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S&P指数ハンドブック
2012年
S&Pカスタムインデックスcustom_index@standardandpoors.com
お問合せ先index_services@standardandpoors.com東京 03.4550.8463北京 +86.10.6569.2905シドニー +61.2.9255.9870ニューヨーク +1.212.438.2046
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P 500
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S&P Global BMI
S&P Global BMI -7.72% 13.53% -1.16% 21.30% 0.2011 -0.0009S&P Developed BMI -5.82% 12.84% -1.52% 21.01% 0.1947 -0.0076
S&P North America BMI -0.33% 15.63% 0.51% 19.95% 0.2377 0.0180S&P Europe BMI -11.55% 9.24% -4.62% 25.91% 0.1337 -0.0316S&P Asia Pacific BMI -12.72% 10.27% -2.41% 19.49% 0.1712 -0.0217S&P EPAC (Europe Pacific Asia Composite) BMI -12.14% 9.60% -3.83% 23.02% 0.1461 -0.0307S&P Eurozone BMI -17.80% 2.74% -7.49% 30.02% 0.0671 -0.0487S&P U.S. BMI 1.09% 15.20% 0.26% 19.69% 0.2346 0.0135
S&P Emerging BMI -20.70% 20.68% 3.05% 25.90% 0.2453 0.0597S&P European Emerging BMI -25.42% 19.87% -7.07% 34.06% 0.2007 -0.0139S&P Asia Pacific BMI -20.63% 19.92% 3.52% 25.86% 0.2384 0.0641S&P Latin America BMI -20.05% 25.03% 7.52% 27.85% 0.2706 0.1020S&P Mid-East & Africa BMI -16.82% 18.14% 6.22% 23.44% 0.2382 0.0918
S&P Emerging BMI2,798
203,460.00
1.2964.870.020.30
1.87%14.39%
S&P Developed BMI Large Mid Small S&P Emerging BMI Large Mid SmallNorth America Canada 55 58 435 European Emerging Czech Republic 1 1 6
United States 247 308 2264 Hungary 2 0 5Europe Austria 10 8 19 Poland 12 14 38
Belgium 8 8 38 Russia 14 12 63Denmark 8 7 34 Turkey 15 17 64Finland 12 10 43 Asia Pacific Emerging China 99 99 398France 22 23 145 India 54 57 234Germany 19 17 163 Indonesia 15 24 61Greece 10 10 20 Malaysia 31 27 92Ireland 6 4 12 Philippines 16 8 22Italy 17 19 94 Taiwan 68 121 442Luxembourg 2 1 6 Thailand 20 19 72Netherlands 9 12 45 Latin America Brazil 32 35 134Norway 10 15 56 Chile 12 13 34Portugal 5 4 12 Colombia 8 4 15Spain 5 11 66 Mexico 10 7 41Sweden 25 23 102 Peru 3 5 12Switzerland 8 12 116 Mid-East & Africa Egypt 10 7 15United Kingdom 35 49 328 Morocco 5 3 11
Asia Pacific Australia 27 44 331 South Africa 26 27 86Hong Kong 34 36 242Japan 159 182 982New Zealand 14 4 12Singapore 23 23 111South Korea 52 54 383
Mid-East & Africa Dev Israel 6 13 63Total 7,905 828 955 6,122 Total 2,798 453 500 1,845
0.461.32%7.56%
S&P Global BMI10,703
4630,784.81
2.91406.27
0.01
1.49%
406.270.010.55
3.46
24.83%
28.82%36.26%29.28%31.27%
20.67%23.13%28.74%19.67%
21.67%21.13%20.07%25.30%
S&P Developed BMI7,905
2627,324.81
8.52%
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S&P Global 1200
S&P S&P S&P ADR S&P Global 1200 S&P 700 S&P ADR IndexGlobal 1200 700 Index
0.07% -0.93% -1.46%8.12% 4.47% 6.97% S&P 500
-5.08% -11.74% -10.58% United States 500 51.1% - - --5.08% -11.74% -10.58% S&P/TSX 6011.85% 9.62% 9.51% Canada 60 4.6% 9.4% 44 18.3%-1.57% -2.82% -2.50% S&P/ASX All Australian 5020.88% 23.32% 24.35% Australia 50 3.7% 7.5% 3 3.5%20.81% 23.33% 24.25% S&P Europe 3500.1832 0.1453 0.1406 Austria 4 0.1% 0.1% - -
-0.0094 -0.0172 -0.0101 Belgium 10 0.4% 0.8% 2 1.1%Denmark 6 0.4% 0.8% 1 1.0%
France 49 3.8% 7.7% 5 4.9%S&P S&P S&P ADR Germany 35 3.1% 6.4% 4 3.5%
Global 1200 700 Index Greece 3 0.0% 0.0% 1 0.0%1200 700 174 Ireland 4 0.1% 0.3% 3 0.5%
30 29 25 Italy 22 1.0% 2.1% 5 1.8%22,259.08 10,874.07 4,952.80 Luxembourg 3 0.1% 0.3% - -
Netherlands 16 1.0% 2.1% 8 3.2%18.55 15.53 28.46 Norway 7 0.3% 0.7% 1 0.5%
406.27 189.88 156.97 Portugal 6 0.1% 0.2% 1 0.1%0.77 0.77 1.64 Spain 19 1.3% 2.7% 3 3.6%9.01 8.05 15.98 Sweden 26 1.2% 2.4% 1 0.6%
1.83% 1.75% 3.14% Switzerland 27 3.6% 7.3% 5 6.0%10.45% 12.71% 24.83% United Kingdom 105 9.8% 20.0% 28 27.9%
SPGLOB SPADR S&P Latin America 40.SPGLOBAL .SPADR Brazil 16 1.2% 2.4% 14 4.8%
Chile 11 0.2% 0.5% 6 0.5%
Mexico 8 0.5% 1.1% 4 1.8%S&P S&P S&P ADR Peru 3 0.1% 0.2% 3 0.4%
Global 1200 700 Index S&P/TOPIX 1509.7% 8.7% 5.6% Japan 150 7.4% 15.2% 17 9.9%
11.1% 10.7% 7.2% S&P Asia 5011.9% 11.5% 19.1% Hong Kong 20 1.8% 3.8% 5 2.8%17.7% 22.1% 22.7% Singapore 6 0.4% 0.8% - -10.0% 8.1% 10.6% South Korea 13 1.4% 2.8% 4 1.1%10.5% 10.4% 4.4% Taiwan 11 0.8% 1.7% 3 1.6%12.6% 6.0% 6.0%7.4% 11.5% 12.3%5.0% 7.0% 10.7%4.0% 4.1% 1.5%
0.3%8Finland 0.4%1
2 0.1% 0.1%Colombia 2 0.3%
0.6%
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S&P 500
Price Return Total ReturnBLOOMBERGSM SPX SPTRReuters .SPX .SPXTR
1.02%11.82%2.11%2.11%
14.11%-0.25%18.97%18.88%0.22690.0040
50011,383.19
United States Exxon Mobil Corp 406,272.3 3.57% 22.77United States Apple Inc. 376,410.6 3.31% 406.27United States Intl Business Machines Corp 216,724.3 1.90% 1.22United States Chevron Corp 211,893.9 1.86% 10.75United States Microsoft Corp 194,358.4 1.71% 3.57%United States General Electric Co 189,082.2 1.66% 20.23%United States Procter & Gamble 183,540.6 1.61%United States AT&T Inc 179,202.2 1.57%United States Johnson & Johnson 179,089.1 1.57%United States Pfizer Inc 166,346.0 1.46%
1000
1300
1600
1900
2200
2500
�
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S&P CNX Nifty
BLOOMBERGSM NIFTYReuters .NSEI
-4.30% 50-6.38% 14,050.64
-23.81%-23.81% 281.0117.28% 1,334.334.27% 38.97
26.57% 173.8330.27% 9.50%0.2082 56.69%0.0712
India Infosys Ltd. 9.50%India Reliance Industries Ltd. 8.32%India I T C Ltd. 7.70%India Housing Development Finance Corporation Ltd. 6.16%India ICICI Bank Ltd. 5.61%India HDFC Bank Ltd. 5.46%India Tata Consultancy Services Ltd. 4.19%India Larsen & Toubro Ltd. 3.80%India Hindustan Unilever Ltd. 2.98%India State Bank of India 2.97%
2000
3000
4000
5000
6000
7000
8000
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S&P/ASX 200
ティッカー
Price Return Total ReturnBLOOMBERGSM AS51 ASA51Reuters .AXJO
指数の5年間パフォーマンス
指数のパフォーマンス セクター内訳
リターン 1ヶ月 -1.35%3ヶ月 2.12%年初来 -10.54%
リターン(年率) 1年 -10.54%3年 7.58%5年 -2.31%
リスク(年率) 3年間標準偏差 14.75%5年間標準偏差 16.19%
シャープ・レシオ 3年 0.16195年 -0.0411
上位10銘柄 ポートフォリオ特性
浮動株修正 銘柄数 200時価総額 調整済時価総額(十億ドル) 965.84
国 会社 ($100万) ウェイト GICS® セクター 時価総額による会社の規模(調整済、十億ドル)
