S&P Float Adjustment
Methodology

September 2024
S&P Dow Jones Indices: Index Methodology

Table of Contents
Introduction

2
Index Family

2

Supporting Documents

2

Float Adjustment Rules
Regional Variations

Calculation of Investable Weight Factors

3
4

6

Shares Outstanding

6

Multiple Share Classes of Stock

6

Initial Public Offerings (IPOs) and Direct Listings

6

Foreign Ownership Limits

6

Investable Weight Factor Maintenance

10

Rebalancing Frequency

10

Timing of Changes

10

Index Data

11
Data Distribution

Index GovernanceIndex Committee

Index Policy

11

12
12

13
Contact Information

Appendix

13

14
Methodology Changes

Disclaimer

14

16
Performance Disclosure/Back-Tested Data

16Intellectual Property Notices/Disclaimer

17

ESG Indices Disclaimer

19

S&P Dow Jones Indices: S&P Float Adjustment Methodology

1Introduction
Most of S&P Dow Jones Indices’ market capitalization-weighted indices are float-adjusted. Under float
adjustment, the share counts used in calculating the indices reflect only those shares available toinvestors rather than a company’s total outstanding shares. Float adjustment excludes shares that areheld by other publicly traded companies, government agencies, or certain types of strategic shareholders.
With a float-adjusted index, the value of each constituent reflects the value estimated to be available toinvestors in the public markets. Reducing the relative investment index investors have in stocks withlimited float should enhance the investability of the index.
Index Family
The float adjustment rules described here apply to the global S&P Dow Jones family of indices, as well as
many specialty indices.
Float adjustment does not apply to non-market capitalization weighted indices such as equal weighting,factor weighting, price weighting, or other alternative weighting schemes.
Since there may be regional exceptions to the general rules on float-adjustment, please refer to individual
index methodologies for information that may not be contained in this document.
Supporting Documents
This methodology is meant to be read in conjunction with supporting documents providing greater detailwith respect to the policies, procedures and calculations described herein. References throughout themethodology direct the reader to the relevant supporting document for further information on a specifictopic. The list of the main supplemental documents for this methodology and the hyperlinks to those
documents is as follows:
Supporting Document
S&P Dow Jones Indices’ Equity Indices Policies &Practices Methodology

URL
Equity Indices Policies & Practices

S&P Dow Jones Indices: S&P Float Adjustment Methodology

2

Float Adjustment Rules
The goal of float adjustment is to adjust each company’s total shares outstanding for long-term, strategic
shareholders, whose holdings are not considered to be available to the market. Note that shareholders
are not judged individually based on their intentions. Rather, shareholders are grouped into different
types, and based on that type, are either included or excluded from float. Long-term strategic
shareholders often have interests such as maintaining control rather than securing the shorter-term
economic fortunes of the company. For example, holdings of stock in one corporation by anothercorporation are normally purchased for control, and not investment, purposes. Similarly, most government
holdings are not typically investments made for only economic purposes.
S&P Dow Jones Indices gathers share ownership data for each company in the coverage universe using
publicly available information. If public disclosure is inadequate or information is unavailable, S&P DJI
may consult with company officials or additional industry sources to derive estimates of ownership
information.
A company’s annual report, regulatory filings, proxy, or 10-K may include listings of some equity-likesecurities that are not included in total shares outstanding and need not be considered in calculating
available float. These generally include treasury stock, stock options, equity participation units, warrants,
preferred stock, convertible stock, and rights. Due to local reporting patterns in some markets, S&P Dow
Jones Indices may include treasury shares in total shares outstanding but exclude them from float.
When shares are held in a trust to allow investors in countries outside the country of domicile, theseshares are normally included in float. Examples include (American Depository Receipts) ADRs, CREST
Depository Interests (CDIs), Canadian exchangeable shares, and similar arrangements. If the holdings
underlying ADRs, CDIs, etc. form a control block, those shares are excluded from float.
Shares held by the following types of shareholders are excluded regardless of whether the particularshareholder intends to exercise any form of control.
Long-term strategic shareholders generally include, but are not limited to:
1. Officers and Directors (O+D) and related individuals whose holdings are publicly disclosed
2. Private Equity, Venture Capital & Special Equity Firms
3. Asset Managers and Insurance Companies with direct board of director representation
4. Shares held by another Publicly Traded Company
5. Holders of Restricted Shares*
6. Company-sponsored Employee Share Plans/Trusts, Defined Contribution Plans/Savings, andInvestment Plans
7. Foundations or Family Trusts associated with the Company
8. Government Entities at all levels except Government Retirement/Pension Funds
9. Sovereign Wealth Funds
10. Any individual person listed as a 5% or greater stakeholder in a company as reported inregulatory filings (a 5% threshold is used as detailed information on holders and their relationshipto the company is generally not available for holders below that threshold).
* Restricted shares are generally not included in total shares outstanding except for shares held as part ofa lock-up agreement.
S&P Dow Jones Indices: S&P Float Adjustment Methodology

