FTSE All-World High Dividend Yield Index

Ground Rules
FTSE All-World High Dividend Yield

Index
v1.8
ftserussell.com November 2019

Contents
1.0 Introduction ......................................................................... 3
2.0 Management Responsibilities............................................ 5
3.0 FTSE Russell Index Policies .............................................. 7
4.0 Eligible Securities ............................................................... 9
5.0 Periodic Review of Constituents ..................................... 10
6.0 Changes to Constituent Companies ............................... 11
7.0 Corporate Actions and Events......................................... 12
8.0 Indexes Algorithm and Calculation Methodology .......... 13
Appendix A: Indexes Opening and Closing Hours .................. 14
Appendix B: Status of Indexes .................................................. 15
Appendix C: Further Information .............................................. 16
FTSE Russell | FTSE All-World High Dividend Yield Index, v1.8, November 2019 2 of 16
Section 1
Introduction
1.0 Introduction
1.1 This document sets out the Ground Rules for the construction and management of the FTSE All-
World High Dividend Yield Index. Copies of these Ground Rules are available from FTSE Russell on
the website www.ftserussell.com.
1.2 The FTSE All-World High Dividend Yield Index is designed to represent the performance of
companies in the FTSE All-World Index after the implementation a forecast dividend yield ranking
process.
1.3 These Ground Rules should be read in conjunction with the FTSE Global Equity Index Series
Ground Rules. These rules are available on www.ftserussell.com.
1.4 The FTSE All-World High Dividend Yield Index will consist of constituents from the FTSE All-World
Index (Large Cap and Mid Cap) which have the highest forecast dividend yield.
1.5 The FTSE All-World High Dividend Yield Index will weight its constituents by its investable market
capitalisation, i.e. after taking account of free float and foreign ownership restrictions.
1.6 Price, Total Return and Net Total Return Indexes are available. Total Return and Net Total Return
Indexes are published at the end of each working day.
1.7 The base currency of the benchmark is US Dollars. Index values may also be published in other
currencies.
1.8 FTSE Russell

FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE
Global Debt Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc.
and MTSNext Limited), Mergent, Inc., FTSE Fixed Income LLC and The Yield Book Inc.
1.9 FTSE Russell hereby notifies users of the index series that it is possible that circumstances,
including external events beyond the control of FTSE Russell, may necessitate changes to, or the
cessation of, the index series and therefore, any financial contracts or other financial instruments
that reference the index series or investment funds which use the index series to measure their
performance should be able to withstand, or otherwise address the possibility of changes to, or
cessation of, the index series.
1.10 Index users who choose to follow this index series or to buy products that claim to follow this index
series should assess the merits of the index’s rules-based methodology and take independent
investment advice before investing their own or client funds. No liability whether as a result of
negligence or otherwise is accepted by FTSE Russell for any losses, damages, claims and
expenses suffered by any person as a result of:
• any reliance on these Ground Rules, and/or
• any errors or inaccuracies in these Ground Rules, and/or
• any non-application or misapplication of the policies or procedures described in these Ground
Rules, and/or
• any errors or inaccuracies in the compilation of the Index or any constituent data.
Section 2
Management Responsibilities
2.0 Management Responsibilities
2.1 FTSE International Limited (FTSE)
2.1.1 FTSE is the benchmark administrator of the index.1

2.1.2 FTSE is responsible for the daily calculation, production and operation of the FTSE All-World High
Dividend Yield Index and will:
• maintain records of the index weightings of all constituents and reserve companies;
• make changes to the constituents and their weightings in accordance with the Ground Rules;
• carry out the periodic index reviews of the FTSE All-World High Dividend Yield Index and apply
the changes resulting from the reviews as required by the Ground Rules;
• publish changes to the constituent weightings resulting from their ongoing maintenance and the
periodic reviews;
• disseminate the indexes..
2.1.3 FTSE is also responsible for monitoring the performance of the FTSE All-World High Dividend Yield
Index throughout the day and will determine whether the status of the index should be ‘firm’,
‘indicative’ or ‘held’ (See Appendix B).
2.2 Status of these Ground Rules
2.2.1 These Ground Rules set out the methodology and provide information about the publication of the
FTSE All-World High Dividend Yield Index.
2.3 Amendments to these Ground Rules
2.3.1 These Ground Rules shall be subject to regular review by FTSE Russell to ensure that they continue
to best reflect the aims of the index series. Any proposals for significant amendments to these
Ground Rules will be subject to consultation with FTSE Russell advisory committees and other
stakeholders if appropriate. The feedback from these consultations will be considered by the FTSE
Russell Product Governance Board before approval is granted.
1
The term administrator is used in this document in the same sense as it is defined in Regulation (EU) 2016/1011 of the European
Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts or to
measure the performance of investment funds (the European Benchmark Regulation).
2.3.2 As provided for in the Statement of Principles for FTSE Russell Equity Indexes, where FTSE Russell
determines that the Ground Rules are silent or do not specifically and unambiguously apply to the
subject matter of any decision, any decision shall be based as far as practical on the Statement of
Principles. After making any such determination, FTSE Russell shall advise the market of its
decision at the earliest opportunity. Any such treatment will not be considered as an exception or
change to the Ground Rules, or to set a precedent for future action, but FTSE Russell will consider
whether the Ground Rules should subsequently be updated to provide greater clarity.
Section 3
FTSE Russell Index Policies