Australia BHP Billiton Ltd 110,460.0 11.44% 素材 平均 4.83Australia Commonwealth Bank Australia 77,562.9 8.03% 金融(除く不動産) 最大 110.46Australia Westpac Banking Corp 60,942.5 6.31% 金融(除く不動産) 最小 0.09Australia ANZ Banking Group 54,665.4 5.66% 金融(除く不動産) 中間 1.14Australia National Australia Bank Ltd 52,111.7 5.40% 金融(除く不動産) 最大銘柄のウェイト(%) 11.44%Australia Telstra Corp Ltd 41,435.4 4.29% 電気通信サービス 上位10銘柄の持分(時価総額) 52.88%Australia Wesfarmers Ltd 34,164.0 3.54% 生活必需品
Australia Woolworths Ltd 30,532.2 3.16% 生活必需品
Australia Rio Tinto Ltd 26,276.3 2.72% 素材
Australia Newcrest Mining Ltd 22,594.8 2.34% 素材
注)時価総額は、指数値に含まれる株式数に基づく時価総額です。
データ出所:スタンダード&プアーズ 2011年12月末時点。図表やグラフは図示するために作成されたものです。過去のデータは将来の成果を保証するものではありません。
2011年12月30日
0
10000
20000
30000
40000
50000
06年12月 07年6月 07年12月 08年6月 08年12月 09年6月 09年12月 10年6月 10年12月 11年6月 11年12月
一般消費財・サービス
3.7%生活必需品
8.1%
エネルギー7.1%
金融(除く不動産)
32.7%
ヘルスケア3.6%
資本財・サービス
6.9%
情報技術0.6%
素材24.9%
電気通信サービス4.5%
公益事業1.6%
不動産投資信託6.3%
10
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RTS Indices
BLOOMBERGSM Reuters BLOOMBERGSM ReutersRTS Index RTSI$ .IRTS Oil & Gas RTSOG$ .RTSOGRTS-2 Index RTS2$ .RTS2 Consumer & Retail RTSCR$ .RTSCR
Metals & Mining RTSMM$ .RTSMMIndustrial RTSIN$ .RTSINElectric Utilities RTSEU$ .RTSEUFinancials RTSFN$ .RTSFN
RTS Index -10.32% 3.04% -21.94% -21.94% 29.80% -6.38% 12.28% 38.45% 41.01%RTS-2 Index -10.02% -2.23% -31.75% -31.75% 40.71% -3.64% 10.39% 40.14% 44.02%RTS-Oil & Gas -8.41% 8.54% -8.47% -8.47% 23.30% -8.69% 8.62% 32.69% 37.47%RTS-Consumer & Retail -12.79% -6.29% -38.70% -38.70% 54.70% -1.13% 15.52% 44.92% 46.73%RTS-Metals & Mining -14.45% -15.43% -43.48% -43.48% 31.27% -2.99% 10.42% 39.58% 46.59%RTS-Industrial -8.39% -17.39% -41.71% -41.71% 26.96% -12.81% 2.98% 52.56% 53.61%RTS-Electric Utilities -17.23% 0.52% -40.85% -40.85% 22.65% -14.49% - 52.39% 51.85%RTS-Financials -11.28% -8.48% -41.73% -41.73% 17.06% -17.56% - 51.50% 50.85%
RTS RTS-2Index Index RTS Ticker
49 56 GAZPROM, Common 26,817.0 15.66% GAZPS171.05 15.81 "LUKOIL", Common 25,700.9 15.01% LKOHS
Sberbank, Common 21,332.9 12.46% SBERS3.49 0.28 JSC "NOVATEK", Common 10,792.9 6.30% NVTKS
26.82 1.40 Rosneft, Common 10,590.3 6.19% ROSNS0.18 0.02 Uralkali, Common 10,120.7 5.91% URKAS0.16 0.09 "OJSC "MMC "NORILSK NICKEL", Com 7,045.5 4.12% GMKNS
15.66% 8.87% Surgutneftegas, Common 7,027.9 4.11% SNGSSRostelecom, Common 6,009.8 3.51% RTKMS
76.06% 51.93% JSC VTB Bank, Common 4,785.7 2.80% VTBRS
Consumer & Retail
S&P European IndicesRTS Index RTS Sector Indices
Metals & Mining IndustrialRTS-2 Index Oil & GasFinancialsTelecom Electric Utilities
0
500
1000
1500
2000
2500
RTS Index
RTS-2 Index
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S&P/IFCI
Price Return Total ReturnBLOOMBERGSM SEMICPPD SEMICPTD
Brazil 13.9% 30 32 551,506.0Chile 2.0% 12 13 81,495.7China 16.8% 61 73 667,220.1Colombia 1.2% 8 4 46,037.7Czech Republic 0.3% 1 1 12,717.4Egypt 0.3% 9 5 11,385.2Hungary 0.3% 2 0 10,640.6India 6.8% 54 56 271,323.9Indonesia 3.1% 14 20 123,805.3
Mexico 4.6% 10 7 182,952.1Morocco 0.3% 5 1 10,459.8Peru 0.6% 3 4 25,855.0Philippines 1.0% 16 8 38,790.9Poland 1.3% 12 13 49,805.7Russia 6.4% 13 12 254,901.4South Africa 7.1% 26 26 282,165.2South Korea 16.0% 50 50 638,537.7Taiwan 11.7% 68 117 465,913.6Thailand 2.0% 19 18 80,995.9Turkey 1.4% 15 16 53,755.3
100.0% 459 500 3,979,203.8
0.16% -9.17% -2.00%2.86% -0.54% 5.34%
-17.93% -24.84% -16.66%20.63% 19.78% 18.12%3.20% -6.98% 5.56%
10.50% 6.60% 10.76%26.74% 33.99% 23.71%29.84% 36.29% 25.45%0.2394 0.2003 0.23620.0614 -0.0131 0.0843
25
2.79%11.15% 17.56%
7.41%
0.24460.0576
28.02%31.40%
26.36%
-1.37% -1.59%
36
1128
231
57
3622
177177
43
0.1010
3.86% 8.18%-19.03%20.92% 24.58%
-20.17%
29.26%0.2657
355
20513
109277362
1619
89
19
46
S&P Global Equities Indices
S&P Emerging BMIS&P Developed BMI
S&P/IFCI ME & Africa
S&P Frontier BMI
S&P Emerging Plus BMI
S&P/IFCI AsiaS&P/IFCI Composite
S&P/IFCI Latin America
118,939.53.0% 2431Malaysia
213,979.20
15.01%
2198091
7353
2087
44339
7195
2
2087
68
48
S&P Global BMI
167
S&P GCCS&P Pan ArabS&P Pan Africa
S&P/IFCI Europe
S&P Frontier BMI Ex-GCC
109
105
3.40%
1.91135.28
0.040.57
4044
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S&P Frontier BMI
BLOOMBERGSM Price Return Total ReturnS&P Frontier BMI IDFPFBUP IDFPFBUTS&P Frontier BMI ex-GCC IDFPFMPD IDFTFMTD
Argentina 6.4% 18 12,743.6Bahrain 1.9% 9 3,774.8Bangladesh 1.3% 27 2,599.1Botswana 0.6% 8 1,255.6Bulgaria 0.2% 12 400.6Cote d'Ivoire 0.5% 11 953.5Croatia 1.7% 18 3,289.3Cyprus 0.8% 8 1,592.5Ecuador 0.6% 5 1,138.0Estonia 0.4% 7 773.4Ghana 0.4% 11 727.1Jamaica 0.7% 12 1,467.6Jordan 3.9% 20 7,746.4Kazakhstan 5.7% 9 11,424.5Kenya 1.5% 19 2,995.5Kuwait 20.4% 48 40,579.2
Lebanon 2.6% 6 5,126.5Lithuania 0.3% 14 636.5
557 Mauritius 1.7% 13 3,400.836 Namibia 0.2% 4 432.3
199.17 Nigeria 8.6% 30 17,090.4Oman 2.2% 18 4,384.1Pakistan 3.3% 27 6,516.2
357.57 Panama 2.6% 7 5,110.48,205.89 Qatar 13.1% 21 26,041.8
4.08 Romania 1.1% 8 2,158.2123.46 Slovakia 0.4% 4 723.14.12% Slovenia 1.8% 13 3,531.9
24.03% Sri Lanka 2.7% 29 5,438.4Trinidad and Tobago 1.1% 6 2,242.6Tunisia 1.0% 24 1,994.5U.A.E. 6.2% 20 12,264.1Ukraine 1.8% 27 3,588.1Vietnam 2.2% 32 4,418.1Zambia 0.3% 7 508.2
100.0% 557 199,168.6
S&P Frontier BMI S&P Pan Africa S&P Pan Arab Composite S&P GCC CompositeS&P Frontier BMI Ex-GCC S&P African Frontiers S&P Pan Arab Investable S&P GCC InvestableS&P Emerging Frontier SuperComposite BMI S&P Pan Eastern Europe
S&P Global BMIS&P Developed BMIS&P Emerging BMI
S&P Emerging Plus BMI
S&P/IFCI CompositeS&P/IFCI Asia
S&P/IFCI Latin America
Latvia
S&P/IFCI ME & AfricaS&P/IFCI Europe
0.1%
S&P Frontier BMIS&P Global Equity Indices
102.0
S&P Pan Arab
S&P Frontier BMI Ex-GCCS&P GCC
5
S&P Pan Africa
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S&P/TOPIX 150
ティッカー
BLOOMBERGSM SPTPXReuters .SPTPX
指数の5年間パフォーマンス
指数のパフォーマンス セクター内訳
リターン 1ヶ月 -0.15%3ヶ月 -3.56%年初来 -20.02%
リターン(年率) 1年 -20.02%3年 -4.22%5年 -14.80%
リスク(年率) 3年間標準偏差 18.54%5年間標準偏差 20.80%
シャープ・レシオ 3年 -0.04285年 -0.2077
上位10銘柄 ポートフォリオ特性
浮動株修正 銘柄数 150時価総額 調整済時価総額(十億円) 127,171.33
国 会社 (100万円) ウェイト GICS® セクター 時価総額による会社の規模(調整済、十億円)
Japan Toyota Motor Corp 6,885,141.4 5.41% 一般消費財・サービス 平均 847.81Japan Mitsubishi UFJ Financial Group Inc 4,628,524.1 3.64% 金融 最大 6,885.14Japan Canon Inc 4,111,511.2 3.23% 情報技術 最小 114.02Japan Honda Motor Co 3,670,540.0 2.89% 一般消費財・サービス 中間 576.97Japan Nippon Tel & Tel Corp 3,119,382.0 2.45% 電気通信サービス 最大銘柄のウェイト(%) 5.41%Japan Sumitomo Mitsui Financial Group 3,031,736.1 2.38% 金融 上位10銘柄の持分(時価総額) 27.44%Japan Mizuho Financial Group Inc 2,497,850.4 1.96% 金融
