S&P/BVL Family of Indices · s&p/bvl family of indices Source: S&P Dow Jones Indices • The...

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For Financial Professionals. Not for Public Distribution. PROPRIETARY. Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices. S&P/BVL Family of Indices December 2014

Transcript of S&P/BVL Family of Indices · s&p/bvl family of indices Source: S&P Dow Jones Indices • The...

Page 1: S&P/BVL Family of Indices · s&p/bvl family of indices Source: S&P Dow Jones Indices • The S&P/BVL Peru General Index is Peru’s flagship index the IGBVL with an enhanced methodology.

For Financial Professionals. Not for Public Distribution. PROPRIETARY. Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

S&P/BVL Family of Indices

December 2014

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For Financial Professionals. Not for Public Distribution. PROPRIETARY. Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices.

S&P/BVL FAMILY OF INDICES

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Source: S&P Dow Jones Indices

Indice General de la Bolsa de Valores de Lima (IGBVL)

New Index

IGBVL Sector Sub-Sector Indices

Indice Selectivo de la Bolsa de Valores de Lima (ISBVL)

Indice de Buen Gobierno Corporativo (IBGC)

• Index to track all Peruvian companies meeting BGC criteria as set by the BVL.

• Survey process to be maintained by the Exchange. • S&PDJI to calculate index.

S&P/BVL Peru General Index

S&P/BVL Peru Select Index

S&P/BVL Sectors & Sub-Sector Indices

S&P/BVL Lima 25 Index

S&P/BVL IBGC Corporate Governance Index

• New methodology to create a country benchmark based on float-adjusted market capitalization & liquidity criteria

• New index name • History to follow IGBVL

• Tradable index composed of the largest most liquid stocks incorporating diversification and buffer rules

• New structure based on combinations of GICS • 5 Sector Indices: Consumer, Financials, Industrials, Mining,

Public Services • 3 Sub Indices: Electric Utilities, Construction, Juniors

• Index will represent the most liquid stocks trading in BVL • Selection and weighting based on local liquidity. • New index name • History to follow existing ISBVL

Existing Indices New Indices Transition

Discontinued Effective January 2015 Indice Nacional de Capitalizacion (INCA)

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S&P/BVL INDEX STRUCTURES

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Source: S&P Dow Jones Indices

S&P/BVL Peru General Index

S&P/BVL Peru Select Index

S&P/BVL LIMA 25 Index

S&P/BVL IBGC Index

S&P/BVL Sector and Subsector Indices

Consumer

Financials

Industrials

Mining

Construction

Juniors

Electric Utilities

Public Services

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S&P/BVL FAMILY OF INDICES

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Source: S&P Dow Jones Indices

• The S&P/BVL Peru General Index is Peru’s flagship index the IGBVL with an enhanced methodology. It is designed to serve as the broad benchmark for the Peruvian stock market, including companies listed on the Lima Stock Exchange. The Index has minimum float-adjusted market capitalization and liquidity requirements. It employs a modified market capitalization weighting scheme to reduce stock concentration. It tracks the long history the IGBVL which goes back to 1991.

• The S&P/BVL Peru Select Index is a newly created index designed to measures the performance of the largest and most liquid stocks listed in Peru. The index uses a modified market capitalization weighting scheme, providing investors with a representative, yet investable index covering the Peruvian equity market.

• The S&P/BVL Lima 25 Index is an index that aims to capture the most liquid companies trading on the Lima Stock Exchange. The index selection and stocks’ weights are based on liquidity. Liquidity, considers shares traded, days traded, and number of transactions over a period of 12 months prior to the semi-annual rebalancings.

• The S&P/BVL IBGC Index (Good Corporate Governance Index) is an index created to track the performance of companies that are committed to good governance. Junior companies and multiple share classes are not eligible.

• The S&P/BVL Peru Sector and Sub-Sector Indices are indices designed to reflect the performance of stocks classified in the pre-defined sectors and sub-sectors. Global Industry Classification Standard (GICS®) sectors and sub-industries are mapped to create the following S&P/BVL Sector Indices: Consumers, Financials, Industrials, Mining, and Public Services. The sub-sectors include Electric Utilities, Construction and Juniors which are mining companies that have funding but no operations in Peru.

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S&P/BVL PERU SECTOR AND SUB-SECTOR INDICES

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Source: S&P Dow Jones Indices

S&P/BVL Consumer Index – The index measures the performance of companies classified as consumer staples. This includes companies in the food products, beverages, and staples retailing.

