Global Markets
Semi-annually

1.2. IDENTIFIERS AND PUBLICATION
Details on the individual INDICES (identifiers, currencies and return versions) of the Solactive Global Factor
Series are contained in the list of published GFS INDICES available on the SOLACTIVE website:
https://solactive.com/downloads/Solactive_GFS_List_of_Published_Indices.pdf.
The INDICES are published on the website of the INDEX ADMINISTRATOR (www.solactive.com) and are, in
addition, available via the price marketing services of Boerse Stuttgart GmbH and may be distributed to allof its affiliated vendors. Each vendor decides on an individual basis as to whether it will distribute or display
the INDICES via its information systems.
Any publication in relation to the INDICES (e.g. notices, amendments to the GUIDELINE) will be available at thewebsite of the INDEX ADMINISTRATOR: https://www.solactive.com/news/announcements/.

1.3. INITIAL LEVEL OF THE INDEXThe initial level of the INDICES on the START DATE, is 1000. Historical values from the LIVE DATE, will berecorded in accordance with Article 8 of the BMR. Levels of the INDICES published for a period prior to theLIVE DATE have been back-tested. The START DATE and LIVE DATE of each INDEX is stated in the list of
published GFS Indices available on the SOLACTIVE website:
https://solactive.com/downloads/Solactive_GFS_List_of_Published_Indices.pdf.

4

Version 2.3 – 19 June 2024

INDEX GUIDELINE

1.4. PRICES AND CALCULATION FREQUENCY
The level of the INDICES are calculated on each CALCULATION DAY from 9:00 a.m. to 10:50 p.m. CET based on
the TRADING PRICES on the EXCHANGES on which the INDEX COMPONENTS are listed. TRADING PRICES of INDEXCOMPONENTS not listed in the INDEX CURRENCY are converted using the current Intercontinental Exchange(ICE) spot foreign exchange rate. Should there be no current TRADING PRICE for an INDEX COMPONENT, the laterof: (i) the most recent CLOSING PRICE; or (ii) the last available TRADING PRICE for the preceding TRADING DAY isused in the calculation.
In addition to the intraday calculation a closing level of the INDICES for each CALCULATION DAY is also
calculated. This closing level is based on the CLOSING PRICES for the INDEX COMPONENTS on the respective
EXCHANGES on which the INDEX COMPONENTS are listed. The CLOSING PRICES of INDEX COMPONENTS not listed in
the INDEX CURRENCY are converted using the 04:00 p.m. London time rates provided by WM/ Refinitiv (the“WM/ Refinitiv Rate”). If there is no 04:00 p.m. London time WM/ Refinitiv Rate for the relevant CALCULATION
DAY, the last available 04:00 p.m. London time WM/Refinitiv Rate will be used for the closing levelcalculation.

1.5. LICENSING
Licenses to use the INDICES as the underlying value for financial instruments, investment funds andfinancial contracts may be issued to stock exchanges, banks, financial services providers and investment
houses by SOLACTIVE.

5

Version 2.3 – 19 June 2024

INDEX GUIDELINE

2.

INDEX SELECTION

On each SELECTION DAY, the INDEX ADMINISTRATOR will revise the composition of the INDICES.
In a first step, the INDEX ADMINISTRATOR determines the INDEX UNIVERSE in accordance with Section 2.1. The
INDEX UNIVERSE comprises all those financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS (asspecified in Section 2.1) and will constitute a starting pool from which the components of the INDICES will
be selected. Based on this INDEX UNIVERSE, the new composition of the INDICES will be determined by applying
the rules outlined in Section 2.2.
Each new INDEX COMPONENT will be assigned a weight as described in Section 2.3.

2.1.

INDEX UNIVERSE REQUIREMENTS

The INDEX UNIVERSE is comprised of all financial instruments which fulfill the below requirements on the
SELECTION DAY (the “INDEX UNIVERSE REQUIREMENTS“):-

Is a member of the STARTING UNIVERSE of the respective INDEX as defined in Section 8.1

The determination of the INDEX UNIVERSE is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decisions.

2.2. SELECTION OF THE INDEX COMPONENTS
Based on the INDEX UNIVERSE, the initial composition of the INDICES as well as any selection for an ordinary
rebalance is determined on the SELECTION DAY in accordance with the following rules:
1. The raw factor score(s) of the respective factor are calculated as defined in Section 7
2. Each raw factor score is winsorized at a 3% level. This means values below the 3rd percentile will
be set equal to the 3rd percentile, and values above the 97th percentile will be set equal to the 97th
percentile
3. A Z-score is calculated to standardize each raw factor score. In case of sector neutral INDICES the
Z-score is calculated within each sector. Meaning the average and standard deviation arecalculated for each respective sector separately as opposed to the entire universe𝑍=(𝑥 − 𝜇)𝜎4. Z-scores are capped at a lower bound of -3 and an upper bound of 3. If a Z-score is missing thesecurity is not eligible for inclusion
5. The following Z-scores are multiplied with -1 such that lower values get the higher score:o Volatility
6

Version 2.3 – 19 June 2024

INDEX GUIDELINEo Investmento Size6. In case the respective factor is defined using more than one raw factor score, the final factor Zscore is defined as the average of all raw factor Z-scores
7. The final factor score is defined as follows (except for the indices part of the Value-Growth Style
series):1 + 𝑍,
1
𝐹={
,
1−𝑍