Japan Takeda Pharmaceutical Co Ltd 2,420,847.5 1.90% ヘルスケア
Japan Fanuc Co 2,306,215.8 1.81% 資本財・サービス
Japan Mitsubishi Corp 2,226,917.9 1.75% 資本財・サービス
注)時価総額は、指数値に含まれる株式数に基づく時価総額です。
データ出所:スタンダード&プアーズ 2011年12月末時点。図表やグラフは図示するために作成されたものです。過去のデータは将来の成果を保証するものではありません。
2011年12月30日
600
800
1000
1200
1400
1600
1800
06年12月 07年6月 07年12月 08年6月 08年12月 09年6月 09年12月 10年6月 10年12月 11年6月 11年12月
一般消費財・サービス18.1%
生活必需品6.8%
エネルギー1.9%
金融15.8%
ヘルスケア6.4%
資本財・サービス
22.0%
情報技術13.1%
素材7.3%
電気通信サービス5.5%
公益事業3.0%
18
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S&P Japan Regional Index - Tokai
ティッカー
Price Return Total ReturnBLOOMBERGSM SPJRTPJP SPJRTPJTReuters .SPJRTPJP .SPJRTPJT
指数の5年間パフォーマンス
指数のパフォーマンス セクター内訳
リターン 1ヶ月 -0.03%3ヶ月 -7.21%年初来 -15.38%
リターン(年率) 1年 -15.38%3年 0.76%5年 -12.85%
リスク(年率) 3年間標準偏差 16.62%5年間標準偏差 18.26%
シャープ・レシオ 3年 0.03445年 -0.2092
上位10銘柄 ポートフォリオ特性
浮動株修正 銘柄数 49時価総額 調整済時価総額(十億円) 16,125.65
国 会社 (100万円) ウェイト GICS® セクター 時価総額による会社の規模(調整済、十億円)
Japan Central Japan Railway Co 1,680,840.0 10.42% 資本財・サービス 平均 329.09Japan Toyota Motor Corp 1,627,003.1 10.09% 一般消費財・サービス 最大 1,680.84Japan Denso Co 1,513,408.2 9.39% 一般消費財・サービス 最小 37.71Japan Chubu Electric Power Co 1,457,837.2 9.04% 公益事業 中間 100.45Japan Suzuki Motor Corp 950,459.3 5.89% 一般消費財・サービス 最大銘柄のウェイト(%) 10.42%Japan Shizuoka Bank 711,705.1 4.41% 金融 上位10銘柄の持分(時価総額) 62.17%Japan Aisin Seiki Co 591,681.0 3.67% 一般消費財・サービス
Japan Toyota Industries Corp 558,218.4 3.46% 一般消費財・サービス
Japan Makita Corp 485,458.4 3.01% 資本財・サービス
Japan Toyota Tsusho Corp 448,177.4 2.78% 資本財・サービス
注)時価総額は、指数値に含まれる株式数に基づく時価総額です。
データ出所:スタンダード&プアーズ 2011年12月末時点。図表やグラフは図示するために作成されたものです。過去のデータは将来の成果を保証するものではありません。
2011年12月30日
1000
1500
2000
2500
3000
06年12月 07年6月 07年12月 08年6月 08年12月 09年6月 09年12月 10年6月 10年12月 11年6月 11年12月
一般消費財・サービス45.9%
生活必需品3.5%
金融5.6%
ヘルスケア1.7%
資本財・サービス
23.9%
情報技術6.2%
素材1.8%
公益事業11.3%
20
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S&P Global Investable Shariah Index Series
BLOOMBERGSM BLOOMBERGSM BLOOMBERGSM
S&P 500 Shariah SPSHX S&P GCC Shariah Composite SPSHG S&P Pan Arab Shariah SPSHPAS&P/TOPIX 150 Shariah SPSHTXU S&P GCC Shariah Investable SPSHGI S&P Egypt Shariah SPSHEGS&P Europe 350 Shariah SPSHEU S&P Bahrain Shariah SPSHBH S&P Jordan Shariah SPSHJOS&P Japan 500 Shariah SPSHJU S&P Kuwait Shariah SPSHKW S&P Lebanon Shariah SPSHLES&P Pan Asia Shariah SPSHAS S&P Oman Shariah SPSHOM S&P Morocco Shariah SPSHMAS&P CNX 500 Shariah INSHC500 S&P Qatar Shariah SPSHQA S&P Tunisia Shariah SPSHTUS&P CNX Nifty Shariah INSHNIFT S&P Saudi Arabia Shariah SPSHSA S&P/IFCI
S&P U.A.E. Shariah SPSHAE Large-MidCap Shariah SPSHEM
S&P 500 Shariah 217 5,934.5 33.77%S&P 500 500 11,383.2 20.23%
S&P/TSX 60 Shariah 26 394.0 69.03%S&P/TSX 60 60 1,043.7 45.73%
S&P Europe 350 Shariah 107 2,656.8 44.85%S&P Europe 350 350 5,936.3 44.85%
S&P Japan 500 Shariah 113 560.8 43.29%S&P Japan 500 500 2,174.8 20.69%
S&P/TOPIX 150 Shariah 36 433.6 55.99%S&P/TOPIX 150 150 1,639.7 27.44%
S&P Pan Asia Shariah 51 749.3 57.03%
S&P/IFCI Large-MidCap Shariah 322 1,494.4 35.99%S&P/IFCI LargeMidCap 959 3,477.4 17.17%
S&P GCC Shariah Composite 153 135.7 53.49%S&P GCC Composite 264 231.5 36.40%S&P GCC Shariah Investable 49 36.7 71.97%S&P GCC Investable 116 87.0 49.21%
S&P Pan Arab Shariah Composite 192 149.6 48.53%S&P Pan Arab Composite 365 272.6 30.92%S&P Pan Arab Shariah Investable 88 50.6 57.23%S&P Pan Arab Investable 217 128.1 36.80%
S&P 500® Shariah
S&P Developed SmallCap Shariah
S&P Global BMI ShariahS&P Developed BMI Shariah S&P/TSX 60 Shariah
S&P Shariah IndicesS&P Global Strategy Shariah
Index SeriesS&P Global Benchmark Shariah
Index SeriesS&P Global Investable Shariah
Index Series
S&P Global Infrastructure Shariah
S&P Pan Arab ShariahS&P GCC Shariah
S&P Japan 500® ShariahS&P/TOPIX 150 Shariah
S&P Global Property Shariah
S&P Europe 350® Shariah S&P Global Healthcare Shariah
S&P Emerging BMI Shariah
S&P CNX 500 ShariahS&P CNX Nifty Shariah
S&P/IFCI Large-MidCap Shariah
S&P Global BMI Sector Shariah
S&P Regional BMI ShariahS&P Country BMI Shariah
S&P Pan Asia Shariah
S&P Developed Property Shariah
S&P BRIC ShariahS&P Frontier BMI Shariah
S&P Developed LargeMidCap Shariah
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S&P Global Benchmark Shariah Index Series
BLOOMBERGSM Price Return Total ReturnS&P Global BMI Shariah SPSHGLUP SPSHGLUTS&P Developed BMI Shariah SPSHWDDP SPSHWDDTS&P Emerging BMI Shariah SPSHEKUP SPSHEKUT
S&P Global BMI Shariah 158,237.4 3,476S&P Developed BMI Shariah 138,278.0 2,539S&P Developed LargeMidCap Shariah 105,528.0 593S&P Developed SmallCap Shariah 15,803.2 1,946S&P Emerging BMI Shariah 20,228.8 937S&P Europe BMI Shariah 39,158.1 485S&P North America BMI Shariah 78,632.9 1,333S&P Asia Pacific BMI Shariah 18,679.6 704S&P Asia Pacific Ex-Japan BMI Shariah 9,996.9 466S&P Pan Asia BMI Shariah 29,891.6 1,405S&P Pan Asia Ex-Japan BMI Shariah 21,422.4 1,167S&P Pan Asia Ex-Japan Ex-Australia Ex-New Zealand BMI Shariah 16,916.4 980
Australia Denmark India Mexico Portugal TaiwanAustria Egypt Indonesia Morocco Russia ThailandBelgium Finland Ireland Netherlands Singapore TurkeyBrazil France Israel New Zealand South Africa United KingdomCanada Germany Italy Norway South Korea United StatesChile Greece Japan Peru SpainChina Hong Kong Luxembourg Philippines SwedenCzech Republic Hungary Malaysia Poland Switzerland
Consumer Discretionary Health Care Telecommunication ServicesConsumer Staples Industrials UtilitiesEnergy Information TechnologyFinancials Materials
S&P Shariah IndicesS&P Global Benchmark Shariah
Index SeriesS&P Global BMI Shariah
S&P Developed BMI ShariahS&P 500® Shariah S&P Global Property Shariah
S&P Developed LargeMidCap ShariahS&P Developed SmallCap Shariah
S&P Emerging BMI ShariahS&P Frontier BMI Shariah
S&P CNX Nifty Shariah
S&P GCC Shariah
S&P CNX 500 Shariah
S&P/IFCI Large-MidCap Shariah
S&P Pan Arab Shariah
S&P Global Investable ShariahIndex Series