3

The following holders’ shares are generally considered part of public float:
1. Depositary Banks
2. Pension Funds (including Government Pension and Retirement Funds)
3. Mutual Funds, ETF providers, Investment Funds, Hedge Funds, and Asset Managers that do nothave direct board of director representation including:•stakeholders who may have the right to appoint a BOD member but choose not to do so•stakeholders who have exercised a right to appoint a BOD “observer” even if that observer is
employed by the stakeholder•

stakeholders who have exercised a right to appoint an independent director who is not
employed by the stakeholder

4. Investment Funds of Insurance Companies1
5. Independent Foundations not associated with the company
After adding up all O+D (as a group) and all 5% or greater holders deemed to be strategic holders as
defined above, S&P Dow Jones Indices calculates an Investable Weight Factor (IWF) for each stock. S&P
Dow Jones Indices uses a 5% minimum threshold for strategic blocks. For example, if O+D, as a group,
controls 3% of a company’s shares and no other strategic shareholders own a 5% or greater stake, thenS&P Dow Jones Indices would assign this company an IWF of 1.00, indicating 100% of shares
outstanding are freely tradable and available to the marketplace. If the same company’s O+D controlled
7% of the company’s share as a group, S&P Dow Jones Indices would assign that company an IWF of
0.93, reflecting the fact that only 93% of the shares outstanding are freely tradable and available to themarketplace. However, if O+D controlled 3% of a company’s total shares and other strategic holders
together own 20% of a company’s total shares, S&P Dow Jones Indices would assign that company an
IWF of 0.77, since 23% of the total shares outstanding are considered strategic. Please note that O+Dshares are excluded from the float even if, as a group, the total O+D control block is less than 5%,
provided that there are other strategic holdings greater than 5%. Entities with less than 5% ownershipstakes that have board representation are generally considered strategic only if their shareholder stake isincluded in an annual proxy or annual filing beneficial ownership summary or summary table.
In most cases, Investable Weight Factors (IWFs) are reported to the nearest one percentage point.
Regional Variations
Canada. Canadian security filings provide data on complete holdings of officers and directors andholdings greater than 10% of other shareholders. However, a substantial number of Canadian companies
are also listed on exchanges in the U.S. or other countries and may have shareholders with different
reporting threshold requirements. For Canadian companies where holdings data at the 5% threshold areavailable, the float adjustment is based on 5%. Float adjustment of officers and directors of Canadiancompanies follows the rules listed above; holdings of less than 5% by officers and directors are removed
from the float if there are other reported strategic holders of 5% or more. Since S&P Dow Jones Indicespublishes several multi-country indices which include Canadian companies, such as the S&P/TSX Global
Gold Index, global consistency is preferable wherever possible.
For Canadian companies listed only on Canadian exchanges, the Annual IWF Review will return to float
status any individual shareholding under 10% that has not been disclosed in the previous 12 months.
Note that shareholdings of officers and directors, as a group, will still be subject to the 5% ownershipthreshold since they are disclosed at least annually in the Annual Information Form.
Bangladesh. For Bangladesh-domiciled companies whose primary exchange is the Dhaka Stock
Exchange, IWFs are provided by the exchange.
1