S&P/BVL Financials Index - The index measures the performance of companies classified as financials. This includes banks and diversified financial services companies.

S&P/BVL Industrials Index - The index measures the performance of companies representing large local industries such as those in the energy, consumer discretionary, transportation, capital goods, construction materials, and steel industries.

S&P/BVL Mining Index – The index is composed of mining companies primarily engaged in the production, extraction, and/or processing of gold as well as diversified metals and minerals including copper, zinc, lead, silver and others.

S&P/BVL Public Services Index – The index measures the performance of companies engaged in the Utilities and Telecommunication industries. This includes companies providing telephone services, electric utilities, and independent power producers and energy traders.

Sub-sector indices include S&P/BVL Electric Utilities Index– This is a sub-index of the Public Services sector and it only represents the electric utilities companies.

S&P/BVL Construction Index – This index represents the construction industry including companies from the Industrials and Mining sectors.

S&P/BVL Juniors Index - This is a sub-index of the Mining sector and it only represents those companies seeking funding that are in the exploration and development stage.

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S&P/BVL PERU GENERAL– METHODOLOGY SUMMARY

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The index’s objective is to serve as the broad benchmark for the local market. • All the securities listed on the Bolsa de Valores de Lima (BVL) are eligible • Junior companies listed in BVL are eligible • Multiple shares are eligible • Minimum float-adjusted market capitalization of US$ 10 million • Liquidity screen:

o Stocks on the top 95% liquidity score* are eligible. o Trading days must be at least 20% for the past 3 months and 6 months

• Float-adjusted market capitalization weighted • Constituents are capped at 25%. If a company derives less than 50% of revenue

from Peru it is capped at 10%. • Full annual rebalancing in September, with quarterly updates and reweights in

March, June, and December * Each stock’s liquidity score is the geometric average of the amount traded, the number of transactions, (as a percentage of the BVL’s total traded volume and total number of transactions, respectively) and the frequency of the trades over the last 12 months.

Source: S&P Dow Jones Indices; source for liquidity score: BVL

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S&P/BVL PERU GENERAL INDEX- COMPOSITION

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Company Name GICS SECTOR Company Name GICS

SECTOR

1 Alicorp SA Consumer Staples 20 Grana y Montero SAA Industrials 2 Andino Investment Holding SAC Industrials 21 InRetail Peru Corp. Consumer Staples 3 Austral Group SAA Consumer Staples 22 Intercorp Financial Services Inc. Financials 4 BBVA Banco Continental SA Financials 23 Inversiones Centenario SAA Financials 5 BPZ Resources, Inc. Energy 24 Luz del Sur SA Utilities 6 Casa Grande SAA Consumer Staples 25 Maple Energy Plc Energy 7 Cementos Pacasmayo SAA Materials 26 Minera IRL Limited Materials 8 Cia Minera Atacocha SAA Class B Materials 27 Minsur S.A. Materials 9 Cia de Minas Buenaventura SAA ADR Materials 28 Panoro Minerals Ltd. Materials

10 Cia Minera Milpo SAA Materials 29 Pesquera Exalmar S.A. Consumer Staples 11 Corporacion Aceros Arequipa SA Materials 30 Refineria La Pampilla SAA Class A Energy 12 Corporacion Aceros Arequipa SA Materials 31 Rio Alto Mining Limited Materials 13 Credicorp Ltd. Financials 32 Sociedad Minera Cerro Verde SAA Materials

14 Edegel SAA Utilities 33 Sociedad Minera el Brocal S.A.A. Materials 15 Empresa Agroindustrial Pomalca SA Consumer Staples 34 Southern Copper Corporation Materials

16 Empresa de Distribucion Electrica de Lima Norte SA Utilities 35 Trevali Mining Corporation Materials

17 Empresa Siderurgica del Peru SAA Materials 36 Union Andina de Cementos SAA Materials

18 Enersur S.A. Utilities 37 Union de Cervecerias Peruanas Backus y Johnston SAA Consumer Staples

19 Ferreycorp SA Industrials 38 Volcan Compania Minera S.A.A. Class B Materials

Source: S&P Dow Jones Indices. Data as of August 29, 2014. Charts are provided for illustrative purposes.

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S&P/BVL PERU GENERAL INDEX

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Source: S&P Dow Jones Indices. Data as of August 29, 2014. Charts are provided for illustrative purposes.