3.0 FTSE Russell Index Policies
These Ground Rules should be read in conjunction with the following policy documents which can be
accessed using the links below:
3.1 Statement of Principles for FTSE Russell Equity Indexes (the Statement of Principles)
Indexes need to keep abreast of changing markets and the Ground Rules cannot anticipate every
eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE
Russell will determine the appropriate treatment by reference to the Statement of Principles which
summarises the ethos underlying FTSE Russell’s approach to index construction. The Statement of
Principles is reviewed annually and any changes proposed by FTSE Russell are presented to the
FTSE Russell Policy Advisory Board for discussion before approval by the FTSE Russell Product
Governance Board.
The Statement of Principles can be accessed using the following link:
Statement_of_Principles.pdf
3.2 Queries and Complaints
FTSE Russell’s complaints procedure can be accessed using the following link:
Benchmark_Determination_Complaints_Handling_Policy.pdf
3.3 Index Policy for Trading Halts and Market Closures

3.3.1 Guidance for the treatment of index changes in the event of trading halts or market closures can be
found using the following link:
Index_Policy_for_Trading_Halts_and_Market_Closures.pdf
3.4 Index Policy in the Event Clients are Unable to Trade a Market
3.4.1 Details of FTSE Russell’s treatment can be accessed using the following link:
Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market.pdf
3.5 Recalculation Policy and Guidelines
3.5.1 The FTSE All-World High Dividend Yield Index is recalculated whenever errors or distortions occur
that are deemed to be significant. Users of the FTSE All-World High Dividend Yield Index are
notified through appropriate media.
For further information refer to the FTSE Russell Index Recalculation Policy and Guidelines
document which is available from the FTSE Russell website using the link below or by contacting
[email protected].
Index_Recalculation_Policy_and_Guidelines_Equity_Indexes.pdf
3.6 Policy for Benchmark Methodology Changes

3.6.1 Details of FTSE Russell’s policy for making benchmark methodology changes can be accessed
using the following link:
Policy_for_Benchmark_Methodology_Changes.pdf
Section 4
Eligible Securities
4.0 Eligible Securities
4.1 The constituents of the FTSE All-World High Dividend Yield Index are selected from the FTSE All-
World Index excluding all real estate investment trusts REITs (ICB Sector 8670) and ranked by
forecast dividend yield.
4.2 All stocks that are forecast to pay a zero dividend over the next 12 months or do not have available
forecast dividend information will be excluded from the FTSE All-World High Dividend Yield Index.
("Dividends" excludes any non-regular or "special" distributions.)
4.3 12 Month Forward Dividend Yield
4.3.1 The dividend yield data used in the review calculation is based on forecast dividends per share from
I/B/E/S.
To determine the forecast dividend yield, 12 month forward dividend per share forecast is calculated
using the most recent I/B/E/S forecast DPS values prior to the review data cut-off date, divided by
the underlying FTSE Russell stock price at the review data cut-off date. I/B/E/S data will be taken
from the close of business on the third Thursday of February and August.
DPS estimates are converted to the currency of the security price as of the review data cut-off date
using WM/Reuters exchange rates.
Definition:
12 month Forward Dividend Yield expressed as a percentage:

[n*DPSFY1 +(12-n)*DPSFY2 ] 100
*
P 12
Where:
n is the number of months to company’s current fiscal year end (FY1).
P is the security price
DPSFY1 is the I/B/E/S Mean FY1 DPS converted to the currency of the security price
DPSFY2 is the I/B/E/S Mean FY2 DPS converted to the currency of the security price
Section 5
Periodic Review of Constituents

