MSCI Kokusai High Dividend Yield Index

MSCI Kokusai High Dividend Yield Index
(USD)
The MSCI Kokusai High Dividend Yield Index is based on the MSCI Kokusai Index, its parent index, and
includes large and mid cap stocks across 22 of 23 Developed Markets (DM) countries (excluding Japan)*.
The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher
dividend income and quality characteristics than average dividend yields that are both sustainable and
persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with
potentially deteriorating fundamentals that could force them to cut or reduce dividends.
Cumulative Index Performance — Gross Returns (Dec 1999 – Dec 2014) — USD
300
Annual Performance (%)
Year
MSCI Kokusai HDY
MSCI Kokusai
MSCI
Kokusai HDY
MSCI Kokusai
3.47
22.76
13.94
4.96
6.37
34.33
-42.71
7.54
29.72
8.24
20.29
30.89
-10.03
-7.68
6.38
27.37
17.36
-3.99
11.99
34.04
-41.55
11.25
22.61
8.24
15.20
33.53
-20.43
-15.06
2014
2013
2012
247.39
2011
2010
2009
200
2008
183.77
2007
2006
2005
2004
2003
2002
2001
100
50
Dec 99
Mar 01
Jun 02
Sep 03
Dec 04
Mar 06
Jun 07
Sep 08
Dec 09
Mar 11
Jun 12
Sep 13
Dec 14
Index Performance — Gross Returns (%) (December 31, 2014)
Fundamentals (December 31, 2014)
Annualized
MSCI Kokusai HDY
MSCI Kokusai
1 Mo
3 Mo
1 Yr
YTD
-2.74
-1.58
-1.67
1.44
3.47
6.38
3.47
6.38
3 Yr
5 Yr
10 Yr
13.11 10.07
16.72 11.33
6.50
7.06
Since
Div Yld (%)
P/E
P/E Fwd
P/BV
9.40
8.44
3.87
2.47
15.19
18.24
14.79
15.63
2.29
2.31
Jun 30, 1995
Index Risk and Return Characteristics (December 31, 2014)
Annualized Std Dev (%)2
Turnover
(%)1
MSCI Kokusai HDY
MSCI Kokusai
1
8.99
2.41
Sharpe Ratio2,3
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
10.63
10.55
13.95
14.91
16.81
16.51
1.20
1.51
0.74
0.78
0.35
0.39
Last 12 months
2
Based on monthly gross returns data
3
Maximum Drawdown
Since
Jun 30, 1995
0.47
0.41
(%)
Period YYYY-MM-DD
62.58
58.31
2007-10-31—2009-03-09
2007-10-31—2009-03-09
Based on BBA LIBOR 1M
* The Developed Markets countries in the index include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
The MSCI Kokusai High Dividend Yield Index was launched on Oct 31, 2006. Data prior to the launch date is back-tested data (i.e. calculations of how the index might have performed over that time period
had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is no indication or guarantee of
future performance.
MSCI Kokusai High Dividend Yield Index
December 31, 2014
Index Characteristics
Top 10 Constituents
MSCI Kokusai HDY
Number of
Constituents
Country
272
Mkt Cap
(USD Millions)
Index
Largest
Smallest
Average
Median
7,406,330.09
294,917.41
1,476.81
27,229.15
10,171.32
US
CH
CH
US
US
CH
US
US
US
GB
JOHNSON & JOHNSON
NESTLE
NOVARTIS
CHEVRON CORP
PFIZER
ROCHE HOLDING GENUSS
INTEL CORP
AT&T
MERCK & CO
ROYAL DUTCH SHELL A
Total
Sector Weights
(USD Billions)
Mkt Cap
Wt. (%)
Index
Sector
Sector
294.92
236.75
213.79
213.02
197.52
190.83
179.67
174.20
163.82
132.39
1,996.91
3.98
3.20
2.89
2.88
2.67
2.58
2.43
2.35
2.21
1.79
26.96
Health Care
Cons Staples
Health Care
Energy
Health Care
Health Care
Info Tech
Telecom Srvcs
Health Care
Energy
17.9
21.1
13.0
22.8
12.0
11.6
61.8
41.3
9.9
14.2
Wt. (%)
Country Weights
6.92%
8.71%
5.7%
5.07%
7.56%
10.71%
20.13%
5.6%
12.6%
5.39%
3.93%
16.31%
13.77%
22.24%
40.22%
15.14%
United States 40.22%
Health Care 22.24%
Utilities 8.71%
Consumer Staples 15.14%
Materials 6.92%
Consumer Discretionary 5.39%
Financials 13.77%
Telecommunication Services 5.7%
Energy 12.6%
France 5.07%
United Kingdom 16.31%
Switzerland 10.71%
Canada 7.56%
Other 20.13%
Industrials 5.6%
Information Technology 3.93%
Index Methodology
Each MSCI High Dividend Yield Index targets companies with high dividend income and quality characteristics and includes companies that have higher
than average dividend yields that are both sustainable and persistent. Index construction starts with a dividend screening process: only securities with a
track record of consistent dividend payments and with the capacity to sustain dividend payouts into the future are eligible index constituents. Securities
are also screened based on certain “quality” factors such as return on equity (ROE), earnings variability, debt to equity (D/E), and on recent 12-month
price performance. The goal is to exclude stocks with potentially deteriorating fundamentals that could be forced to cut or reduce dividends. From the list
of eligible companies, only those with higher than average dividend yields are selected for inclusion in the index. Issuer weights are capped at 5%. The
index is market cap weighted and rebalanced semi-annually in May and November.
www.msci.com | [email protected]
About MSCI
MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. MSCI products and services include indexes, portfolio risk and performance analytics,
and ESG data and research.
1
The company's flagship product offerings are: the MSCI indexes with approximately USD 9 trillion estimated to be benchmarked to them on a worldwide basis ; Barra multi-asset class factor models, portfolio risk and performance analytics;
RiskMetrics multi-asset class market and credit risk analytics; IPD real estate information, indexes and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; and FEA valuation models and risk
management software for the energy and commodities markets. MSCI is headquartered in New York, with research and commercial offices around the world.
1
As of March 31, 2014, as reported on June 25, 2014 by eVestment, Lipper and Bloomberg.
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