In certain countries, insurance companies may be considered strategic holders based on regulatory issues and country specificpractices.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

4India. Strategic stakeholders with interests of less than 5% are also considered in the calculation of the
IWF for stocks listed on the Bombay Stock Exchange (BSE).
Japan. Individual shareholders and treasury shares with strategic interests of less than 5% are also
considered in the calculation of the IWF.
Pakistan. Associate companies, Undertakings & Related parties as a group are also considered in thecalculation of the IWF.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

5Calculation of Investable Weight Factors
For each stock an Investable Weight Factor (IWF) is calculated:
IWF = (available float shares)/(total shares outstanding)(1)

where available float shares are defined as total shares outstanding less shares held by strategic holders.
The float-adjusted index is calculated:
Index =

 (PjSjIWFj)j

Divisor(2)

where Pj is the price of stock j, Sj is the total shares outstanding of stock j and IWFj is the investableweight factor. The divisor is the index divisor.
Shares Outstanding
The precise definition of shares outstanding or the share count depends on the specific market and thelaws and accounting principles that apply.
Multiple Share Classes of Stock
The treatment of multiple share classes of stock varies across S&P Dow Jones indices depending on
local market custom and conditions. In those indices which include multiple share classes of stock – acompany may have more than one share class line included in the index – each class is float-adjusted
individually.
Initial Public Offerings (IPOs) and Direct Listings
For traditional IPOs, the IWF is generally calculated using the total shares offered (excluding overallotment options) for that share class, divided by the total shares outstanding for the same share classpost-IPO. In certain instances where information on shareholders is publicly available in the IPO
prospectus and/or other official documents, S&P DJI may include this additional information in the IWF
calculation. Share lock-ups are generally reviewed in conjunction with the annual reconstitution, unless a
corporate event triggers a review prior to the annual reconstitution as defined in the Index Maintenancechapter of the relevant methodology.
For IPO direct placement listings on ex-U.S. exchanges, the IWF is calculated using the number of shares
listed after excluding the strategic/controlling shareholders as listed above in the Float Adjustment Rules
chapter of this methodology.
For direct placement listings on U.S. exchanges, the IWF is calculated using the total registered sharesas announced in official documents, subtracting out all control holders as defined in the float methodology
and then dividing that result by the total shares outstanding for that share class post IPO.
Foreign Ownership Limits
Statutory limits on foreign ownership, referred to as foreign ownership limits (FOLs), are recognized andapplied where necessary. Case by case research is needed to assess the impact of large foreign
holdings within a foreign ownership restriction. The final IWF is the minimum of one minus the sum of all

S&P Dow Jones Indices: S&P Float Adjustment Methodology

6strategic holdings or the statutory foreign ownership limit. FOLs are reviewed quarterly on a best effort
basis.
Foreign investment limits are not applied to indices where the major users are domestic (e.g., the S&P
500, S&P/TSX 60); they are applied to regional or global indices where a significant portion of the index
users are outside of the countries covered by the index (e.g., the S&P Global BMI indices).
The first test of a stock’s investability is determining whether the market is open to foreign institutions.
S&P Dow Jones Indices considers factors such as a foreign institution’s ability to buy and sell shares on
local exchanges and its ability to repatriate capital, capital gains, and dividend income without undue
constraints.
Once it is determined that a market is open to foreign investors, S&P Dow Jones Indices investigateseach security that may be a candidate for inclusion in the S&P Global BMI, the S&P Frontier BMI, theS&P GCC Composite and other related indices. Each share class is reviewed to determine whether there
are any corporate by-law, corporate charter, or industry limitations on foreign ownership of the stock.
Foreign investors may face limits on the amount of a company’s capital they may hold individually, andseparate limits on the amount they may hold collectively. S&P Dow Jones Indices considers the total
amount of capital that foreign institutions may own collectively as the basis for determining a stock’s FOL.
Examples of Restrictions on “Openness”•