Consumer Staples 9.6%

Energy 1.0%

Financials 31.3%

Industrials 6.6%

Materials 45.5%

Utilities 5.9%

GICS Sector Weights Number of Constituents 38 Constituent Market Cap [USD Million] Float Adj Market Cap

Mean

950.2

Largest

10,174.4

Smallest

11.5

Median

382.8

Weight of Largest Constituent (%) 28.2%

Weight of Top 10 Constituents (%) 81.3%

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S&P/BVL PERU SELECT INDEX – METHODOLOGY SUMMARY

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• Selection universe includes all the securities listed on the BVL, off-shore listings are eligible if they have better liquidity than the local market

• Minimum Size Criteria: Float-adjusted market cap of US$ 45 million at rebalancing. Float adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.

• Multiple shares are not eligible, only most liquid share will be selected if multiple shares meet size criterion.

• Liquidity Criteria: 3-month and 6-month average daily value traded (ADVT) must be equal to or greater than US$ 100,000

• Trading days: stocks must have at least 80% trading days in the past 3 months and 6 months. • A stock’s weight in an index is determined by its float-adjusted market capitalization • Capping:

– Individual stock is capped at 15% – Each sector is capped at 40%

• Timing of Changes: The index is rebalanced twice a year, after the close of business of the third Friday of March and September.

Source: S&P Dow Jones Indices

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S&P/BVL PERU SELECT – COMPOSITION

.Source: S&P Dow Jones Indices. Data as of November 28, 2014. Charts are provided for illustrative purposes.

COMPANY GICS Sector

1 Alicorp SA Consumer Staples

2 Banco Continental Financials

3 Cementos Pacasmayo C Materials

4 Compania de Minas Buenaventura S.A.A. Materials

5 Credicorp Limited Financials

6 Edegel SA Utilities

7 Edelnor SA Utilities

8 Ferreycorp S.A.A. Industrials

9 Grana y Montero SA Industrials

10 Intercorp Financial Services Inc Financials

11 Luz Del Sur SA Utilities

12 Minera Milpo Materials

13 Minsur SA I Materials

14 Refineria La Pampilla SA A Energy

15 Rio Alto Mining Limited Materials

16 Sociedad Minera Cerro Verde SA Materials

17 Southern Copper Corp Materials

18 Union Andina de Cementos S.A.A. Materials

19 Volcan Compania Minera S.A.A. B Materials

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S&P/BVL PERU SELECT – MARKET DATA

.Source: S&P Dow Jones Indices. Data as of November 28, 2014. Charts are provided for illustrative purposes.

Consumer Staples 14% Energy

0%

Financials 28%

Industrials 13%

Materials 37%

Utilities 8%

GICS Sector Weights

Number of Constituents 19

Constituent [PEN Million] [USD Million]

Market Cap Float Adj MC Total MC Float-Adj MC Total MC

Mean Largest Smallest Median

4,394.8

12,114.1

2,189.2 6,202.3

31,507.4

77,374.7

10,788.4 26,493.7

144.5

295.0

144.5 295.0

1,622.9

5,031.3

1,257.6 3,416.3

Weight of Largest Constituent (%) 17.62%

Weight of Top 10 Constituents (%) 82.72%

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S&P/BVL PERU SELECT – PERFORMANCE

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Source: S&P Dow Jones Indices . Data as of November 28, 2014. Charts are provided for illustrative purposes. The chart may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance. Past Performance is no guarantee of future results.

Total Return (USD)

S&P/BVL Peru Select Index

S&P MILA Pacific Alliance Select

S&P MILA Pacific Alliance Composite S&P Peru BMI

Return

since 3/31/2006 16.9% 9.2% 8.4% 16.2%

5 year 7.1% 6.2% 5.7% 2.2%

3 year -0.1% 3.1% 2.8% -2.5%

Risk

since 3/31/2006 27.7% 21.9% 22.0% 29.6%

5 year 20.7% 17.7% 17.2% 20.7%

3 year 16.4% 15.1% 14.7% 17.0%

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S&P/BVL PERU SELECT – PERFORMANCE SINCE INCEPTION

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Source: S&P Dow Jones Indices . Data as of November 28, 2014. Charts are provided for illustrative purposes. The chart may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information regarding the inherent limitations associated with back-tested performance. Past Performance is no guarantee of future results.