5.0 Periodic Review of Constituents
5.1 The FTSE All-World High Dividend Yield Index will be reviewed in accordance with the FTSE Global
Equity Index Series Ground Rules.
5.2 The FTSE All-World High Dividend Yield Index will be reviewed semi-annually in March and
September using data at the close of business on the last day of February and August taking into
account any additions and deletions that may take place during the underlying index rebalance or
review. The review will be implemented after the close of business on the third Friday (i.e. effective
Monday) of March and September.
5.3 The FTSE All-World High Dividend Yield Index aims to contain the highest yielding stocks
accounting for 50% of the investable market capitalisation of the Eligible Securities as defined in
Section 4.
5.4 The FTSE All-World High Dividend Yield Index will incorporate rebalance buffers. At subsequent
rebalancings of the index, a security that is not in the index will become a constituent in the index if
its yield rank is above the 45th percentile based on investable market capitalisation. An index
constituent will remain in the index until its yield rank falls below the 55th percentile based on
investable market capitalisation.
5.5 A constant number of constituents will not be maintained for the FTSE All-World High Dividend Yield
Index.
Section 6
Changes to Constituent Companies

6.0 Changes to Constituent Companies
6.1 Additions
6.1.1 New issues will be eligible for inclusion in the FTSE All-World High Dividend Yield Index at the next
semi-annual review.
6.2 Removal
6.2.1 If a constituent is removed from the FTSE All-World Index, then it will be removed from the FTSE All-
World High Dividend Yield Index. The removal will be concurrent with the removal of the stock from
the underlying index. Intra-review deletions will not be replaced.
6.2.2 If a constituent converts to a REIT and its ICB classification changes to REIT (ICB sector 8670)
intra-review it will be removed from the FTSE All-World High Dividend Yield Index on the effective
date of the ICB classification change.
Section 7
Corporate Actions and Events

7.0 Corporate Actions and Events
7.1 Full details of changes to constituent companies due to corporate actions and events can be
accessed in the Corporate Actions and Events Guide using the following link:
Corporate_Actions_and_Events_Guide.pdf
A Corporate ‘Action’ is an action on shareholders with a prescribed ex date. The share price will be
subject to an adjustment on the ex date. These include the following:
• Capital Repayments
• Rights Issues/Entitlement Offers
• Stock Conversion
• Splits (sub-division) / Reverse splits (consolidation)
• Scrip issues (Capitalisation or Bonus Issue)
A Corporate ‘Event’ is a reaction to company news (event) that may impact the index depending on
the index rules. For example, a company announces a strategic shareholder is offering to sell their
shares (secondary share offer) – this could result in a free float weighting change in the index.
Where an index adjustment is required FTSE Russell will provide notice advising of the timing of the
change.
7.2 Shares in Issue

Changes to the number of shares in issue for constituent securities are covered in the Corporate
Actions and Events Guide.
7.3 Mergers, Restructuring and Complex Takeovers
7.3.1 The treatment of takeovers, mergers and demergers can be found within the Corporate Actions and
Events Guide.
7.4 Suspension of Dealing
7.4.1 Suspension of dealing rules can be found within the Corporate Actions and Events Guide.
Section 8
Indexes Algorithm and Calculation

Methodology
8.0 Indexes Algorithm and Calculation Methodology
8.1 Prices
8.1.1 The FTSE All-World High Dividend Yield Index will use actual last trade prices, where available, for
securities.
8.1.2 Reuters real-time exchange rates are used in the real-time index calculations.
8.2 Index Calculation
8.2.1 The FTSE All-World High Dividend Yield Index calculation formula is as follows:
N
( p i  ei  s i  f i )
i =1 d
Where,
• i=1, 2, …, N
• N is the number of securities in the index.