Special classes of shares, such as A and B classes in China where foreign investors are
restricted to B-class only, or have partial access to A shares trading on specific exchange
segments•

Sector restrictions, most commonly limiting foreign ownership of airlines, defense, energy
producers, financial institutions, print and broadcast media and public utilities•

Single foreign shareholder limits on general classes of shares, such as Brazil’s rule of no morethan 5% of the voting classes or 20% of aggregate capital, or Colombia’s 10% limit per foreign
investor. For example, in Colombia foreigners may own up to 100% of most listed companies,
although no single foreigner may own more than 10%. In such a case, S&P Dow Jones Indicesuses the aggregate amount which foreigners as a whole might acquire, and thus considers 100%of the shares as available.

•

Company statutes that impose limits which differ from national law. In such cases, S&P Dow
Jones Indices uses the most restrictive limit. For example, if the national limit on foreign
ownership is 49% but a company’s articles of incorporation set a limit of 25%, S&P Dow Jones
Indices uses a FOL of 25% for that company’s capital.

The basic formula to calculate IWF considering FOL is:
IWF = min {1-(Σ strategic holders), or the FOL}
Example:Major shareholders for Security ABC•

Private Investors – Board of Directors/ Founders = 18%•

Corporate Holder – Company ZXC = 10%•

Government - Government Agency = 15%

Major shareholders own collectively = 18% + 10% + 15% = 43%
Amount left in the market (100 - 43%) = 57%

S&P Dow Jones Indices: S&P Float Adjustment Methodology

7Foreign Investment limit (FOL) = 49%
Note: When comparing the smallest amount available to foreign investors, 49% FOL or 57% available inthe market, the IWF is 49%.
Pan Arab Indices. S&P Dow Jones Indices’ Pan Arab Indices have further rules. While the concepts areexactly the same, the GCC markets use two different sets of FOLs:
1. One set of FOLs, the most restrictive, is used for all foreign investors. Foreign investors aredefined as all investors who are not nationals of the GCC region. This would include investors
from countries outside the region. This set is used for the calculation of the S&P Frontier BMI and
the GCC Investable indices.
2. The second set of FOLs, which are less restrictive, are used for investors residing within the GCC
region. These FOLs are used for the calculation of the GCC Composite indices.
Domestic Indices. In the domestic index versions of Bahrain, Kuwait, Oman, Qatar, Saudi Arabia andthe UAE, there is no FOL considered in the IWF calculation. These indices are designed for domestic
investors only, similar to the S&P 500, the S&P/ASX 200, and the S&P TSX 60.
Application of FOL in IWF calculation for indices for GCC countries and related regions
For indices in GCC regions, different FOLs are used in the Composite series (for GCC investors) andInvestable series (for non-GCC foreign investors). While GCC and non-GCC foreign investors haveseparate applicable limits, their investment limits are not mutually exclusive. Therefore, when determining
the IWF, it is necessary to consider both the major holdings within the same category of investors (GCC
and non-GCC foreign) and the combined holdings of the two types of holders. For each company, three
initial calculations are necessary:
For cases where GCC FOL is higher or equal to foreign FOL
1. 1 – sum of all strategic holders (without using FOL)
2. FOL (GCC) – sum of GCC and foreign strategic holders
3. FOL (foreign) – sum of foreign strategic holders
The IWF for domestic country would just be #1.
The IWF for Composite (GCC) would be the smaller of #1 or #2.
The IWF for Investable (foreign) would be the smallest of #1, #2 or #3.
Likewise, where Foreign FOL is higher than the GCC FOL
1. 1 – sum of all strategic holders (without using FOL)
2. FOL (GCC) – sum of GCC strategic holders
3. FOL (foreign) – sum of foreign and GCC strategic holders
The IWF for domestic country would just be #1.
The IWF for Composite (GCC) would be the smallest of #1, #2 or #3.
The IWF for Investable (foreign) would be the smaller of #1 or #3.
Example 1 – A Kuwaiti company
Shareholder A (Block), from Bahrain has 27%
Shareholder B (Block), from U.S. has 10%
Foreign investment limit is: 20%
S&P Dow Jones Indices: S&P Float Adjustment Methodology

