Analytics+
Understand, visualize anddeconstruct factor strategies

Factor Analysis Tool
Analytics+ is an intuitive, web-based analytical tool that allows users tovisualize factor exposures and simulate performance outcomes of single andmulti-factor indexes.
Users have the ability to apply and control factor and ESG exposures using
any indexes from the FTSE Russell index universe. In addition, they are able
to load portfolios to assess factor exposures, overlay additional exposuresand analyse key performance drivers.
Leveraging FTSE Russell’s innovative “Tilt-Tilt” methodology, users can also
design a variety of single and multi-factor indexes and review historicalperformance, factor, country, industry and ESG exposures, and therelationship to index capacity and levels of diversification.
Performance can be also attributed to systematic and idiosyncratic sources tofacilitate an understanding of the sources of index performance.

Understand
Factor performance drivers
Visualize
Different combinations of
single or multi-factor indexes
Deconstruct
Portfolio or index exposuresthrough a factor lensAttribute
Active return to factors, industryand country effects

1. Select Universe; 2. Import Portfolio; 3. Apply variable single and multi-factor overlays; 4. Apply ESG overlays; 5. Choose rebalancing frequency;
6. Analyse Results

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

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September 18, 20181

Performance and Risk Analytics
The tool allows users to analyse absolute and relative performance across both FTSE Russell Benchmarks and user
portfolios, and examine active factor exposure and the impact of factor allocation on index Capacity, Diversification,Industry and Country weightings.
The Summary tab shows the performance and risk attributes for the benchmark and factor portfolios. These include
absolute and relative performance, up and down capture ratios, Sharpe Ratio, Maximum Drawdown, Information Ratio
and Tracking Error.

Performance > SummarySource: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

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Exposure
Use the Exposure Box to view active exposures at a glance. Click on the magnifying glass icon to view historicalexposure to individual factors, industries or countries.
“Show All Factors” allows users to view the history of all factor and ESG exposures as well as capacity anddiversification on one page. Additional options include a toggle to view all factors relative to the selected benchmark.

Active Exposure > Value

Active Exposure > Quality

Average Active Exposure > USA

Average Active Exposure > Healthcare

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

ftserussell.com | Analytics+3

Valuations
The Valuation tab shows valuation statistics and fundamental ratios for the benchmark and chosen factor portfolios,
viewed on an absolute or relative basis relative to the selected benchmark.
Valuation statistics include: Earnings Yield (%), Book to Price. Sales to Price, Cashflow Yield (%), Dividend Yield(%), Debt Equity, EBITDA EV(%) and Return on Equity (%).
To view historical valuation ratios, click on the magnifying glass.

Valuation

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

ftserussell.com | Analytics+

4Attribution
Analytics+ allows users to attribute performance to factor, industry and country effects . Factor attribution is particularlyrelevant to understanding whether a particular index has factor exposures that are aligned with stated index objectives
and the extent to which excess performance is determined by those factors.
View a more detailed breakdown of the attribution by clicking on the specific factor, industry or country bar.

Attribution > Overview

Attribution > Factor

Detailed
FactorAttribution

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

ftserussell.com | Analytics+

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Attribution - Industry/Country
Here is shown the industry and country attribution.
The industry breakdown is calculated using Industry Classification Benchmark (ICB*), a globally recognized standard,operated and managed by FTSE Russell for categorizing companies and securities, with approximately 75,000
securities worldwide classified by the system. See www.icbenchmark.com for more information.

Attribution > Industry

Attribution > Country

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

ftserussell.com | Analytics+

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Contribution
Analytics+ also allows the investigation of the historical contribution to performance on both a monthly and cumulativebasis.
Additional granularity is available to investigate individual factor, industry and country contributions to performance.

Attribution > Contribution

Cumulative
PerformanceContribution

MonthlyPerformanceContribution

Source: FTSE Russell, date as at 19 Jul 2018. Monthly performance calculated from third Friday to third Friday. The information displayed is for illustrative purposes only and represents
hypothetical rather than actual index performance. Past performance is no guarantee of future results. Please see important l egal disclosures at the end of the document.

ftserussell.com | Analytics+

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Technical Specifications
InputsInvestment Universes

FTSE All-World®
FTSE Developed
FTSE Developed ex US
FTSE Asia Pacific
FTSE Europe
FTSE Emerging

Factor Tilts

Value: Earnings Yield, Cash Flow
Yield and Country Relative Sales toPrice Ratio
Size: Log of Full Market Capitalization
Quality: ROA, Change in Asset Turnover, Accruals and Leverage

ESG Tilts

Overall: Environmental, Social andGovernance Scores
Environmental: Biodiversity, climatechange, pollution and resources, supply chain, water use

Tilt Strength

FTSE JapanFTSE USAFTSE 350 ex Investment Trust
FTSE Developed ex Korea
Russell 1000®
Russell 2000®
FTSE Australia 300
Momentum: Cumulative 11-month return (ex most recent month)
Volatility: 5 year standard deviation(weekly)
Yield: Log of 12mth trailing dividendyieldSocial: Customer responsibility, healthand safety, human rights and community, labor standards, supply chain
Governance: Anti-corruption, corporate governance, risk management, tax
transparency

Factor, ESG and Macro: tilt strengths
can be modified (dialed up, dialed
down or tilted away) to emphasize certain exposures

Outputs
Performance

Valuations & Metrics(current and history)

Index Characteristics(current and history)

Performance: Total and Excess Return, Return/Risk Ratio, Information
Ratio, Cumulative Return Chart, Up/Down CaptureEarnings Yield
Book-to-Price
Sales-to-Price
Cash Flow Yield
Factor Exposure
ESG Exposure
TurnoverRisk Analytics: Volatility, Volatility Reduction, Max Drawdown, Tracking Error

Dividend Yield
Debt-to-Equity
EBITDA/EVROE
Macroeconomic Exposure (US only)
Capacity
Diversification

Tool Parameters
Date Range

September 2000-To Date

Factor Exposure Calculation:
Data Export Functionality:

Holdings Based Analysis (Z-score)

Portfolio Load:CSV file in sedol/weight/date column
formatftserussell.com | Analytics+

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