𝑍>0
𝑍≤0

8. Only one share class of each company is eligible for inclusion. If multiple share classes are part of
the INDEX UNIVERSE, the most liquid share class (as determined by the minimum of the 1-month and6-months AVERAGE DAILY VALUE TRADED) is eligible. To reduce turnover a security only replaces
another share class in case its AVERAGE DAILY VALUE TRADED is 25% larger than the previously
eligible share class. Indices that are part of the Value-Growth Style series can have multiple
share classes included in the INDEX
9. The final selection is performed based on the following steps, depending on if the index is part ofthe default factors or the Value-Growth Style series:
Default Factor Selection
The number of securities to include into the INDEX is determined by taking 30% of the number of
securities in the underlying STARTING UNIVERSE. This number is rounded to the nearest integer. If
this results in less than 30 securities, the number of securities will be set equal to 30,
All eligible securities from the INDEX UNIVERSE that rank highest in terms of final factor score will
be included in the INDEX to reach the defined number of securities. A buffer rule is applied during
each subsequent rebalance to reduce turnover. Securities already part of the INDEX have to rankoutside of the rank 1.2 times the required number of securities to be excluded. New securities
have to rank within the rank 0.8 times the required number of securities to be included. If thisresults in less/more than the required number of securities, securities will be added/removed
according to the final factor score to end up with the required number of securities. If two
securities have the same final factor score, the one with the higher FREE FLOAT MARKET
CAPITALIZATION in USD is selected.
Top Percentage Factor Selection
The number of securities to include into the INDEX is determined by taking the percentage
specified in the respective index name of the number of securities in the underlying STARTING
UNIVERSE. This number is rounded to the nearest integer.
7

Version 2.3 – 19 June 2024

INDEX GUIDELINEAll eligible securities from the INDEX UNIVERSE that rank highest in terms of final factor score will
be included in the INDEX to reach the defined number of securities. A buffer rule is applied during
each subsequent rebalance to reduce turnover. Securities already part of the INDEX have to rankoutside of the rank 1.2 times the required number of securities to be excluded. New securities
have to rank within the rank 0.8 times the required number of securities to be included. If thisresults in less/more than the required number of securities, securities will be added/removed
according to the final factor score to end up with the required number of securities. If two
securities have the same final factor score, the one with the higher FREE FLOAT MARKET
CAPITALIZATION in USD is selected.
Value-Growth Style Selection
The Z-scores of the value and growth factors are combined in the following way:
𝑍𝑉𝑎𝑙𝑢𝑒𝐺𝑟𝑜𝑤𝑡ℎ =𝑍𝑉𝑎𝑙𝑢𝑒 − 𝑍𝐺𝑟𝑜𝑤𝑡ℎ2

All eligible securities from the INDEX UNIVERSE that have a final factor score above the 70th
percentile, will be included in the Value INDEX. Eligible securities from the INDEX UNIVERSE that havea final factor score below the 30th percentile, will be included in the Growth INDEX. All securities
between the 30th and 70th percentile are included in both the Value INDEX and the Growth INDEX.
Value-Growth Style MV Selection
The Z-scores of the value and growth factors are combined in the following way:
𝑍𝑉𝑎𝑙𝑢𝑒𝐺𝑟𝑜𝑤𝑡ℎ =𝑍𝑉𝑎𝑙𝑢𝑒 − 𝑍𝐺𝑟𝑜𝑤𝑡ℎ2

All eligible securities from the INDEX UNIVERSE receive a rank between 0 and 1 by descending final
factor score. Securities already part of the INDEX require a rank change of at least 0.1 compared tothe previous SELECTION DAY to change ranks at the SELECTION DAY. Starting from the security withthe highest final score, securities that score above the 75th percentile by combined FREE FLOATMARKET CAPITALIZATION are included in the Value INDEX. Securities scoring below the 25th percentile
by combined FREE FLOAT MARKET CAPITALIZATION are assigned to the Growth INDEX. All securities
between the 25th and 75th percentile are included in both the Value INDEX and the Growth INDEX.
Quality Style Selection
The number of securities to include into the INDEX is determined according to the fixed number
specified in Table 8.3 for the respective STARTING UNIVERSE.
All eligible securities from the INDEX UNIVERSE that rank highest in terms of final factor score will
be included in the INDEX to reach the defined number of securities. A buffer rule is applied during
8

Version 2.3 – 19 June 2024

INDEX GUIDELINE

each subsequent rebalance to reduce turnover. Securities already part of the INDEX have to rankoutside of the rank 1.2 times the required number of securities to be excluded. New securities
have to rank within the rank 0.8 times the required number of securities to be included. If thisresults in less/more than the required number of securities, securities will be added/removed
according to the final factor score to end up with the required number of securities. If two
securities have the same final factor score, the one with the higher FREE FLOAT MARKET
CAPITALIZATION in USD is selected.
Multifactor Selection
The Z-scores are computed for the factors defined in Table 8.4.
Z-scores standard deviations for each factor are ranked within each country and each sector
bucket of the INDEX UNIVERSE. Securities factor scores are selected as eligible within each country
and each sector bucket, whenever the factor’s standard deviation rank is greater than a cut-off of
0.5 within the respective bucket. If a bucket is eligible, the respective securities factor score
corresponds to two times the rank of the Z-score within the bucket it is assigned to. In case abucket is not eligible, the respective securities receive a factor score of 1 for this bucket andfactor. The final factor score is then computed as the average of the individual factor scores foreach security as computed in the step before.
The number of securities to include into the INDEX is determined by taking the top percentage ofthe number of securities in the underlying STARTING UNIVERSE as defined in Table 8.4. This number
is rounded to the nearest integer.
All eligible securities from the INDEX UNIVERSE that rank highest in terms of final factor score will
be included in the INDEX to reach the defined number of securities. A buffer rule is applied during
each subsequent rebalance to reduce turnover. Securities already part of the INDEX have to rankoutside of the rank 1.2 times the required number of securities to be excluded. New securities
have to rank within the rank 0.8 times the required number of securities to be included. If thisresults in less/more than the required number of securities, securities will be added/removed
according to the final factor score to end up with the required number of securities. If two
securities have the same final factor score, the one with the higher FREE FLOAT MARKET
CAPITALIZATION in USD is selected.
Example:Starting universe with Y securities, N countries, M sectors and K factors for the multifactor
selection. For each factor, the Z-scores are grouped within buckets of countries and sectors. For
each bucket, the standard deviation of the Z-scores is computed and the values are then ranked
within each group of countries and sectors. The bucket is eligible if the rank of the Z-score
9

Version 2.3 – 19 June 2024

INDEX GUIDELINE

standard deviation is above a cut-off of 0.5 within the respective bucket. This selection criteria
implies that the respective factors are significantly impactful for the eligible buckets.