8

GCC investment limit is: 49%
1 – sum of all strategic holders => 100 – (27+10) = 63%
FOL (GCC) – sum of GCC and foreign strategic holders => 49 – (27 + 10) = 12%
FOL (foreign) – sum of foreign strategic holders => 20 – 10 = 10%
For the Kuwait domestic index, the IWF = 63%
For the Composite series, the IWF = min (#1 or #2) = 12%
For the Investable series, the IWF = min (#1, #2, #3) = 10%
Example 2 – the same Kuwaiti company with the GCC holder from Bahrain owning 35%
Shareholder A (Block), from Bahrain has 35%
Shareholder B (Block), from U.S. has 10%
Foreign investment limit is: 20%
GCC investment limit is: 49%
1 – sum of all strategic holders => 100 – (35+10) = 55%
FOL (GCC) – sum of GCC and foreign strategic holders => 49 – (35 + 10) = 4%
FOL (foreign) – sum of foreign strategic holders => 20 – 10 = 10%
For the Kuwait domestic index, the IWF = 55%
For the Composite series, the IWF = min (#1 or #2) = 4%
For the Investable series, the IWF = min (#1, #2, #3) = 4%

S&P Dow Jones Indices: S&P Float Adjustment Methodology

9Investable Weight Factor MaintenanceRebalancing Frequency
Investable Weight Factors (IWFs) are reviewed annually based on the most recently available data filedwith various regulators and exchanges. For the S&P Dow Jones indices, updated IWFs resulting from theannual review are applied either prior to the open of the Monday after the third Friday of September or adate that is more appropriate for a particular index family. For example, the S&P Global BMI constituents’
new IWFs are applied at the annual reconstitution at the open of the Monday after the third Friday of
September; for the S&P Frontier BMI index constituents, revised IWFs are applied at the annual
reconstitution at the open of the Monday after the third Friday of March. A reference date, after the market
close five weeks prior to the third Friday in March, June, September, and December, is the cutoff for
publicly available information used for quarterly shares outstanding and IWF changes.
Please refer to individual index methodologies for specifics on IWF rebalancing schedules.
Timing of Changes•

Annual Review: IWF changes are implemented based on the latest publicly available shareand ownership information subject to the reference dates referred to above. All IWFs of 0.96 or
above are rounded to 1.00 at the annual review.

•

Quarterly Review: At the quarterly review, IWF changes are implemented if there is a sharechange of at least 5% of total current shares outstanding and if the adjusted IWF absolute change
is at least 5%, with IWF adjustments limited to the extent necessary to help reflect thecorresponding share change. For quarterly reviews that coincide with the annual review, theannual review rules apply.

•

Mandatory Actions: In order to minimize index turnover, any IWF changes resulting from M&A
activity are implemented based on the pre-event IWFs of the securities involved.

•

Non-Mandatory Actions:▪

For actions qualifying for accelerated implementation, IWF changes are implemented tohelp mimic the shares made available in the offering.

▪

For actions of at least US $1 billion that qualify for accelerated implementation, IWF
changes are implemented to reflect the shares made available in the offering plus thelatest share and ownership information publicly available at the time of theannouncement.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

10Index Data
Data Distribution
IWFs are provided with other index data as part of regular S&P Dow Jones Indices’ index data
distribution.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

11Index GovernanceIndex Committee
Questions of interpretation or possible exceptions to float adjustment rules are considered by an S&P
Dow Jones Indices Index Committee.
S&P Dow Jones Indices’ Index Committees reserve the right to make exceptions when applying themethodology if the need arises. In any scenario where the treatment differs from the general rules statedin this document or supplemental documents, clients will receive sufficient notice, whenever possible.
In addition, at least once within any 12-month period, the Index Committee reviews the methodology toensure the data, policies, and methodology remain effective. In certain instances, S&P Dow Jones
Indices may publish a consultation inviting comments from external parties.
For information on Quality Assurance and Internal Reviews of Methodology, please refer to S&P Dow
Jones Indices’ Equity Indices Policies & Practices Methodology.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