S&P Global Strategy ShariahIndex Series
S&P Global Healthcare Shariah
S&P Pan Asia ShariahS&P Regional BMI ShariahS&P Country BMI Shariah
S&P Global BMI Sector Shariah
S&P Global Infrastructure ShariahS&P BRIC Shariah
S&P Japan 500® ShariahS&P Europe 350® Shariah
S&P Developed Property ShariahS&P/TSX 60 Shariah
S&P/TOPIX 150 Shariah
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S&P U.S. Carbon Efficient Index
Price Return Total ReturnBLOOMBERGSM SPGRCUU SPGRCUUTReuters .SPGRCUU .SPGRCUUT
S&P S&PU.S. CE 500
0.97% 1.02%11.32% 11.82%2.47% 2.11%2.47% 2.11%
14.19% 14.11%19.04% 18.97%19.08% 18.88%0.2274 0.22690.0011 0.0040
0.99890.9988
S&P U.S. Carbon Efficient S&P 500
U.S. Apple Inc. 3.47% 3.31%U.S. Chevron Corp 3.47% 1.86%U.S. Procter & Gamble 2.68% 1.61%U.S. Microsoft Corp 2.39% 1.71%U.S. AT&T Inc 2.27% 1.57%U.S. Intl Business Machines Corp 2.15% 1.90%U.S. General Electric Co 2.03% 1.66%U.S. Johnson & Johnson 1.82% 1.57%U.S. Pfizer Inc 1.80% 1.46%U.S. Google Inc 1.67% 1.43%
S&P U.S. Carbon Efficient S&P 50010.9% 10.7%10.2% 11.5%9.1% 12.3%
14.4% 13.6%12.0% 11.9%10.0% 10.7%21.5% 19.0%2.7% 3.5%3.8% 3.0%5.3% 3.9%
S&P Equity IndicesS&P Carbon Efficient Index Series
S&P/TOPIX 150 Carbon Efficient IndexS&P/TOPIX 150S&P 500®
S&P U.S. Carbon Efficient IndexS&P/IFCI LargeMidCap
S&P/IFCI Carbon Efficient Index
40
60
80
100
120
S&P U.S. Carbon Efficient Index
S&P 500
050
100150200250300350400450
2004 2005 2006 2007 2008 2009 2010 2011
S&P U.S. Carbon Efficient S&P 500
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S&P/IFCI Carbon Efficient Index
Price ReturnBLOOMBERGSM SGRICUP
S&P/IFCI S&P/IFCICarbon Large-
Efficient MidCap-1.50% -1.28%3.34% 4.06%
-17.07% -18.12%22.41% 20.43%3.75% 2.70%
25.76% 25.96%28.76% 28.90%
0.99920.9995
S&P/IFCI S&P/IFCICarbon Efficient LMC
S Korea Samsung Electronics Co 1.92% 3.89%Brazil Itau Unibanco Holding SA Prf 1.33% 1.20%Brazil Vale S.A. Prf B 1.31% 1.23%China Industrial and Commercial Bank of China Ltd H Sha 1.15% 1.04%China China Unicom (Hong Kong) Ltd. 1.13% 0.30%Brazil OGX Petroleo E Gas Participa 1.09% 0.29%S Korea Hyundai Motor Co 1.08% 0.93%Brazil Banco Bradesco Prf 0.99% 0.91%China CNOOC Ltd. 0.98% 0.80%Russia Gazprom OJSC 0.94% 1.82%
China 17.1% Chile 2.0%South Korea 15.9% Poland 1.4%Brazil 13.9% Turkey 1.4%Taiwan 12.2% Colombia 1.1%South Africa 7.1% Philippines 1.0%India 7.0% Peru 0.7%Russia 6.5% Egypt 0.3%Mexico 3.7% Morocco 0.3%Malaysia 3.1% Czech Republic 0.3%Indonesia 2.8% Hungary 0.2%Thailand 2.1%
S&P/IFCI Carbon Efficient Index
S&P Equity IndicesS&P Carbon Efficient Index Series
S&P/TOPIX 150S&P/TOPIX 150 Carbon Efficient Index
S&P 500®
S&P U.S. Carbon Efficient IndexS&P/IFCI LargeMidCap
50
70
90
110
130
150
170S&P/IFCI Carbon Efficient Index (TR)
S&P/IFCI LargeMidCap (TR)
0
150
300
450
600
750
900
2006 2007 2008 2009 2010 2011
S&P/IFCI LMC S&P/IFCI CE
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S&P/TOPIX 150 Carbon Efficient Index
ティッカー
Price Return Total Return Net Total ReturnBLOOMBERGSM JPY SPTPCEJP SPTPCEJT SPTPCEJN
USD SPTPCEUP SPTPCEUT SPTPCEUN
指数のパフォーマンス 指数の5年間パフォーマンス
150 CE Index 150リターン 1ヶ月 -0.08% -0.15%
3ヶ月 -3.37% -3.56%年初来 -17.84% -20.02%
リターン 1年 -17.84% -20.02%(年率換算) 3年 -3.31% -4.22%リスク 3年間標準偏差 18.24% 18.54%(年率換算) 5年間標準偏差 20.24% 20.80%シャープ・ 3年 -0.0295 -0.0428レシオ 5年 -0.2017 -0.2077相関係数 3年 0.9984相関係数 5年 0.9989
年間炭素排出量比較 上位10銘柄の構成比率比較
150 Carbon Efficient 150銘柄名 ウェイト ウェイト GICS® セクター
Toyota Motor Corp 5.36% 5.41% 一般消費財・サービス
Mitsubishi UFJ Financial Group Inc 5.36% 3.64% 金融
Canon Inc 3.64% 3.23% 情報技術
Honda Motor Co 3.23% 2.89% 一般消費財・サービス
Nippon Tel & Tel Corp 2.89% 2.45% 電気通信サービス
Sumitomo Mitsui Financial Group 2.45% 2.38% 金融
Fanuc Co 2.38% 1.81% 資本財・サービス
Mitsubishi Corp 2.11% 1.75% 資本財・サービス
Mizuho Financial Group Inc 2.06% 1.96% 金融
Takeda Pharmaceutical Co Ltd 1.96% 1.90% ヘルスケア
セクター内訳 セクター内訳比較
S&P/TOPIX 150 Carbon Efficient S&P/TOPIX 150一般消費財・サービス 18.1% 18.1%生活必需品 6.8% 6.8%エネルギー 1.9% 1.9%金融 15.8% 15.8%ヘルスケア 6.4% 6.4%資本財・サービス 22.0% 22.0%情報技術 13.1% 13.1%素材 7.2% 7.3%電気通信サービス 5.5% 5.5%公益事業 3.1% 3.0%
注)時価総額は、指数値に含まれる株式数に基づく時価総額です。
データ出所:スタンダード&プアーズ 2011年12月末時点。図表やグラフは図示するために作成されたものです。過去のデータは将来の成果を保証するものではありません。
S&P/IFCI Carbon Efficient Index
(GHG 排出値 / 年間収益)
S&P/TOPIX
S&P/TOPIX
2011年12月30日
S&P Equity IndicesS&P Carbon Efficient Index Series
S&P/TOPIX 150 Carbon Efficient IndexS&P/TOPIX 150S&P 500®
S&P U.S. Carbon Efficient IndexS&P/IFCI LargeMidCap
40
60
80
100
120
06年12月 07年12月 08年12月 09年12月 10年12月 11年12月
S&P/TOPIX 150 Carbon Efficient Index
S&P/TOPIX 150
一般消費財・サービス18.1%
生活必需品6.8%
エネルギー1.9%
金融15.8%
ヘルスケア6.4%
資本財・サービス
22.0%
情報技術13.1%
素材7.2%
電気通信サービス
5.5%
公益事業3.1%
050
100150200250300350400450
2004 2005 2006 2007 2008 2009 2010 2011
S&P/TOPIX 150 Carbon Efficient S&P/TOPIX 150
30
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S&P Developed REIT
BLOOMBERGSM Price Return Total ReturnSREIT SREITTR
SREITJ SREITTRJ
S&P Developed S&P Global S&P DevelopedREIT REIT Property
North America 1.88% 1.89% 1.00%Canada 3.0% 23 9.63% 9.57% 6.60%United States 62.8% 118 1.80% 1.70% -5.55%
65.8% 141 1.80% 1.70% -5.55%Europe 18.79% 18.84% 16.47%
Austria - - -4.01% -3.90% -5.15%Belgium 0.6% 5 26.48% 26.35% 26.16%Denmark - - 28.28% 28.16% 27.22%Finland - - 0.2251 0.2263 0.2049France 4.9% 10 -0.0120 -0.0112 -0.0290
Greece 0.0% 1Ireland - -Italy 0.1% 2Luxembourg - -Netherlands 1.4% 5Norway - -Portugal - -Spain - -Sweden - -Switzerland - -United Kingdom 5.3% 13
12.4% 38Mid-East Africa Developed
Israel 0.0% 1Asia Pacific
Australia 10.9% 23Hong Kong 1.8% 7
New Zealand 0.4% 5Singapore 3.0% 21 ( US$)South Korea - - Diversified Property 14.1% 83,234.6
21.8% 89 Hotel/Resort/Leisure Property 4.1% 24,274.1Total 100.0% 268 Industrial Property 5.7% 33,577.1
Office Space Property 15.8% 93,217.5Healthcare Property 9.7% 56,955.7Retail Property 33.4% 197,008.7Storage Property 4.1% 24,307.1Specialty Property 0.4% 2,349.9Residential Property 12.6% 74,245.5
Total 100.0% 589,170.2
S&P Emerging Property Indices
0.2% 2Germany
S&P Global BMI (Broad Market Index)S&P Global Property Indices
S&P Developed Property IndicesS&P Developed REIT S&P Emerging REIT
Japan 5.7% 32
0
25
50
75
100