Securities are assigned a value of two times the rank of the Z-scores within the bucket they
belong to, if the bucket is eligible, 1 otherwise.

Assuming a scenario with the exemplary securities A, B and Y. The securities countries areclassified as United States, Germany and United States respectively. The sectors are classified as
Technology, Healthcare and Technology respectively. Factor A is defined as Value.
In this example, securities A and Y belong to buckets United States and Technology which are both
eligible for the Value factor A, because the rank of the standard deviation is above the cut-off forboth buckets, meaning that the value factor is found to have significant impact for the country(United States) and sector (Technology) buckets. Hence, the assigned values are equal to two times
the rank of the Z-scores of the Value factor A within the buckets. On the other hand, Germany is not
eligible for factor A, as the dispersion of the factor within that bucket is ranked below the cut-off
of 0.5, hence, security B (which belongs to this country bucket) has a value of 1.
Specifically let’s suppose security Y has a Z-score for factor A of 2.7, that ranks 0.9 in the UnitedStates bucket and 0.8 in the Technology bucket. Therefore, its final factor score is 1.8 for UnitedStates and 1.6 for Technology. The final factor score for factor A is then computed as the averageof these two scores, giving a result of 1.7, as shown in the table above.
10

Version 2.3 – 19 June 2024

INDEX GUIDELINE(the “INDEX COMPONENT REQUIREMENTS“)
The selection of the INDEX COMPONENTS is fully rule-based and the INDEX ADMINISTRATOR cannot make any
discretionary decision.

2.3. WEIGHTING OF THE INDEX COMPONENTS
On each SELECTION DAY each INDEX COMPONENT is assigned a weight according to the weighting type specified
in Section 8.2. The various weighting types are defined below.
Adjusted Free Float Market Capitalization
Each security is assigned a weight as of the SELECTION DAY according to the product of the final factor scoreand FREE FLOAT MARKET CAPITALIZATION. Weights should be at least 0.01% or are capped at the lower of the
MAXIMUM WEIGHT and 20 times the weight of the security in the underlying STARTING UNIVERSE. In case of
sector neutral INDICES the sector weights are additionally capped at the sector weight in the underlying
STARTING UNIVERSE plus 5%. Any excess weight resulting from the capping is redistributed pro-rata among
the remaining securities.
Free Float Market Capitalization
Each security is assigned a weight as of the SELECTION DAY according to FREE FLOAT MARKET CAPITALIZATION.
Weights should be at least 0.01% or are capped at the lower of MAXIMUM WEIGHT and 20 times the weight ofthe security in the underlying STARTING UNIVERSE. In case of sector neutral INDICES the sector weights are
additionally capped at the sector weight in the underlying STARTING UNIVERSE plus 5%. Any excess weight
resulting from the capping is redistributed pro-rata among the remaining securities.
Inverse Volatility
Each security is assigned a weight as of the SELECTION DAY according to the inverse of Volatility. Weights
should be at least 0.01% or are capped at MAXIMUM WEIGHT. In case of sector neutral INDICES the sector
weights are additionally capped at the sector weight in the underlying STARTING UNIVERSE plus 5%. Any
excess weight resulting from the capping is redistributed pro-rata among the remaining securities.
Equal Weight
Each security is assigned an equal weight as of the SELECTION DAY.

11

Version 2.3 – 19 June 2024

INDEX GUIDELINE

Value-Growth Style
Each security is assigned a weight as of the SELECTION DAY according to FREE FLOAT MARKET CAPITALIZATION.
The FREE FLOAT MARKET CAPITALIZATION is adjusted to reflect how close a stock belongs to the value or
growth style. Securities that are purely assigned to the Value or the Growth INDEX receive 100% of FREEFLOAT MARKET CAPITALIZATION in that INDEX. Securities that are part of both the Value and Growth INDEX are
percentile-ranked based on the value-growth score. This percentile is multiplied by the FREE FLOAT MARKET
CAPITALIZATION to determine the FREE FLOAT MARKET CAPITALIZATION assigned to the Value INDEX. The
remaining FREE FLOAT MARKET CAPITALIZATION of the security is assigned to the Growth INDEX. The sum of
FREE FLOAT MARKET CAPITALIZATION of each security in the Value and Growth INDEX sums up to 100%.

Value-Growth Style MV
Each security is assigned a weight as of the SELECTION DAY according to FREE FLOAT MARKET CAPITALIZATION.
The FREE FLOAT MARKET CAPITALIZATION is adjusted to reflect how close a stock belongs to the value or
growth style. Securities that are purely assigned to the value or the Growth INDEX receive 100% of FREEFLOAT MARKET CAPITALIZATION in that index. Securities that are part of both the Value and Growth INDEX areranked based on the value-growth score. The ranks are rescaled using an exponential distributionfunction between the 75th and 25th percentile of the combined FREE FLOAT MARKET CAPITALIZATION. A
weight multiplier is derived from the rescaled ranks and is multiplied by the FREE FLOAT MARKET
CAPITALIZATION to determine the FREE FLOAT MARKET CAPITALIZATION assigned to the Value INDEX. In case theweight multiplier is larger than 0.95, it is rounded to 1. In case the weight multiplier is lower than 0.05, it
is rounded to 0. The remaining FREE FLOAT MARKET CAPITALIZATION O of the security is assigned to the
Growth INDEX. The sum of FREE FLOAT MARKET CAPITALIZATION of each security in the Value and Growth INDEX
sums up to 100%.

Multifactor
Each security is assigned a weight as of the SELECTION DAY according to the product of the final factor
score and FREE FLOAT MARKET CAPITALIZATION. Weights are capped at the MAXIMUM WEIGHT.