12Index Policy
To the maximum extent possible, S&P Dow Jones Indices seeks to float adjust all market capitalization
indices and to apply consistent and uniform rules across all its indices.
Contact Information
For questions regarding an index, please contact: index_services@spglobal.com.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

13Appendix
Methodology Changes
Methodology changes since January 1, 2017, are as follows:
ChangeEffective Date
(After Close)

IWFs

09/20/2024

Quarterly
SharesOutstanding
and IWF
Reference
Dates

08/13/2021

Methodology
Previous
UpdatedQuarterly Review: IWF changes Quarterly Review: At the quarterly
are implemented if the change isreview, IWF changes areat least 5% of total shares
implemented if there is a shareoutstanding and is related to achange of at least 5% of total
single corporate action,
current shares outstanding and if
regardless if there is an
the adjusted IWF absolute change
associated share change. For
is at least 5%, with IWF
quarterly reviews that coincide
adjustments limited to the extent
with the annual review, thenecessary to help reflect theannual review rules apply.
corresponding share change.
A reference date, after the market
A reference date, after the market
close on the Tuesday prior to theclose five weeks prior to the third
second Friday in March, June,
Friday in March, June, September,
September, and December.
and December, is the cutoff for
publicly available information used
for quarterly shares outstanding
and IWF changes.
Updates to IWFs are only made at • Annual Review: IWF changes
the annual IWF review unless aare implemented based on thechange is prompted by alatest publicly available sharemandatory event such as M&A
and ownership information. All
activity.
IWFs of 0.96 or above arerounded to 1.00 at the annual
review.

IWFs:
Timing ofChanges

03/27/2020• Quarterly Review: IWF changes
are implemented if the change is
at least 5% of total shares
outstanding and is related to asingle corporate action,
regardless if there is anassociated share change. For
quarterly reviews that coincidewith the annual review, theannual review rules apply.
• Mandatory Actions: In order tominimize index turnover, any IWF
changes resulting from M&A
activity are implemented based on
the pre-event IWFs of the
securities involved.
• Non-Mandatory Actions:▪ For actions qualifying foraccelerated implementation,
IWF changes are implemented

S&P Dow Jones Indices: S&P Float Adjustment Methodology

14Change

Strategic
Holders List
UpdatedMergerRelatedInvestable
WeightFactor (IWF)
ChangeElimination of
MexicoRegional
Variation

Frequency of
FOL reviews

Effective Date
(After Close)

03/29/2019

01/19/2018

09/21/2018

03/21/2017

Methodology
Previous

Savings & Investment Plans/401K
Plans of the Company areincluded in the float calculation.
A merger related IWF change
resulting in an IWF of 0.96 or
greater is rounded up to 1.00 on
the merger effective date.

Updatedto help mimic the shares madeavailable in the offering.
For actions of at least US $1 billion
that qualify for accelerated
implementation, IWF changes are
implemented to reflect the shares
made available in the offering plus
the latest share and ownership
information publicly available atthe time of the announcement.
Savings & Investment
Plans/Defined Contribution Plans of
the Company are excluded from thefloat calculation.
A merger related IWF change that
results in an IWF of 0.96 or greater
is rounded up to 1.00 at the next
annual IWF review.

The S&P/BMV Indices follow thefloat adjustment methodology of
the Bolsa Mexicana de Valores,
S.A.B. de C.V. (BMV) as
referenced in the S&P/BMV
Indices Methodology available atwww.spglobal.com/spdji/. Allother S&P- and Dow Jonesbranded indices follow S&P Dow
Jones Indices’ standard float
adjustment methodology as
detailed in this document.

----

Language has been added toindicate that all statutory limits on
foreign ownership, referred to as
foreign ownership limits (FOLs), arereviewed on a quarterly basis.