• pi is the latest trade price of the component security (or the price at the close of the index on the
previous day).
• ei is the exchange rate required to convert the security’s currency into the index’s base currency.
• si is the number of shares in issue used by FTSE Russell for the security, as defined in these
Ground Rules.
• fi is the Investability Weighting Factor to be applied to a security to allow amendments to its
weighting, expressed as a number between 0 and 1, where 1 represents a 100% free float. This
factor is published by FTSE Russell for each security in the underlying index.
• d is the divisor, a figure that represents the total issued share capital of the Index at the base
date. The divisor can be adjusted to allow changes in the issued share capital of individual
securities to be made without distorting the index.
Appendix A: Indexes Opening and Closing
Hours
Index Open Close
FTSE All-World High Dividend Yield Index 00:30 21:10
Notes:
Closing values will be disseminated at 21:30.
Timings are UK hours.
Appendix B: Status of Indexes
The FTSE All-World High Dividend Yield Index are calculated in real-time and may exist in the following
states:
A. Firm
The index is being calculated using trade prices from the relevant local stock exchanges for all
constituents during the hours of the Official Index Period.
The Official Closing Index for the real time indexes is the last index value calculated at the end
of the firm period.
B. Closed
When the index has ceased all calculations for the day, the message 'CLOSED' is displayed
against the index value.
C. Held
During the firm period, the index has exceeded pre-set operating parameters and calculation
has been suspended pending resolution of the problem. The message 'HELD' is displayed
against the last index value calculated.
D. Indicative
If there is a system problem or a situation in the market that is judged to be affecting the quality
of the constituent prices at any time when the index is being calculated, the index will be
declared indicative. The message 'IND' will be displayed against the index value.
The official opening and closing hours of the FTSE All-World High Dividend Yield Index are set out in
Appendix A. Variations to the official hours of the indexes will be published by FTSE Russell.
Appendix C: Further Information
A Glossary of Terms used in FTSE Russell’s Ground Rule documents can be found using the following link:
Glossary.pdf
Further information on the FTSE All-World High Dividend Yield Index is available from FTSE Russell.
For contact details please visit the FTSE Russell website or contact FTSE Russell client services at
[email protected].
Website: www.ftserussell.com
© 2019 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE
International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global
Debt Capital Markets Limited (together, “FTSE Canada”) and (4) MTSNext Limited (“MTSNext”), ”), (5) Mergent, Inc. (“Mergent”), (6)
FTSE Fixed Income LLC (“FTSE FI”) and (7) The Yield Book Inc (“YB”). All rights reserved.
The FTSE All-World High Dividend Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner.
FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI and YB. “FTSE®”, “Russell®”, “FTSE
Russell®” “MTS®”, “FTSE4Good®”, “ICB®”, “Mergent®”, “The Yield Book®” and all other trademarks and service marks used herein
(whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE
Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, FTSE Canada, Mergent, FTSE
FI, YB.
All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is
accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers,
employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained
herein.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction,
warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE All-World
High Dividend Index or the fitness or suitability of the Index for any particular purpose to which it might be put.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and
nothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their
respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any
asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in
directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in
this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic,
mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and
distribution of the LSE Group index data and the use of their data to create financial products require a licence with FTSE, Russell,
FTSE Canada, MTSNext, Mergent, FTSE FI, YB and/or their respective licensors.

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Ground Rules

FTSE All-World High Dividend Yield

ftserussell.com November 2019

2.0 Management Responsibilities............................................ 5

3.0 FTSE Russell Index Policies .............................................. 7

4.0 Eligible Securities ............................................................... 9

5.0 Periodic Review of Constituents ..................................... 10

6.0 Changes to Constituent Companies ............................... 11

7.0 Corporate Actions and Events......................................... 12

8.0 Indexes Algorithm and Calculation Methodology .......... 13

Appendix A: Indexes Opening and Closing Hours .................. 14

Appendix B: Status of Indexes .................................................. 15

Appendix C: Further Information .............................................. 16

1.8 FTSE Russell

2.1.1 FTSE is the benchmark administrator of the index.1

• disseminate the indexes..

2.2 Status of these Ground Rules

FTSE Russell Index Policies

The Statement of Principles can be accessed using the following link:

3.2 Queries and Complaints

3.3 Index Policy for Trading Halts and Market Closures

3.5 Recalculation Policy and Guidelines

3.6 Policy for Benchmark Methodology Changes

4.3 12 Month Forward Dividend Yield

12 month Forward Dividend Yield expressed as a percentage:

P is the security price

Periodic Review of Constituents

Changes to Constituent Companies

Corporate Actions and Events

7.2 Shares in Issue

7.3 Mergers, Restructuring and Complex Takeovers

7.4 Suspension of Dealing

Indexes Algorithm and Calculation

8.2 Index Calculation

• N is the number of securities in the index.

Index Open Close

FTSE All-World High Dividend Yield Index 00:30 21:10

Closing values will be disseminated at 21:30.

Timings are UK hours.

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