12

Version 2.3 – 19 June 2024

INDEX GUIDELINE

3. REBALANCE
3.1. ORDINARY REBALANCE
In order to reflect the new selection of the INDEX COMPONENTS determined on the SELECTION DAY (inaccordance with Section 2.1 and 2.2) the INDICES are adjusted on the REBALANCE DAY after CLOSE OF BUSINESS.
This is carried out by implementing the shares as determined on the FIXING DAY based on the weights
calculated on the SELECTION DAY.
For more information on the rebalance procedure please refer to the Equity Index Methodology, which isincorporated
byreference
andavailable
onthe
Solactive
website:https://www.solactive.com/documents/equity-index-methodology/.
SOLACTIVE will publish any changes made to the INDEX COMPONENTS with sufficient notice before the
REBALANCE DAY on the SOLACTIVE website under the section “Announcement”, which is available athttps://www.solactive.com/news/announcements/.

3.2. EXTRAORDINARY REBALANCE
The INDICES are not rebalanced extraordinarily.

13

Version 2.3 – 19 June 2024

INDEX GUIDELINE4.

CALCULATION OF THE INDEX

4.1. INDEX FORMULA
The INDICES are calculated as a price return, net total return, and gross total return Index.
The calculation is performed according to the Equity Index Methodology, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/equity-index-methodology/. The divisor index formula
stipulates that the level of the INDEX changes based on the change of the prices of its INDEX COMPONENTS
taking into account their weight in the INDEX and any currency conversion in case the price of an INDEXCOMPONENT is quoted in a currency other than the INDEX CURRENCY.
Any dividends or other distributions are reinvested across the entire basket of INDEX COMPONENTS by meansof a divisor at the opening of the effective date (the so-called ex-date) of the payment of such dividend orother distribution.
A more detailed description of the mechanics of the index calculation formula can be found in the Equity
Index Methodology under Section 1.2.

4.2. ACCURACY
The level of the INDICES will be rounded to 2 decimal places. Divisors will be rounded to six decimal places.
TRADING PRICES and foreign exchange rates will be rounded to six decimal places.

4.3. ADJUSTMENTS
Under certain circumstances, an adjustment of the INDICES may be necessary between two regular
REBALANCE DAYS. Such adjustment has to be made if a corporate action (as specified in Section 4.4 below) inrelation of an INDEX COMPONENT occurs. Such adjustment may have to be done in relation to an INDEXCOMPONENT and/or may also affect the number of INDEX COMPONENTS and/or the weighting of certain INDEXCOMPONENTS and will be made in compliance with the Solactive Equity Index Methodology, which isincorporated
byreference
andavailable
on
the
SOLACTIVE
website:https://www.solactive.com/documents/equity-index-methodology/.
SOLACTIVE will announce the INDEX adjustment giving a notice period of at least two TRADING DAYS (withrespect to the affected INDEX COMPONENT) on the SOLACTIVE website under the Section “Announcements”,
which is available at https://www.solactive.com/news/announcements/. The INDEX adjustments will be
implemented on the effective day specified in the respective notice.

14

Version 2.3 – 19 June 2024

INDEX GUIDELINE

4.4. CORPORATE ACTIONS
As part of the INDEX maintenance SOLACTIVE will consider various events – also referred to as corporate
actions – which result in an adjustment to the INDICES between two regular REBALANCE DAYS. Such events
have a material impact on the price, weighting or overall integrity of INDEX COMPONENTS. Therefore, theyneed to be accounted for in the calculation of the INDICES. Corporate actions will be implemented from thecum-day to the ex-day of the corporate action, so that the adjustment to the INDICES coincides with theoccurrence of the price effect of the respective corporate action.
Adjustments to the INDICES to account for corporate actions will be made in compliance with the Equity
Index
Methodology,
whichisavailable
on
the
SOLACTIVE
website:https://www.solactive.com/documents/equity-index-methodology/. This document contains for eachcorporate action a brief definition and specifies the relevant adjustment to the INDEX variables.
While SOLACTIVE aims at creating and maintaining its methodology for treatment of corporate actions as
generic and transparent as possible and in line with regulatory requirements, it retains the right inaccordance with the Equity Index Methodology to deviate from these standard procedures in case of any
unusual or complex corporate action or if such a deviation is made to preserve the comparability andrepresentativeness of the INDICES over time.
SOLACTIVE considers following, but not conclusive, list of corporate actions as relevant for INDEX
maintenance:
Cash Distributions (e.g. payment of a dividend)
Stock distributions (e.g. payment of a dividend in form of additional shares)
Stock distributions of another company (e.g. payment of a dividend in form of additional shares ofanother company (e.g. of a subsidiary))
Share splits (company's present shares are divided and therefore multiplied by a given factor)
Reverse splits (company's present shares are effectively merged)
Capital increases (such as issuing additional shares)
Share repurchases (a company offer its shareholders the option to sell their shares to a fixed price)
Spin-offs (the company splits its business activities into two or more entities and distributes newequity shares in the created entities to the shareholders of the former entity)
Mergers & Acquisitions (transaction in which the ownership of a company (or other businessorganizations) are transferred or consolidated with other entities, e.g. fusion of two or more
separate companies into one entity)
Delistings (company's shares are no longer publicly traded at a stock exchange)
Nationalization of a company (effective control of a legal entity is taken over by a state)
Insolvency
15

Version 2.3 – 19 June 2024

INDEX GUIDELINE

4.5. RECALCULATIONSOLACTIVE makes the greatest possible efforts to accurately calculate and maintain its indices. However,errors in the determination process may occur from time to time for variety reasons (internal or external)
and therefore, cannot be completely ruled out. SOLACTIVE endeavors to correct all errors that have been
identified within a reasonable period of time. The understanding of “a reasonable period of time” as well as
the general measures to be taken are generally depending on the underlying and is specified in the
Solactive Correction Policy, which is incorporated by reference and available on the SOLACTIVE website:
https://www.solactive.com/documents/correction-policy/.