125
150
S&P Developed REIT
S&P Global REIT
S&P Developed Property
32
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S&P Global Infrastructure Index
Price Return Total ReturnBLOOMBERGSM SPGTINFR SPGTINTRReuters .SPGTINFRA .SPGTINTR
75 S&P Global S&P Global20 Infrastructure Index 1200
728.92 -0.39% -5.08%9.72 9.70% 11.85%
43.30 -0.16% -1.57%0.22 19.78% 20.88%3.45 20.36% 20.81%
5.27% 0.1619 0.183237.15% 0.0094 -0.0094
SedolAustralia Transurban Group NPV 6200882 TransportationCanada TransCanada Corp 2665184 EnergyCanada Enbridge Inc 2466149 EnergySpain Abertis Infraestructuras SA 4065663 TransportationItaly Atlantia SpA 7667163 TransportationGermany E.ON AG 4942904 UtilitiesUnited States El Paso Corp 2295945 EnergyUnited States Spectra Energy Corp B1L60G9 EnergyUnited States The Williams Companies Inc 2967181 EnergyFrance GDF Suez B0C2CQ3 Utilities
Australia 7.7% 4 Netherlands 1Brazil 2.2% 5 New Zealand 1Canada 10.8% 5 Norway 2Chile 0.7% 2 Portugal 1China 4.9% 6 Russia 1France 7.1% 4 Singapore 3Germany 6.3% 4 Spain 2Italy 6.2% 4 Switzerland 1Japan 4.1% 6 United Kingdom 4Mexico 0.7% 1 United States 18
0.3%3.5%5.6%
5.27%4.71%
3.29%
0.1%
6.6%0.9%
0.5%
2.98%
3.30%
4.40%3.64%3.40%
3.08%3.07%
28.3%
S&P Global Thematic Indices®
InfrastructureS&P Asia Infrastructure IndexS&P/ASX Infrastructure Index
S&P Emerging Markets Infrastructure Index
2.3%1.3%
S&P Global Infrastructure Index
34
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S&P Global Agribusiness Indices
BLOOMBERGSM ReutersS&P Global Agribusiness Composite Index SPAGRDP .SPAGRDPS&P Global Agribusiness Index SPAGREDP .SPAGREDP
S&P Global AgribusinessComposite Index
-0.67% -3.19%3.15% 7.05%
-12.33% -11.67%12.38% 19.88%5.55% 10.16%
21.95% 25.81%23.89% 29.07%0.1832 0.23840.0852 0.1274
S&P Global AgribusinessSedol Composite Index
Brazil BRF - Brasil Foods SA ADR 13,133.8 2605210 Consumer Staples 4.03% 8.17%United States Archer-Daniels-Midland Co 19,104.3 2047317 Consumer Staples 4.03% 8.17%Singapore Wilmar International 9,446.6 B17KC69 Consumer Staples 4.03% 8.16%United States Monsanto Co. 37,516.1 2654320 Materials 3.60% 7.30%Canada Potash Corp of Saskatchewan 35,351.7 2696377 Materials 3.53% 7.15%United Kingdom Associated British Foods 6,195.7 673123 Consumer Staples 3.50% 7.09%United States Deere & Co 32,017.0 2261203 Industrials 3.09% 6.25%Switzerland Syngenta AG 27,820.6 4356646 Materials 2.72% 5.51%Russia Uralkali OJSC GDR 9,919.7 B1FLM08 Materials 2.24% 4.55%United States Mosaic Co 15,015.1 B3NPHP6 Materials 2.21% 4.48%
24Brazil 1 12Canada 3 285.95Chile 1 11.91China 1 37.52Germany 1 1.19Japan 2 8.66Norway 2 8.17%Russia 1 66.83%Singapore 2Switzerland 1United Kingdom 1United States 838.6%
S&P Global Agribusiness Index
1.8%
S&P Global Agribusiness Composite Index
5.5%
3.8%
7.1%
11.8%
11.4%
3.2%
Natural Resources
8.2%
4.5%
2.8%1.4%
S&P Global Agribusiness Composite IndexS&P Global Agribusiness Index S&P GSCI Agriculture and Livestock Index
S&P GSCI®S&P Global IndicesS&P Global Thematic Indices®
ConsStaples51.6%
Industrials8.5%
Materials39.9% S&P
GSCI Agri-culture & Livestock
50.6%
ConsStaples25.5%
Industrials4.2%
Materials19.7%
36
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S&P Global Natural Resources Indices
BLOOMBERGSM
S&P Global Natural Resources Index SPGNRUPAgriculture SPGNAUPEnergy SPGNEUPMetals & Mining SPGNMUP
S&P Global Metals andNatural Resources Index Agriculture Energy Mining
-2.72% -0.37% -6.72%6.85% 14.97% 1.56%
-13.42% 0.13% -29.58%-13.42% 0.13% -29.58%14.26% 11.57% 13.86%6.46% 4.26% 1.58%
25.02% 23.14% 30.16%28.28% 24.54% 33.73%0.1884 0.1678 0.16560.0933 0.0692 0.0536
GICS® S&P Global Metals andSedol Natural Resources Index Agriculture Energy Mining
United States Exxon Mobil Corp Integrated Oil & Gas 5.43% - 15.79% -Australia BHP Billiton Ltd Diversified Metals & Mining 5.04% - - 15.42%United States Chevron Corp Integrated Oil & Gas 3.87% - 11.25% -United States Monsanto Co. Fertilizers & Agricultural Chemicals 3.81% 11.57% - -Canada Potash Corp of Saskatchewan Fertilizers & Agricultural Chemicals 3.52% 10.68% - -Switzerland Syngenta AG Fertilizers & Agricultural Chemicals 2.72% 8.25% - -United Kingdom BP Integrated Oil & Gas 2.51% - 7.29% -United Kingdom Royal Dutch Shell PLC Integrated Oil & Gas 2.44% - 7.11% -Singapore Wilmar International Agricultural Products 2.41% 7.31% - -United States Mosaic Co Fertilizers & Agricultural Chemicals 2.34% 7.11% - -
S&P Global Metals andNatural Resources Index Agriculture Energy Mining
88 28 30 3024 14 12 12
2,710.75 283.80 1,805.70 621.2430.80 10.14 60.19 20.71
406.27 37.52 406.27 113.241.30 1.30 4.18 1.70
12.96 7.38 29.70 13.155.43% 11.57% 15.79% 15.42%
34.08% 66.08% 70.01% 64.31%
24.22%25.55%0.13300.0493
23266186144690
B17KC69B3NPHP6
2696377
7980594356646
B03MLX2
S&P Global Natural Resources Index
-3.29%7.80%
-14.86%-14.86%
8.76%2.38%
S&P Global Thematic Indices®
Natural Resources
S&P Global Natural Resources Index
S&P Global Natural ResourcesMetals and Mining Index
S&P Global Natural ResourcesEnergy Index
S&P Global Natural ResourcesAgriculture Index
28385552654320
38
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S&P Emerging Asia Consumer Index
BLOOMBERGSM Price Return Total Return Net Total ReturnS&P Emerging Asia Consumer Index -0.40%
USD SPEAC SPEACT SPEACN 42.90%HKD SPEACH SPEACHT SPEACHN
23.59%
SedolIndonesia Astra International Tbk PT 6291712 13.27%Malaysia Genting Bhd B1VXJL8 7.16%India Hindustan Unilever Ltd 6261674 5.89%India ITC Ltd B0JGGP5 4.87%China Want Want China Holdings Ltd. B2Q14Z3 4.85%China Dongfeng Motor Group Co. Ltd. - H Shares B0PH5N3 4.29%China Tingyi (Cayman Islands) Holdings Corp. 6903556 3.88%Malaysia IOI Corp Bhd B1Y3WG1 3.59%Taiwan Uni-President Enterprises 6700393 3.54%India Mahindra & Mahindra Ltd 6100186 3.35%
406 China 31.6% 16
149.80 India 20.9% 103.74 Indonesia 18.8% 4
16.49 Malaysia 15.9% 40.38 Taiwan 7.0% 32.86 Thailand 5.8% 3
13.27%54.71%
250
500
750
1000
1250
1500
1750
2000
S&P Emerging Asia Consumer Index TR
S&P Pan Asia BMI Consumer Discretionary TR
S&P Pan Asia BMI Consumer Staples TR
40