S&P Dow Jones Indices: S&P Float Adjustment Methodology

15

Disclaimer
Performance Disclosure/Back-Tested Data
Where applicable, S&P Dow Jones Indices and its index-related affiliates (“S&P DJI”) defines various
dates to assist our clients by providing transparency. The First Value Date is the first day for which there
is a calculated value (either live or back-tested) for a given index. The Base Date is the date at which theindex is set to a fixed value for calculation purposes. The Launch Date designates the date when thevalues of an index are first considered live: index values provided for any date or time period prior to theindex’s Launch Date are considered back-tested. S&P DJI defines the Launch Date as the date by which
the values of an index are known to have been released to the public, for example via the company’s
public website or its data feed to external parties. For Dow Jones-branded indices introduced prior to May
31, 2013, the Launch Date (which prior to May 31, 2013, was termed “Date of introduction”) is set at adate upon which no further changes were permitted to be made to the index methodology, but that may
have been prior to the Index’s public release date.
Please refer to the methodology for the Index for more details about the index, including the manner inwhich it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as allindex calculations.
Information presented prior to an index’s launch date is hypothetical back-tested performance, not actual
performance, and is based on the index methodology in effect on the launch date. However, whencreating back-tested history for periods of market anomalies or other periods that do not reflect thegeneral current market environment, index methodology rules may be relaxed to capture a large enoughuniverse of securities to simulate the target market the index is designed to measure or strategy the index
is designed to capture. For example, market capitalization and liquidity thresholds may be reduced. In
addition, forks have not been factored into the back-test data with respect to the S&P Cryptocurrency
Indices. For the S&P Cryptocurrency Top 5 & 10 Equal Weight Indices, the custody element of themethodology was not considered; the back-test history is based on the index constituents that meet thecustody element as of the Launch Date. Also, the treatment of corporate actions in back-tested
performance may differ from treatment for live indices due to limitations in replicating index management
decisions. Back-tested performance reflects application of an index methodology and selection of index
constituents with the benefit of hindsight and knowledge of factors that may have positively affected its
performance, cannot account for all financial risk that may affect results and may be considered to reflectsurvivor/look ahead bias. Actual returns may differ significantly from, and be lower than, back-tested
returns. Past performance is not an indication or guarantee of future results.
Typically, when S&P DJI creates back-tested index data, S&P DJI uses actual historical constituent-level
data (e.g., historical price, market capitalization, and corporate action data) in its calculations. As ESG
investing is still in early stages of development, certain datapoints used to calculate certain ESG indices
may not be available for the entire desired period of back-tested history. The same data availability issue
could be true for other indices as well. In cases when actual data is not available for all relevant historicalperiods, S&P DJI may employ a process of using “Backward Data Assumption” (or pulling back) of ESG
data for the calculation of back-tested historical performance. “Backward Data Assumption” is a processthat applies the earliest actual live data point available for an index constituent company to all priorhistorical instances in the index performance. For example, Backward Data Assumption inherently
assumes that companies currently not involved in a specific business activity (also known as “productinvolvement”) were never involved historically and similarly also assumes that companies currently
involved in a specific business activity were involved historically too. The Backward Data Assumption
allows the hypothetical back-test to be extended over more historical years than would be feasible using
only actual data. For more information on “Backward Data Assumption” please refer to the FAQ. The
methodology and factsheets of any index that employs backward assumption in the back-tested history
S&P Dow Jones Indices: S&P Float Adjustment Methodology

16

will explicitly state so. The methodology will include an Appendix with a table setting forth the specificdata points and relevant time period for which backward projected data was used. Index returns shown
do not represent the results of actual trading of investable assets/securities. S&P DJI maintains the index
and calculates the index levels and performance shown or discussed but does not manage any assets.
Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase thesecurities underlying the Index or investment funds that are intended to track the performance of theIndex. The imposition of these fees and charges would cause actual and back-tested performance of the
securities/fund to be lower than the Index performance shown. As a simple example, if an index returned
10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based feeof 1.5% was imposed at the end of the period on the investment plus accrued interest (or US $1,650), thenet return would be 8.35% (or US $8,350) for the year. Over a three-year period, an annual 1.5% fee
taken at year end with an assumed 10% return per year would result in a cumulative gross return of
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