4.6. MARKET DISRUPTION
In periods of market stress SOLACTIVE calculates its indices following predefined and exhaustive
arrangements as described in the Solactive Disruption Policy, which is incorporated by reference andavailable on the SOLACTIVE website: https://www.solactive.com/documents/disruption-policy/. Suchmarket stress can arise due to a variety of reasons, but generally results in inaccurate or delayed prices forone or more INDEX COMPONENTS. The determination of the INDICES may be limited or impaired at times of
illiquid or fragmented markets and market stress.

16

Version 2.3 – 19 June 2024

INDEX GUIDELINE5.

MISCELLANEOUS

5.1. DISCRETION
Any discretion which may need to be exercised in relation to the determination of the INDICES (for example
the determination of the INDEX UNIVERSE (if applicable), the selection of the INDEX COMPONENTS (if applicable)or any other relevant decisions in relation to the INDICES) shall be made in accordance with strict rules
regarding the exercise of discretion or expert judgement.

5.2. METHODOLOGY REVIEWThe methodology of the INDICES is subject to regular review, at least annually. In case a need of a changeof the methodology has been identified within such review (e.g. if the underlying market or economic
reality has changed since the launch of the INDICES, i.e. if the present methodology is based on obsolete
assumptions and factors and no longer reflects the reality as accurately, reliably and appropriately as
before), such change will be made in accordance with the Solactive Methodology Policy, which isincorporated
byreference
andavailable
on
the
SOLACTIVE
website:https://www.solactive.com/documents/methodology-policy/.
Such change in the methodology will be announced on the SOLACTIVE website under the Section“Announcements”, which is available at https://www.solactive.com/news/announcements/. The date of
the last amendment of this INDICES is contained in this GUIDELINE.

5.3. CHANGES IN CALCULATION METHOD
The application by the INDEX ADMINISTRATOR of the method described in this document is final and binding.
The INDEX ADMINISTRATOR shall apply the method described above for the composition and calculation of the
INDICES. However, it cannot be excluded that the market environment, supervisory, legal and financial or tax
reasons may require changes to be made to this method. The INDEX ADMINISTRATOR may also make changes
to the terms and conditions of the INDICES and the method applied to calculate the INDICES that it deems tobe necessary and desirable in order to prevent obvious or demonstrable error or to remedy, correct or
supplement incorrect terms and conditions. The INDEX ADMINISTRATOR is not obliged to provide information
on any such modifications or changes. Despite the modifications and changes, the INDEX ADMINISTRATOR willtake the appropriate steps to ensure a calculation method is applied that is consistent with the method
described above.

17

Version 2.3 – 19 June 2024

INDEX GUIDELINE

5.4. TERMINATIONSOLACTIVE makes the greatest possible efforts to ensure the resilience and continued integrity of its indicesover time. Where necessary, SOLACTIVE follows a clearly defined and transparent procedure to adapt Index
methodologies to changing underlying markets (see Section 5.2 “Methodology Review”) in order to maintaincontinued reliability and comparability of the indices. Nevertheless, if no other options are available theorderly cessation of the INDICES may be indicated. This is usually the case when the underlying market or
economic reality, which an index is set to measure or to reflect, changes substantially and in a way notforeseeable at the time of inception of the index, the index rules, and particularly the selection criteria, canno longer be applied coherently or the index is no longer used as the underlying value for financial
instruments, investment funds and financial contracts.
SOLACTIVE has established and maintains clear guidelines on how to identify situations in which the
cessation of an index is unavoidable, how stakeholders are to be informed and consulted and theprocedures to be followed for a termination or the transition to an alternative index. Details are specified
in the Solactive Termination Policy, which is incorporated by reference and available on the SOLACTIVE
website: https://www.solactive.com/documents/termination-policy/.

5.5. OVERSIGHT
An oversight committee composed of staff from SOLACTIVE and its subsidiaries (the “OVERSIGHT COMMITTEE”)
is responsible for decisions regarding any amendments to the rules of the INDICES. Any such amendment,
which may result in an amendment of the GUIDELINE, must be submitted to the OVERSIGHT COMMITTEE for priorapproval and will be made in compliance with the Methodology Policy, which is available on the SOLACTIVE
website: https://www.solactive.com/documents/methodology-policy/.

18

Version 2.3 – 19 June 2024

INDEX GUIDELINE

6.

DEFINITIONS“AVERAGE DAILY VALUE TRADED” means, in respect of an INDEX COMPONENT, the sum of DAILY VALUE TRADED
over the specified period divided by the number of TRADING DAYS that fall in the specified period.
“BENCHMARK REGULATION” shall have the meaning as defined in Section “Introduction”.
“BMR” shall have the meaning as defined in Section “Introduction”.
“CALCULATION DAY” is equal to the CALCULATION DAY of the index that makes up the starting universe. A linkto the guideline of the index that makes up the starting universe can be found in Section 8.1.
“CLOSE OF BUSINESS” is the calculation time of the closing level of the INDICES as outlined in Section 1.4.
The “CLOSING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is a security's final regular-hours
TRADING PRICE published by the EXCHANGE and determined in accordance with the EXCHANGE regulations. If
the EXCHANGE has no or has not published a CLOSING PRICE in accordance with the EXCHANGE rules for an INDEXCOMPONENT, the last TRADING PRICE will be used.
“DAILY VALUE TRADED” means, in respect of an INDEX COMPONENT and a TRADING DAY, the product of (i) the
CLOSING PRICE of such INDEX COMPONENT and (ii) the volume traded (measured as a number of shares) of such
INDEX COMPONENT on the EXCHANGE during such TRADING DAY.
“EXCHANGE” is with respect to the INDEX and every INDEX COMPONENT, the respective exchange where the
INDEX COMPONENT has its listing as determined in accordance with the rules in Section 2.
“FIXING DAY” is equal to the SELECTION DAY.
The “FREE FLOAT” is with regard to each of the securities fulfilling the INDEX COMPONENT REQUIREMENTS on a
SELECTION DAY the share class-specific fraction of the total number of shares of such share class issued thatare available for trading by market participants and not locked-in by long term holders, as sourced fromdata vendors.
The “FREE FLOAT MARKET CAPITALIZATION” is with regard to each of the securities fulfilling the INDEXCOMPONENT REQUIREMENTS on a SELECTION DAY the share class-specific free float market capitalization. It is
calculated as the multiplication of the shares outstanding in FREE FLOAT (as sourced from data vendors)with the CLOSING PRICE of the share class as of the respective SELECTION DAY.
“GUIDELINE” shall have the meaning as defined in Section “Introduction”.
“INDEX” shall have the meaning as defined in Section “Introduction”.
“INDEX ADMINISTRATOR” shall have the meaning as defined in Section “Introduction”.
“INDEX COMPONENT” is each security reflected in the INDEX.
“INDEX COMPONENT REQUIREMENTS” shall have the meaning as defined in Section 2.2.
“INDEX CURRENCY” is the currency specified in the column “Currency” in the table in Section 1.2.
“INDEX UNIVERSE REQUIREMENTS” shall have the meaning as defined in Section 2.1.
19