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S&P/Citigroup International Treasury Bond Index Seiries
BLOOMBERGSM ReutersS&P/Citigroup International Treasury Bond Ex-U.S. Index (TR) SPBDXUTR .SPBDXUTRS&P/Citigroup International Treasury Bond Ex-U.S. 1-3 Year Index (TR) SPBDXU3T .SPBDXU3T
S&P/Citigroup InternationalTreasury Bond Index
Ex-U.S.Ex-U.S. 1-3 Year
-0.06% -2.65%2.70% 1.85%5.47% 4.63%3.71% 2.98%
10.98% 10.49%10.75% 9.98%
0.0827 0.06200.1245 0.1089
S&P/Citigroup International Treasury Bond Index Ex-U.S. Ex-U.S. 1-3 Year
Australia 3.6% 16 4.7% 4Austria 4.7% 15 3.4% 3Belgium 4.8% 22 4.7% 5Canada 4.7% 35 4.7% 12Denmark 2.8% 8 3.3% 2Finland 2.0% 10 1.8% 2France 8.0% 40 7.3% 10Germany 8.0% 47 9.0% 13Greece 4.0% 19 4.1% 5Ireland 2.6% 9 3.2% 2Italy 8.9% 47 8.7% 11Japan 23.3% 246 23.6% 53Netherlands 4.7% 18 4.6% 4Norway 0.8% 5 1.1% 1Portugal 3.2% 13 2.6% 3Spain 4.9% 30 4.8% 8Sweden 2.3% 8 1.1% 1Switzerland 1.8% 8 2.5% 2United Kingdom 4.7% 35 4.7% 4
100.0% 631 100.0% 145
S&P/Citigroup International Treasury Bond Index Series
S&P/Citigroup International Treasury Bond Ex-U.S. IndexS&P/Citigroup International Treasury Bond Ex-U.S. 1-3 Year Index
90
100
110
120
130
140
150
S&P/Citigroup International Treasury Bond Ex-U.S. Index
S&P/Citigroup International Treasury Bond Ex-U.S.1-3 Year Index
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S&P/ASX Australian Fixed Interest Index
S&P/ASX Australian S&P/ASX Government S&P/ASX Corporate S&P/ASX Supranational &Fixed Interest Index TR Bond Index TR Bond Index TR Sovereign Bond Index TR
0.73% 0.44% 0.54%1.87% 1.94% -0.41%
12.14% 10.14% 9.38%12.14% 10.14% 9.38%6.21% 7.82% 5.58%7.65% 7.68% 7.13%
Weighted Averages (WA) Sector Breakdown by Market Value Ratings Breakdown by Market ValueModified Duration (years) 4.25 Government Bond 68.5% AAA 79.3%Yield to Maturity (annualized) 4.31% Supranational & Sovereign Bond 21.0% AA 15.6%Coupon 5.89 Corporate Bond 10.5% A 4.0%
BBB 1.0%
WA Yield WA Modified Total Total MarketTotal Return WA Coupon to Maturity Duration Par Value Value
S&P/ASX Australian Fixed Interest Index SPBDASXT SPBDASXC SPBDASXY SPBDASXD SPBDASXP SPBDASXVS&P/ASX Australian Fixed Interest 1-5 Year Index SPBDAS1T SPBDAS1C SPBDAS1Y SPBDAS1D SPBDAS1P SPBDAS1VS&P/ASX Australian Fixed Interest 5-10 Year Index SPBDAS5T SPBDAS5C SPBDAS5Y SPBDAS5D SPBDAS5P SPBDAS5VS&P/ASX Aus Fixed Interest 10-15 Year Index SPBDA10T SPBDA10C SPBDA10Y SPBDA10D SPBDA10P SPBDA10VS&P/ASX Australian Fixed Interest 10 Year+ Index SPBDA1PT SPBDA1PC SPBDA1PY SPBDA1PD SPBDA1PP SPBDA1PVS&P/ASX Aus Fixed Interest AAA Rating Band Index SPBDAR1T SPBDAR1C SPBDAR1Y SPBDAR1D SPBDAR1P SPBDAR1VS&P/ASX Aus Fixed Interest AA Rating Band Index SPBDAR2T SPBDAR2C SPBDAR2Y SPBDAR2D SPBDAR2P SPBDAR2VS&P/ASX Aus Fixed Interest A Rating Band Index SPBDAR3T SPBDAR3C SPBDAR3Y SPBDAR3D SPBDAR3P SPBDAR3VS&P/ASX Aus Fixed Interest BBB Rating Band Index SPBDAR4T SPBDAR4C SPBDAR4Y SPBDAR4D SPBDAR4P SPBDAR4V
S&P/ASX Government Bond Index SPBDAGVT SPBDAGVC SPBDAGVY SPBDAGVD SPBDAGVP SPBDAGVVS&P/ASX Commonwealth Government Bond Index SPBDAGCT SPBDAGCC SPBDAGCY SPBDAGCD SPBDAGCP SPBDAGCVS&P/ASX State-Government Bond Index SPBDAGST SPBDAGSC SPBDAGSY SPBDAGSD SPBDAGSP SPBDAGSV
S&P/ASX Corporate Bond Index SPBDACPT SPBDACPC SPBDACPY SPBDACPD SPBDACPP SPBDACPVS&P/ASX Corporate Bond AAA Rating Band Index SPBDAC1T SPBDAC1C SPBDAC1Y SPBDAC1D SPBDAC1P SPBDAC1VS&P/ASX Corporate Bond AA Rating Band Index SPBDAC2T SPBDAC2C SPBDAC2Y SPBDAC2D SPBDAC2P SPBDAC2VS&P/ASX Corporate Bond A Rating Band Index SPBDAC3T SPBDAC3C SPBDAC3Y SPBDAC3D SPBDAC3P SPBDAC3VS&P/ASX Corporate Bond BBB Rating Band Index SPBDAC4T SPBDAC4C SPBDAC4Y SPBDAC4D SPBDAC4P SPBDAC4V
S&P/ASX Supranational & Sovereign Bond Index SPBDASAT SPBDASAC SPBDASAY SPBDASAD SPBDASAP SPBDASAV
5.93%7.91%
0.83%2.60%
13.41%13.41%
80
100
120
140
160
180
S&P/ASX Australian Fixed Interest Index TRS&P/ASX Government Bond Index TRS&P/ASX Corporate Bond Index TRS&P/ASX Supranational & Sovereign Bond Index TR
S&P/ASX Australian Fixed Interest Index
S&P/ASX Australian S&P/ASX Government S&P/ASX Corporate S&P/ASX Supranational &Fixed Interest Index TR Bond Index TR Bond Index TR Sovereign Bond Index TR
0.73% 0.44% 0.54%1.87% 1.94% -0.41%
12.14% 10.14% 9.38%12.14% 10.14% 9.38%6.21% 7.82% 5.58%7.65% 7.68% 7.13%
Weighted Averages (WA) Sector Breakdown by Market Value Ratings Breakdown by Market ValueModified Duration (years) 4.25 Government Bond 68.5% AAA 79.3%Yield to Maturity (annualized) 4.31% Supranational & Sovereign Bond 21.0% AA 15.6%Coupon 5.89 Corporate Bond 10.5% A 4.0%
BBB 1.0%
WA Yield WA Modified Total Total MarketTotal Return WA Coupon to Maturity Duration Par Value Value
S&P/ASX Australian Fixed Interest Index SPBDASXT SPBDASXC SPBDASXY SPBDASXD SPBDASXP SPBDASXVS&P/ASX Australian Fixed Interest 1-5 Year Index SPBDAS1T SPBDAS1C SPBDAS1Y SPBDAS1D SPBDAS1P SPBDAS1VS&P/ASX Australian Fixed Interest 5-10 Year Index SPBDAS5T SPBDAS5C SPBDAS5Y SPBDAS5D SPBDAS5P SPBDAS5VS&P/ASX Aus Fixed Interest 10-15 Year Index SPBDA10T SPBDA10C SPBDA10Y SPBDA10D SPBDA10P SPBDA10VS&P/ASX Australian Fixed Interest 10 Year+ Index SPBDA1PT SPBDA1PC SPBDA1PY SPBDA1PD SPBDA1PP SPBDA1PVS&P/ASX Aus Fixed Interest AAA Rating Band Index SPBDAR1T SPBDAR1C SPBDAR1Y SPBDAR1D SPBDAR1P SPBDAR1VS&P/ASX Aus Fixed Interest AA Rating Band Index SPBDAR2T SPBDAR2C SPBDAR2Y SPBDAR2D SPBDAR2P SPBDAR2VS&P/ASX Aus Fixed Interest A Rating Band Index SPBDAR3T SPBDAR3C SPBDAR3Y SPBDAR3D SPBDAR3P SPBDAR3VS&P/ASX Aus Fixed Interest BBB Rating Band Index SPBDAR4T SPBDAR4C SPBDAR4Y SPBDAR4D SPBDAR4P SPBDAR4V
S&P/ASX Government Bond Index SPBDAGVT SPBDAGVC SPBDAGVY SPBDAGVD SPBDAGVP SPBDAGVVS&P/ASX Commonwealth Government Bond Index SPBDAGCT SPBDAGCC SPBDAGCY SPBDAGCD SPBDAGCP SPBDAGCVS&P/ASX State-Government Bond Index SPBDAGST SPBDAGSC SPBDAGSY SPBDAGSD SPBDAGSP SPBDAGSV
S&P/ASX Corporate Bond Index SPBDACPT SPBDACPC SPBDACPY SPBDACPD SPBDACPP SPBDACPVS&P/ASX Corporate Bond AAA Rating Band Index SPBDAC1T SPBDAC1C SPBDAC1Y SPBDAC1D SPBDAC1P SPBDAC1VS&P/ASX Corporate Bond AA Rating Band Index SPBDAC2T SPBDAC2C SPBDAC2Y SPBDAC2D SPBDAC2P SPBDAC2VS&P/ASX Corporate Bond A Rating Band Index SPBDAC3T SPBDAC3C SPBDAC3Y SPBDAC3D SPBDAC3P SPBDAC3VS&P/ASX Corporate Bond BBB Rating Band Index SPBDAC4T SPBDAC4C SPBDAC4Y SPBDAC4D SPBDAC4P SPBDAC4V
