MSCI North America High Dividend Yield Index (CAD)

MSCI North America High Dividend Yield
Index
(CAD)
The MSCI North America High Dividend Yield Index is based on MSCI North America, its parent index, and
includes large and mid cap stocks across US and Canada. 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 (Oct 1999 – Oct 2014) — CAD
Annual Performance (%)
Year
MSCI North America HDY
MSCI North America
MSCI North
America HDY
MSCI North
America
35.82
9.01
15.35
9.73
3.63
-12.81
-14.03
20.44
1.76
4.71
2.72
-14.45
1.81
14.53
39.13
13.01
3.04
9.93
9.84
-22.20
-8.69
15.04
4.26
3.18
6.44
-23.15
-6.90
-8.67
2013
2012
215.21
200
2011
2010
2009
2008
2007
151.51
2006
2005
2004
2003
2002
100
2001
2000
50
Oct 99
Jan 01
Apr 02
Jul 03
Oct 04
Jan 06
Apr 07
Jul 08
Oct 09
Jan 11
Apr 12
Jul 13
Oct 14
Index Performance — Gross Returns (%) (October 31, 2014)
Fundamentals (October 31, 2014)
Annualized
MSCI North America HDY
MSCI North America
1 Mo
3 Mo
2.97
2.95
8.23
7.68
1 Yr
YTD
3 Yr
5 Yr
25.99 19.20 23.48 18.74
25.53 17.05 23.63 17.07
10 Yr
Since
Div Yld (%)
P/E
P/E Fwd
P/BV
13.21
11.84
3.10
2.02
16.62
19.34
15.26
15.87
2.94
2.71
Nov 28, 1975
8.34
7.51
Index Risk and Return Characteristics (November 28, 1975 – October 31, 2014)
Annualized Std Dev (%)2
Beta
MSCI North America HDY
MSCI North America
0.75
1.00
Tracking Turnover
Error (%) (%)1
7.51
0.00
9.98
2.44
1
3 Yr
6.47
6.51
Last 12 months
5 Yr
10 Yr
Sharpe Ratio2,3
3 Yr
6.75 11.31 3.22
8.23 10.75 3.21
2
Maximum Drawdown
Since
5 Yr
10 Yr
Nov 28,
1975
2.49
1.88
0.59
0.54
na
na
Based on monthly gross returns data
3
(%)
Period YYYY-MM-DD
49.12 2007-02-07—2009-03-05
53.05 2000-08-31—2009-03-05
Based on BBA LIBOR 1M
The MSCI North America High Dividend Yield Index was launched on Jan 16, 2012. 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 North America High Dividend Yield Index
October 31, 2014
Index Characteristics
Top 10 Constituents
MSCI North
America HDY
Number of
Constituents
MSCI North
America
148
Index
Wt. (%)
5.7
6.34 bps
67.57 bps
27.29 bps
Sector
Sector
Wt. (%)
Wt. (%)
714
5.70
5.56
4.79
4.51
3.71
3.59
3.00
2.84
2.66
2.66
39.02
APPLE
MICROSOFT CORP
JOHNSON & JOHNSON
EXXON MOBIL CORP
PROCTER & GAMBLE CO
CHEVRON CORP
PFIZER
AT&T
MERCK & CO
INTEL CORP
Total
Weight (%)
Largest
Smallest
Average
Median
Parent
Index
3.2
0.51 bps
14.01 bps
6.33 bps
Sector Weights
3.22
1.82
1.51
2.06
1.17
1.13
0.94
0.89
0.84
0.84
14.42
Info Tech
Info Tech
Health Care
Energy
Cons Staples
Energy
Health Care
Telecom Srvcs
Health Care
Info Tech
29.0
28.3
31.5
35.8
21.4
28.5
19.7
84.5
17.5
13.5
Country Weights
7.04%
9.43%
5.63%
12.6%
4.97%
9.32%
4.75%
3.36%
90.68%
15.2%
19.66%
17.36%
Information Technology 19.66%
Energy 12.6%
Industrials 4.97%
Consumer Staples 17.36%
Financials 9.43%
Materials 4.75%
Utilities 7.04%
Health Care 15.2%
United States 90.68%
Canada 9.32%
Consumer Discretionary 5.63%
Telecommunication Services 3.36%
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 | clientservice@msci.com
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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