Version 2.3 – 19 June 2024

INDEX GUIDELINE“INDEX UNIVERSE” is the sum of all financial instruments which fulfill the INDEX UNIVERSE REQUIREMENTS.
“INDICES” shall have the meaning as defined in Section “Introduction”.
“LIVE DATE” shall have the meaning as defined in Section 1.3.
“MAXIMUM WEIGHT” shall have the meaning as defined in Section 8.2.
“OVERSIGHT COMMITTEE” shall have the meaning as defined in Section 5.5.
“REBALANCE DAY” is equal to the REBALANCE DAY of the index that makes up the starting universe. A link to
the guideline of the index that makes up the starting universe can be found in Section 8.1. The REBALANCE
DAY is sometimes also referred to as the Adjustment Day. This will have the same meaning. Section 8.1 also
contains the months when the Solactive GFS INDICES are rebalanced as the frequency of rebalancing may
differ from the starting universe.
“SELECTION DAY” is equal to the SELECTION DAY of the index that makes up the starting universe. A link to theguideline of the index that makes up the starting universe can be found in Section 8.1.
The “SHARE CLASS MARKET CAPITALIZATION” is with regard to each of the securities in the INDEX UNIVERSE on
a SELECTION DAY the share class-specific market capitalization for any security in the INDEX UNIVERSE. It is
calculated as the multiplication of the shares outstanding with the CLOSING PRICE of the share class as of
the respective SELECTION DAY.
“SOLACTIVE” shall have the meaning as defined in Section “Introduction”.
“START DATE” shall have the meaning as defined in Section 1.3.
“STARTING UNIVERSE” is the INDEX UNIVERSE as defined in the guideline of the underlying benchmark index
specified in Section 8.1.
The “TOTAL MARKET CAPITALIZATION” is with regard to each of the securities in the INDEX UNIVERSE on a
SELECTION DAY the sum of all SHARE CLASS MARKET CAPITALIZATIONs of a company.
“TRADING DAY” is with respect to an INDEX COMPONENT included in the INDEX at the REBALANCE DAY and every
INDEX COMPONENT included in the INDEX at the CALCULATION DAY immediately following the REBALANCE DAY (forclarification: this provision is intended to capture the TRADING DAYS for the securities to be included in the
INDEX as new INDEX COMPONENTS with close of trading on the relevant EXCHANGE on the REBALANCE DAY) a dayon which the relevant EXCHANGE is open for trading (or a day that would have been such a day if a market
disruption had not occurred), excluding days on which trading may be ceased prior to the scheduled
EXCHANGE closing time and days on which the EXCHANGE is open for a scheduled shortened period. The INDEXADMINISTRATOR is ultimately responsible as to whether a certain day is a TRADING DAY.
The “TRADING PRICE” in respect of an INDEX COMPONENT and a TRADING DAY is the most recent published priceat which the INDEX COMPONENT was traded on the respective EXCHANGE.
"WM / REFINITIV RATE" shall have the meaning as defined in Section 1.4.

20

Version 2.3 – 19 June 2024

INDEX GUIDELINE

7.

FACTOR DEFINITIONSEach equity risk factor is defined below.

7.1. VALUE
The value factor is calculated as follows:

𝑉𝑎𝑙𝑢𝑒 =

𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡
𝑇𝑜𝑡𝑎𝑙 𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛𝑡

Where:
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡 = Book value of equity as of last fiscal year prior to SELECTION DAY t
𝑇𝑜𝑡𝑎𝑙 𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛𝑡 = TOTAL MARKET CAPITALIZATION as of SELECTION DAY t

7.2. QUALITY
The quality factor is a combination of the low investment and profitability factors. These are calculated
as follows:

𝐼𝑛𝑣𝑒𝑠𝑡𝑚𝑒𝑛𝑡 =𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠𝑡−1
𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠𝑡−1𝑦

Where:
𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠𝑡 =Assets as of last fiscal year prior to SELECTION DAY t

𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡𝑠𝑡−1𝑦 = Assets as of second to last fiscal year prior to SELECTION DAY t

𝑃𝑟𝑜𝑓𝑖𝑡𝑎𝑏𝑖𝑙𝑖𝑡𝑦 =𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠𝑡
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡

Where:
𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠𝑡 = Earnings as of last fiscal year prior to SELECTION DAY t
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡 = Book value of equity as of last fiscal year prior to SELECTION DAY t

21

Version 2.3 – 19 June 2024

INDEX GUIDELINE

7.3. MOMENTUM
The momentum factor is calculated as the price change from 12-months ago to 1-month ago:
𝑀𝑜𝑚𝑒𝑛𝑡𝑢𝑚 =𝑃𝑟𝑖𝑐𝑒𝑡−1𝑚−1𝑃𝑟𝑖𝑐𝑒𝑡−12𝑚

Where:
𝑃𝑟𝑖𝑐𝑒𝑡−1𝑚 = Local price adjusted for splits and spinoffs as of 1-month prior to SELECTION DAY t
𝑃𝑟𝑖𝑐𝑒𝑡−12𝑚 = Local price adjusted for splits and spinoffs as of 12-month prior to SELECTION DAY t