S&P/ASX Supranational & Sovereign Bond Index SPBDASAT SPBDASAC SPBDASAY SPBDASAD SPBDASAP SPBDASAV
5.93%7.91%
0.83%2.60%
13.41%13.41%
80
100
120
140
160
180
S&P/ASX Australian Fixed Interest Index TRS&P/ASX Government Bond Index TRS&P/ASX Corporate Bond Index TRS&P/ASX Supranational & Sovereign Bond Index TR
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S&P GSCI®
BLOOMBERGSM Total Return Excess ReturnS&P GSCI SPGSCITR SPGSCIPReduced Energy SPGSRETRLight Energy SPGSLETRUltra-Light Energy SPGSUETR
Crude Oil 34.9% Wheat 2.9%Brent Crude 16.5% Kansas Wheat 0.7%Unleaded Gasoline 4.7% Corn 4.5%Heating Oil 5.2% Soybeans 2.3%GasOil 7.1% Cotton 1.2%Natural Gas 2.1% Sugar 2.0%
70.5% Coffee 0.9%Cocoa 0.2%
Aluminum 2.0% 14.7%Copper 3.1%Lead 0.4% Feeder Cattle 0.5%Nickel 0.6% Live Cattle 2.7%Zinc 0.5% Lean Hogs 1.5%
6.6% 4.7%
Gold 3.0%Silver 0.4%
3.5%
SoftsCocoa 4.9%Coffee 21.9%Cotton 27.4%Sugar 45.9%
100.0%
Forward Month
S&P GSCI
Commodity Sectors Decreased Energy Single Commodity Multi Currency
0
1000
2000
3000
4000S&P GSCI TRS&P 500 TRS&P/BGCantor 7-10 Year U.S. Treasury Bond Index TR
S&P GSCI
S&P GSCI Reduced Energy
S&P GSCI Light Energy
S&P GSCI Ultra-Light Energy
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S&P GSCI® Enhanced
Spot Total Return Excess ReturnBLOOMBERGSM SPGCES SPGCESTR SPGCESPReuters .SPGCES .SPGCESTR .SPGCESP
S&P GSCI S&P S&P S&P/Enhanced GSCI 500 BGCantor
TR TR TR 7-10Yr TB
-1.91% -2.11% 1.02% 1.84%8.96% 8.96% 11.82% 1.20%
11.08% 6.93% 14.11% 6.10%1.92% -2.79% -0.25% 9.25%
13.63% 5.64% 2.92% 7.14%
20.34% 22.32% 18.97% 7.40%25.81% 27.51% 18.88% 7.68%
0.1767 0.1166 0.2269 0.23760.0457 -0.0019 0.0040 0.2961
2008 -41.09% -46.49% -37.00% 18.13%2009 21.63% 13.48% 26.46% -5.91%2010 12.14% 9.03% 15.06% 9.82% Crude Oil 34.5% Wheat 3.2%2011 0.50% -1.18% 2.11% 15.60% Brent Crude 16.3% Kansas Wheat 0.7%
Unleaded Gasoline 4.7% Corn 4.5%Enhanced 1.0000 0.9856 0.7047 -0.3236 Heating Oil 5.1% Soybeans 2.3%S&P GSCI 0.9856 1.0000 0.6998 -0.2911 GasOil 7.0% Cotton 1.2%S&P 500 0.7047 0.6998 1.0000 -0.2591 Natural Gas 2.7% Sugar 1.9%7-10 Yr T-Bond -0.3236 -0.2911 -0.2591 1.0000 70.3% Coffee 0.9%
Cocoa 0.2%Enhanced 1.0000 0.9909 0.6055 -0.2809 Aluminum 2.0% 14.9%S&P GSCI 0.9909 1.0000 0.6002 -0.2923 Copper 3.1%S&P 500 0.6055 0.6002 1.0000 -0.2658 Lead 0.4% Feeder Cattle 0.5%7-10 Yr T-Bond -0.2809 -0.2923 -0.2658 1.0000 Nickel 0.6% Live Cattle 2.8%
Zinc 0.5% Lean Hogs 1.5%6.5% 4.8%
Gold 3.0%Silver 0.4%
3.4%
S&P GSCIS&P GSCI Enhanced Index
0
1000
2000
3000
4000
5000
6000
7000
S&P GSCI Enhanced Index TR
S&P GSCI TR
S&P 500 TR
S&P/BGCantor 7-10 Year U.S. Treasury Bond Index TR
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S&P GSCI® Dynamic Roll
Spot Total Return Excess ReturnBLOOMBERGSM SPDYCI SPDYCITR SPDYCIP
Crude Oil 34.2%Brent Crude 15.7%Unleaded Gasoline 4.9%Heating Oil 5.2%GasOil 7.3%Natural Gas 2.8%
70.0%
Aluminum 2.1%Copper 3.2%Lead 0.4%Nickel 0.6%Zinc 0.5%
Gold 3.1% S&P GSCI S&P/BGCantorSilver 0.5% Dynamic Roll S&P GSCI S&P 500 7-10 Year U.S.
3.6% Index (TR) (TR) (TR) Treasury Bond (TR)-2.02% -2.11% 1.02% 1.84%
Chicago Wheat 3.1% 4.77% 8.96% 11.82% 1.20%Kansas Wheat 0.8% -0.34% -1.18% 2.11% 15.60%Corn 4.2% 8.87% 6.93% 14.11% 6.10%Soybeans 2.3% 5.66% -2.79% -0.25% 9.25%
10.4% 17.69% 5.64% 2.92% 7.14%17.11% 22.32% 18.97% 7.40%
Cotton 1.2% 21.94% 27.51% 18.88% 7.68%Sugar 2.0% 0.1662 0.1166 0.2269 0.2376Coffee 1.0% 0.0880 -0.0019 0.0040 0.2961Cocoa 0.2% 2007 38.04% 32.67% 5.49% 10.30%
4.3% 2008 -26.07% -46.49% -37.00% 18.13%2009 18.24% 13.48% 26.46% -5.91%
Feeder Cattle 0.5% 2010 9.52% 9.03% 15.06% 9.82%Live Cattle 2.8% 2011 -0.34% -1.18% 2.11% 15.60%Lean Hogs 1.6%
4.9%
Total ReturnExcess Return
S&P Commodity Indices
S&P GSCI Dynamic Roll IndexSpot
6.8%
0
1000
2000
3000
4000
5000
6000
7000
8000S&P GSCI Dynamic Roll Index (TR)
S&P GSCI (TR)
S&P 500 (TR)
S&P/BGCantor 7-10 Year U.S. Treasury Bond Index (TR)
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S&P GSCI® Capped Indices
Crude Oil 19.3%Brent Crude 9.2%Unleaded Gasoline 2.6%Heating Oil 2.8%GasOil 3.9%Natural Gas 5.2%
43.1%
Aluminum 3.9%Copper 5.9%Lead 0.7%
Zinc 0.9% S&P GSCI S&P GSCI S&P GSCI12.5% Capped Capped Enhanced Capped
S&P GSCI Component Commodity ComponentGold 5.7% Total Return 35/20 Index TR 35/20 Index TR 35/20 Index TRSilver 0.8% -2.11% -2.22% -2.11% -1.89%
6.6% 8.96% 3.34% 8.96% 3.47%6.93% 4.29% 7.23% 7.26%
Wheat 6.1% -2.79% -3.52% -2.59% 0.23%Kansas Wheat 1.4% -1.10% -1.18% -0.95% 6.26%Corn 8.7% 22.32% 19.22% 22.21% 17.93%Soybeans 4.3% 27.51% 22.91% 27.38% 21.84%Cotton 2.2% 0.1166 0.0885 0.1204 0.1367Sugar 3.7% -0.0019 -0.0275 -0.0001 0.0185Coffee 1.8% 2008 -46.49% -38.52% -46.23% -34.36%Cocoa 0.4% 2009 13.48% 9.30% 14.26% 14.83%
28.6% 2010 9.03% 12.97% 9.16% 14.69%2011 -1.18% -8.13% -1.16% -6.31%
Feeder Cattle 0.9%Live Cattle 5.4% S&P GSCI S&P GSCI S&P GSCILean Hogs 2.9% Capped Capped Enhanced Capped
9.2% S&P GSCI Component Commodity ComponentTotal Return 35/20 Index TR 35/20 Index TR 35/20 Index TR
S&P GSCI Total Return 1.0000 0.9647 0.9999 0.9504Capped Component 35/20 Index TR 1.0000 0.9653 0.9920Capped Commodity 35/20 Index TR 1.0000 0.9516Enhanced Capped Component 35/20 Index TR 1.0000
S&P GSCI Enhanced Capped Component 35/20 IndexS&P GSCI Capped Commodity 35/20 Index
S&P GSCI
S&P GSCI Capped IndicesS&P GSCI Capped Component 35/20 Index
1.1%Nickel
0
1000
2000
3000
4000
5000
S&P GSCI TR
S&P GSCI Capped Component 35/20 Index TR
S&P GSCI Capped Commodity 35/20 Index TR
S&P GSCI Enhanced Capped Component 35/20 Index TR
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S&P GSCI® Equal Weight Select Index
Spot Total Return Excess ReturnBLOOMBERGSM SPGSEW SPGSEWTR SPGSEWP
Crude Oil 8.5%Brent Crude 7.3%Unleaded Gasoline 7.1%Heating Oil 0.0%GasOil 0.0%Natural Gas 5.9%
28.8%
Aluminum 6.5%Copper 7.5%Lead 0.0%Nickel 7.0%Zinc 7.1%
Gold 6.8% S&P GSCI S&P/BGCantorSilver 0.0% Equal Weight S&P GSCI S&P 500 7-10 Year U.S.