0

100

200

300

400

500

600

S&P/BVL Peru Select Index TR

S&P MILA Pacific Alliance Select TR

S&P MILA Pacific Alliance Composite TR

S&P Peru BMI TR

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S&P/BVL LIMA 25 INDEX – METHODOLOGY SUMMARY

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* Liquidity score is calculated for each stock as a geometric average of the local amount traded, the number of transactions and trade frequency.

The Index aims to capture the most liquid companies trading in the BVL. • All the member of the S&P/BVL Peru General are eligible • Selection is based on the top 25 stocks by liquidity score* • Weighting is based on liquidity score • Buffer rules are used on constituents’ liquidity score ranking to reduce turnover.

Existing constituents will remain in the index as long as they are among the top 35 companies and are still members of the S&P/BVL Peru General Index.

• The index is rebalanced twice a year, after the close of business of the third Friday of March and September. The rebalancing reference dates are after the close of the last business day of February and August, respectively

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S&P BVL LIMA 25 – COMPOSITION

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Company Name GICS SECTOR

1 Alicorp SA Consumer Staples 2 BBVA Banco Continental SA Financials 3 Casa Grande SAA Consumer Staples 4 Cementos Pacasmayo SAA Materials 5 Cia Minera Atacocha SAA Class B Materials 6 Compania de Minas Buenaventura SAA Sponsored ADR Materials 7 Compania Minera Milpo SAA Materials 8 Corporacion Aceros Arequipa SA Materials 9 Credicorp Ltd. Financials

10 Edegel SAA Utilities 11 Empresa Siderurgica del Peru SAA Materials 12 Ferreycorp SA Industrials 13 Grana y Montero SAA Industrials 14 InRetail Peru Corp. Consumer Staples 15 Intercorp Financial Services Inc. Financials 16 Luz del Sur SA Utilities 17 Maple Energy Plc Energy 18 Minsur S.A. Materials 19 Panoro Minerals Ltd. Materials 20 Refineria La Pampilla SAA Class A Energy 21 Rio Alto Mining Limited Materials 22 Sociedad Minera Cerro Verde SAA Materials 23 Trevali Mining Corporation Materials 24 Union Andina de Cementos SAA Materials 25 Volcan Compania Minera S.A.A. Class B Materials

Source: S&P Dow Jones Indices. Data as of August 29, 2014. Charts are provided for illustrative purposes.

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S&P/BVL SECTORS & SUBSECTORS – STRUCTURE BASED ON GICS®

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Sectors/ Subsectors Sector and Subsector Indices are composed of GICS Sectors or Sub-Industries highlighted in blue Spanish English SECTOR INDUSTRY GROUP INDUSTRY SUB-INDUSTRY Sector Mineras Mining

Materials Materials Metals & Mining

Aluminum Diversified Metals & Mining Gold

Precious Metals & Minerals Sector Servicios Públicos

Public Services Telecommunication Services

Telecommunication Services Diversified Telecom Services Integrated Telecom Services

Utilities Utilities Electric Utilities Electric Utilities Sector Financiero Financials Financials

Sector Consumo

Consumer Staples Consumer Staples

Sector Industrial Industrials Energy Energy Oil, Gas & Consumable Fuels Integrated Oil & Gas

Consumer Discretionary Automobiles & Components Auto Components Tires & Rubber

Industrials Capital Goods Construction & Engineering Construction & Engineering Industrials Capital Goods Trading Companies & Distributors Trading Companies & Distributors Industrials Transportation Transportation Infrastructure Marine Ports & Services Materials Materials Construction Materials Construction Materials Materials Materials Metals & Mining Steel

SUBSECTORS Subsector ELECTRICAS Electric Utilities Utilities

Subsector Construccion

Construction Materials Materials Construction Materials Construction Materials Materials Materials Metals & Mining Steel Industrials Capital Goods Construction & Engineering Construction & Engineering

Subsector Juniors Juniors Materials Materials Metals & Mining Diversified Metals & Mining

Subsector of Mining Gold Junior sub-sector represents those mining companies seeking funding that are in the exploration and development stage.

* The Global Industry Classification Standard (GICS®) was developed by and is the exclusive property of MSCI and S&P Dow Jones Indices. Global Industry Classification Standard (GICS®) is a service mark of MSCI and S&P Dow Jones Indices.