7.4. LOW VOLATILITY
The volatility factor is calculated as the standard deviation of daily returns over the past 251 businessdays prior to the Selection Day:𝑛1
𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦 = √∑(𝑟𝑡 − 𝑟̅ )2𝑛−1
𝑡=1

Where:
𝑛=251

𝑟=

Total return on day t

7.5. LOW SIZE
The raw size factor is calculated as follows:

𝑆𝑖𝑧𝑒 = 𝑇𝑜𝑡𝑎𝑙 𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛 𝑖𝑛 𝑈𝑆𝐷𝑡
Where:
𝑇𝑜𝑡𝑎𝑙 𝑀𝑎𝑟𝑘𝑒𝑡 𝐶𝑎𝑝𝑖𝑡𝑎𝑙𝑖𝑧𝑎𝑡𝑖𝑜𝑛 𝑈𝑆𝐷𝑡 =TOTAL MARKET CAPITALIZATION in USD as of SELECTION DAY t

7.6. GROWTH
The growth factor is a combination of the earnings per share growth and the sales per share growth
factors. These are calculated as follows. In case earnings or sales are not available three years in the past
22

Version 2.3 – 19 June 2024

INDEX GUIDELINE

or in the future, the growth metric is only calculated over two years or one year respectively. If no suchvalues are available, the growth metric is set equal to 0.

𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑝𝑒𝑟 𝑠ℎ𝑎𝑟𝑒 𝐺𝑟𝑜𝑤𝑡ℎ =1/3
𝐹𝐸𝑃𝑆𝑡+3𝑦 1/3
𝐸𝑃𝑆[(𝐸𝑃𝑆 𝑡 ) − 1] + [( 𝐸𝑃𝑆 ) − 1]
𝑡−3𝑦
𝑡

2

Where:𝐸𝑃𝑆𝑡 =

Earnings per share as of last fiscal year prior to SELECTION DAY t

𝐸𝑃𝑆𝑡−3𝑦 =Earnings per share as of fiscal year three years prior to SELECTION DAY t

𝐹𝐸𝑃𝑆𝑡+3𝑦 = Forecasted earnings per share for fiscal year three years after SELECTION DAY t

𝑆𝑎𝑙𝑒𝑠 𝑝𝑒𝑟 𝑠ℎ𝑎𝑟𝑒 𝐺𝑟𝑜𝑤𝑡ℎ =1/3
𝐹𝑆𝑃𝑆𝑡+3𝑦 1/3
𝑆𝑃𝑆[(𝑆𝑃𝑆 𝑡 ) − 1] + [( 𝑆𝑃𝑆 ) − 1]
𝑡−3𝑦
𝑡

2

Where:𝑆𝑃𝑆𝑡 =

Sales per share as of last fiscal year prior to SELECTION DAY t

𝑆𝑃𝑆𝑡−3𝑦 =Sales per share as of fiscal year three years prior to SELECTION DAY t

𝐹𝑆𝑃𝑆𝑡+3𝑦 = Forecasted sales per share for fiscal year three years after SELECTION DAY t

7.7. QUALITY STYLE
The quality style factor is a combination of the low financial leverage, profitability and earnings stability
factors. These are calculated as follows:
𝐹𝑖𝑛𝑎𝑛𝑐𝑖𝑎𝑙 𝐿𝑒𝑣𝑒𝑟𝑎𝑔𝑒 =𝐷𝑒𝑏𝑡𝑡𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡

Where:
𝐷𝑒𝑏𝑡𝑡 =

Total debt of last fiscal year prior to SELECTION DAY t

𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡 = Book value of equity as of last fiscal year prior to SELECTION DAY t

𝑃𝑟𝑜𝑓𝑖𝑡𝑎𝑏𝑖𝑙𝑖𝑡𝑦 =𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠𝑡
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡

Where:
𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠𝑡 = Earnings of the last 12-months prior to SELECTION DAY t
𝐵𝑜𝑜𝑘 𝑉𝑎𝑙𝑢𝑒 𝑜𝑓 𝐸𝑞𝑢𝑖𝑡𝑦𝑡 = Book value of equity as of last fiscal year prior to SELECTION DAY t
23

Version 2.3 – 19 June 2024

INDEX GUIDELINE

𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑆𝑡𝑎𝑏𝑖𝑙𝑖𝑡𝑦 = − 𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡
Where:
̅̅̅̅̅̅̅̅ )2∑𝑛 (𝐸𝑃𝑆𝑑𝑡 −𝐸𝑃𝑆𝑑

𝐸𝑎𝑟𝑛𝑖𝑛𝑔𝑠 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦𝑡 = √ 𝑡=1

𝑛−1

𝐸𝑃𝑆𝑑𝑡 =(𝐸𝑃𝑆𝑡 - 𝐸𝑃𝑆𝑡−1 )/𝐸𝑃𝑆𝑡−1̅̅̅̅̅̅̅
𝐸𝑃𝑆𝑑 =

Average of 𝑡ℎ𝑒 𝑛 𝑔𝑟𝑜𝑤𝑡ℎ 𝑑𝑎𝑡𝑎𝑝𝑜𝑖𝑛𝑡𝑠 𝐸𝑃𝑆𝑑𝑡

𝑛=

4

24

Version 2.3 – 19 June 2024

INDEX GUIDELINE

8.

INDEX CHARACTERISTICS

The sections below contain the characteristics of the Solactive Global Factor Series INDICES. Section 8.1
describes which starting universe is used to construct the INDEX given the base index name. If no size
segment is specified at the end of the base index name (e.g. Small Cap, Investable Universe, or All Cap) it
refers to the Large & Mid Cap size segment.
Section 0 describes the factor that is applied, if the INDEX is sector neutral, and the weighting method thatis used, given the respective factor name.
In case of top percentage indices, the respective percentage number is added to the index name (e.g. Value
Top 10 Percent Index). For those indices, the Top Percentage Factor Selection in Section 2.2 is applied.