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S&P/BVL SECTOR INDICES

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Company Name S&P/BVL

Sector Index GICS SECTOR GICS Sub-Industry Alicorp SA Consumer Consumer Staples Packaged Foods & Meats InRetail Peru Corp. Consumer Consumer Staples Hypermarkets & Super Centers Union de Cervecerias Peruanas Backus y Johnston Consumer Consumer Staples Brewers Casa Grande SAA Consumer Consumer Staples Packaged Foods & Meats Pesquera Exalmar S.A. Consumer Consumer Staples Packaged Foods & Meats Austral Group SAA Consumer Consumer Staples Packaged Foods & Meats Empresa Agroindustrial Pomalca SA Consumer Consumer Staples Agricultural Products Credicorp Ltd. Financials Financials Diversified Banks Intercorp Financial Services Inc. Financials Financials Other Diversified Financial Services BBVA Banco Continental SA Financials Financials Diversified Banks Inversiones Centenario SAA Financials Financials Diversified Real Estate Activities Grana y Montero SAA Industrials Industrials Construction & Engineering Ferreycorp SA Industrials Industrials Trading Companies & Distributors Union Andina de Cementos SAA Industrials Materials Construction Materials Cementos Pacasmayo SAA Industrials Materials Construction Materials BPZ Resources, Inc. Industrials Energy Oil & Gas Exploration & Production Corporacion Aceros Arequipa SA Industrials Materials Steel Refineria La Pampilla SAA Class A Industrials Energy Oil & Gas Refining & Marketing Andino Investment Holding SAC Industrials Industrials Marine Ports & Services Corporacion Aceros Arequipa SA Industrials Materials Steel Empresa Siderurgica del Peru SAA Industrials Materials Steel Maple Energy Plc Industrials Energy Integrated Oil & Gas

Source: S&P Dow Jones Indices. Data as of August 29, 2014. Charts are provided for illustrative purposes.

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S&P/BVL SECTOR INDICES

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Company Name S&P/BVL Sector

Index GICS SECTOR GICS Sub-Industry

Southern Copper Corporation Mining Materials Diversified Metals & Mining

Compania de Minas Buenaventura SAA ADR Mining Materials Gold

Volcan Compania Minera S.A.A. Class B Mining Materials Diversified Metals & Mining

Rio Alto Mining Limited Mining Materials Diversified Metals & Mining

Minsur S.A. Mining Materials Diversified Metals & Mining

Compania Minera Milpo SAA Mining Materials Diversified Metals & Mining

Sociedad Minera Cerro Verde SAA Mining Materials Diversified Metals & Mining

Trevali Mining Corporation Mining Materials Diversified Metals & Mining

Sociedad Minera el Brocal S.A.A. Mining Materials Diversified Metals & Mining

Panoro Minerals Ltd. Mining Materials Diversified Metals & Mining

Minera IRL Limited Mining Materials Gold

Cia Minera Atacocha SAA Class B Mining Materials Diversified Metals & Mining

Enersur S.A. Public Services Utilities Independent Power Producers & Energy Traders

Luz del Sur SA Public Services Utilities Electric Utilities

Edegel SAA Public Services Utilities Independent Power Producers & Energy Traders

Empresa de Distribucion Electrica de Lima Norte SA Public Services Utilities Electric Utilities

Source: S&P Dow Jones Indices. Data as of August 29, 2014. Charts are provided for illustrative purposes.

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PERFORMANCE DISCLOSURE The S&P/BVL Peru Select Index was launched on December 1, 2014. The S&P MILA Pacific Alliance Family of Indices were launched on July 24, 2014. All information presented prior to the launch date is back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. Complete index methodology details are available at www.spdji.com. It is not possible to invest directly in an index. Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the Index. Please refer to the methodology paper for the Index, available at www.spdji.com or www.spindices.com for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. It is not possible to invest directly in an Index. Another limitation of back-tested hypothetical information is that generally the back-tested calculation is prepared with the benefit of hindsight. Back-tested data reflect the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities (or fixed income, or commodities) markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The Index returns shown do not represent the results of actual trading of investible assets/securities. S&P Dow Jones Indices LLC maintains the Index and calculates the Index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the Index or investment funds that are intended to track the performance of the Index. 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 fee of 1.5% was imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).

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GENERAL DISCLAIMER

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Page 21: S&P/BVL Family of Indices · s&p/bvl family of indices Source: S&P Dow Jones Indices • The S&P/BVL Peru General Index is Peru’s flagship index the IGBVL with an enhanced methodology.

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