8.1. STARTING UNIVERSE

Base Index Name

Starting Universe
NameStarting
Universe ISIN

Starting Universe
Guideline

Rebalance
MonthsSolactive GFS Global Markets

Solactive GBS Global
Markets Large & Mid Cap
Index

DE000SLA7729

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Developed Markets

Solactive GBS Developed
Markets Large & Mid Cap
Index

DE000SLA41B6

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Emerging Markets

Solactive GBS Emerging
Markets Large & Mid Cap
Index

DE000SLA75V2

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Developed Markets
EuropeSolactive GBS Developed
Markets Europe Large &Mid Cap Index

DE000SLA4FY4https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS United States

Solactive GBS UnitedStates Large & Mid Cap
Index

DE000SLA4YB3

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS North America

Solactive GBS North
America Large & Mid Cap
Index

DE000SLA34H8

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Developed Markets
ex North America

Solactive GBS Developed
Markets ex North
America Large & Mid Cap
Index

DE000SLA4EG4

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

25

Version 2.3 – 19 June 2024

INDEX GUIDELINE

Solactive GFS Developed Markets
ex United States

Solactive GBS Developed
Markets ex United States
Large & Mid Cap Index

DE000SLA4HK9

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Japan

Solactive GBS Japan
Large & Mid Cap Index

DE000SLA4MZ7

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS Developed Markets
Pacific

Solactive GBS Developed
Markets Pacific Large &Mid Cap Index

DE000SLA3520

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS United States 500

Solactive GBS UnitedStates 500 Index

DE000SL0AE65

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0AFM8

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0AE99

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0AFC9

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0GND8

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0GYV7

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0AFF2

https://solactive.com/downloads/Guideline-SolactiveGBS-United-StatesBenchmark-Series.pdf

May / November

DE000SL0FQG6

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

Solactive GFS United States 100

Solactive GBS UnitedStates 100 Index

Solactive GFS United States 400

Solactive GBS UnitedStates 400 Index

Solactive GFS United States 600

Solactive GBS UnitedStates 600 Index

Solactive GFS United States 900

Solactive GBS UnitedStates 900 Index

Solactive GFS United States 400+ 600

Solactive GBS UnitedStates 400 + 600 Index

Solactive GFS United States 1500

Solactive GBS UnitedStates 1500 Index

Solactive GFS United States 1000

Solactive United States
1000 Index

26

Version 2.3 – 19 June 2024

INDEX GUIDELINE

DE000SL0FQK8

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

DE000SL0FQN2https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

DE000SL0GKV6

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

DE000SL0GKS2

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

June/December

Solactive GFS United States 2000

Solactive United States2000 Index

Solactive GFS United States 3000

Solactive United States3000 Index

Solactive GFS United States 200

Solactive United States
200 Index

Solactive GFS United States 2500

Solactive United States2500 Index

Solactive GFS United States 800

Solactive United States
800 Index

DE000SL0GKY0

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

Solactive GFS Sweden

Solactive GBS Sweden
Large & Mid Cap Index

DE000SLA4UX5

https://solactive.com/downloads/Guideline-SolactiveGBS-Benchmark-Series.pdf

May / November

Solactive GFS United States 1000

Solactive United States
1000 Index (screened byIndustrials sector)-

https://solactive.com/downloads/Guideline-SolactiveUnited-States-BenchmarkSeries.pdf

June/December

8.2. WEIGHTING
Factor Name

Sector Neutral

Weighting

Maximum Weight

Value

No

Adjusted Free Float Market Capitalization

5%

QualityNo

Adjusted Free Float Market Capitalization

5%

MomentumNo

Adjusted Free Float Market Capitalization

5%

Low Volatility

No

Inverse Volatility

5%

Low SizeNo

Equal Weight5%

27

Version 2.3 – 19 June 2024

INDEX GUIDELINE

Value SNYes

Adjusted Free Float Market Capitalization

5%

Quality SN

Yes

Adjusted Free Float Market Capitalization

5%

Quality SN Top 10 Percent

Yes

Adjusted Free Float Market Capitalization

10%

Value Style

No

Value-Growth Style-

Growth Style

No

Value-Growth Style-

Value Style MV

No

Value-Growth Style MV-

Growth Style MV

No

Value-Growth Style MV-

Quality Style

No

Adjusted Free Float Market Capitalization

See Section 8.3

Multifactor-

See Section 8.4

See Section 8.4

8.3. SELECTION AND WEIGHTING – QUALITY STYLE
Starting Universe Name

Number of Securities

Maximum Weight

Solactive GBS Developed Markets Large & Mid Cap Index

300

5%

Solactive GBS Developed Markets Europe Large & Mid Cap Index

125

5%

Solactive GBS United States Large & Mid Cap Index

125

5%

Solactive GBS Emerging Markets Large & Mid Cap Index

200

5%

8.4. MULTIFACTOR WEIGHTING
Factor Name

Factors

Weighting

Top Percentage

Maximum Weight

Multifactor 1

Value, Momentum,
Quality Style, Low
Volatility.

Multifactor

30%

5%

28

Version 2.3 – 19 June 2024

INDEX GUIDELINE9.

HISTORY OF INDEX CHANGES

VersionDate

Description

1.0

19 May 2022

Index Guideline creation

2.0

05 September 2022

Addition of Value-Growth Style series

2.1

18 November 2022

Addition of Top Percentage Factor Selection

2.2

10 October 2023

Addition of Value-Growth Style MV series

2.3

19 June 2024

Addition of Quality Style and Multifactor series

29

Version 2.3 – 19 June 2024

INDEX GUIDELINECONTACT
Solactive AG
German Index Engineering
Platz der Einheit 1
60327 Frankfurt am Main
Germany
Tel.:
Fax:
Email:
Website:+49 (0) 69 719 160 00+49 (0) 69 719 160 25
info@solactive.com
www.solactive.com© Solactive AG
30

Version 2.3 – 19 June 2024