6.8% Select Index (TR) (TR) (TR) Treasury Bond-2.10% -2.11% 1.02% 1.84%
Chicago Wheat 7.6% 0.60% 8.96% 11.82% 1.20%Kansas Wheat 0.0% -11.82% -1.18% 2.11% 15.60%Corn 7.6% 8.46% 6.93% 14.11% 6.10%Soybeans 7.4% -0.75% -2.79% -0.25% 9.25%
22.6% 8.55% 5.64% 2.92% 7.14%18.58% 22.32% 18.97% 7.40%
Cotton 0.0% 21.31% 27.51% 18.88% 7.68%Sugar 6.7% 0.1511 0.1166 0.2269 0.2376Coffee 0.0% 0.0039 -0.0019 0.0040 0.2961Cocoa 0.0% 2007 15.13% 32.67% 5.49% 10.30%
6.7% 2008 -34.43% -46.49% -37.00% 18.13%2009 23.58% 13.48% 26.46% -5.91%
Feeder Cattle 0.0% 2010 17.08% 9.03% 15.06% 9.82%Live Cattle 7.1% 2011 -11.82% -1.18% 2.11% 15.60%Lean Hogs 0.0%
7.1%
Excess Return
28.1%
Total Return
S&P GSCI
S&P GSCI Equal Weight Select IndexSpot
0
500
1000
1500
2000
2500
3000
3500
4000S&P GSCI Equal Weight Select Index TR
S&P GSCI TR
S&P 500 TR
S&P/BGCantor 7-10 Year U.S. Treasury Bond Index TR
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S&P GSCI® Covered Call Select Index
Spot Total Return Excess ReturnBLOOMBERGSM SPCLCI SPCLCITR SPCLCIP
Crude Oil 11.8%Natural Gas 7.4%
19.3%
Gold 12.0%Silver 10.7%
22.8%
Chicago Wheat 9.0%Corn 11.2%Soybeans 9.4%
29.6%
Cotton 7.3%Sugar 10.3%Coffee 10.7%
28.4%
S&P GSCI S&P/BGCantorCoveredl Call 7-10 Year U.S.
Select Index TR S&P GSCI TR S&P 500 TR Treasury Bond TR-3.28% -2.11% 1.02% 1.84%-1.89% 8.96% 11.82% 1.20%
-10.09% -1.18% 2.11% 15.60%9.67% 6.93% 14.11% 6.10%3.70% -2.79% -0.25% 9.25%
17.13% 22.32% 18.97% 7.40%19.02% 27.51% 18.88% 7.68%0.1786 0.1166 0.2269 0.23760.0636 -0.0019 0.0040 0.2961
2007 20.73% 32.67% 5.49% 10.30%2008 -24.70% -46.49% -37.00% 18.13%2009 22.93% 13.48% 26.46% -5.91%2010 19.35% 9.03% 15.06% 9.82%2011 -10.09% -1.18% 2.11% 15.60%
Total Return
S&P GSCI
S&P GSCI Covered Call Select IndexSpot
Excess Return
0
250
500
750
1000
1250
1500
1750
2000
S&P Covered Call Select Index TR
S&P GSCI TR
S&P 500 TR
S&P/BGCantor 7-10 Year U.S. Treasury Bond Index TR
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S&P GSCI® Agriculture Index
BLOOMBERGSM Spot Return Total Return Excess ReturnS&P GSCI Agriculture Index SPGSAG SPGSAGTR SPGSAGPS&P GSCI Agriculture Capped Component Index SPGSGP SPGSGPTR SPGSGPP
S&P GSCITotal Excess Total Excess Total
Return Spot Return Return Spot Return Return-2.11% 3.97% 3.83% 3.83% 3.57% 3.41% 3.41%8.96% 2.13% 0.46% 0.46% 1.44% -0.05% -0.05%6.93% 12.13% 5.31% 5.43% 12.69% 6.41% 6.54%
-2.79% 9.84% 0.07% 1.35% 11.47% 1.74% 3.05%-1.10% 13.40% 1.03% 3.13% 14.52% 2.26% 4.39%22.32% 28.53% 27.96% 27.96% 27.99% 27.40% 27.41%27.51% 30.20% 29.20% 29.25% 29.61% 28.64% 28.69%0.1166 0.1555 0.0917 0.0929 0.1621 0.1029 0.1041
-0.0019 0.1211 0.0299 0.0426 0.1363 0.0455 0.05842009 13.48% 14.70% 3.64% 3.81% 17.83% 6.75% 6.92%2010 9.03% 44.48% 34.01% 34.19% 44.73% 35.07% 35.26%2011 -1.18% -14.93% -15.92% -15.87% -16.10% -16.43% -16.39%
Wheat 19.9%Kansas Wheat 5.0%Corn 30.5%Soybeans 15.6%Cotton 7.9%Sugar 13.3%Coffee 6.3%Cocoa 1.4%
100.0%
S&P GSCI
S&P GSCI Agriculture IndexS&P GSCI Agriculture Capped Component Index
Agriculture Index Agri. Capped Component
0
500
1000
1500
2000
2500
3000
3500
4000
S&P GSCI TR
S&P GSCI Agriculture Index TR
S&P GSCI Agriculture Capped Component Index TR
Wheat19.9%
Kansas Wheat5.0%
Corn30.5%
Soybeans15.6%
Cotton7.9%
Sugar13.3%
Coffee6.3%
Cocoa1.4%
60
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S&P Dynamic Future Index
BLOOMBERGSM Spot Total Return Excess ReturnS&P Dynamic Futures Index SPDFII SPDFIITR SPDFIIPS&P Dynamic Commodity Futures Index SPDFCI SPDFCITR SPDFCIPS&P Dynamic Financial Futures Index SPDFNI SPDFFNTR SPDFFNP
S&P Dynamic S&P DynamicS&P Dynamic Commodity FinancialFutures Index Futures Index Futures Index S&P GSCI S&P 500
Total Return Total Return Total Return Total Return Total Return
-0.70% -3.06% 1.65% -2.11% 1.02%-2.30% -2.96% -1.81% 8.96% 11.82%
-3.66% -5.94% -1.74% 6.93% 14.11%1.71% 1.88% 0.37% -2.79% -0.25%
8.76% 16.04% 6.25% 22.32% 18.97%9.35% 16.29% 6.63% 27.51% 18.88%
-0.1141 -0.0896 -0.0775 0.1166 0.22690.0263 0.0334 -0.0307 -0.0019 0.0040
2009 -3.78% -1.97% -5.14% 13.48% 26.46%2010 -0.26% 2.88% -1.37% 9.03% 15.06%2011 -6.83% -17.49% 1.40% -1.18% 2.11%
S&P DFI TR 1.0000 0.9308 0.5724 0.0906 -0.2106S&P DCFI TR 1.0000 0.2424 0.1128 -0.1097S&P DFFI TR 1.0000 0.0189 -0.2747S&P GSCI TR 1.0000 0.6002S&P 500 TR 1.0000
S&P Commodity Indices
S&P Dynamic Futures Index (S&P DFI)S&P Dynamic Commodity Futures Index (S&P DCFI)
S&P Dynamic Financial Futures Index (S&P DFFI)
250
500
750
1000
1250
1500
1750
2000
S&P Dynamic Future Index TR
S&P GSCI TR
S&P 500 TR
62
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S&P World Commodity Index (S&P WCI®)
S&P WCI Real Time End of Day S&P WCI Europe S&P WCI AsiaSpot SPWCI SPWICI SPWIEU SPWIASExcess Return SPWCIP SPWICIP SPWIEUP SPWIASPTotal Return SPWCITR SPWICITR SPWIEUTR SPWIASTR
Commodities Index Weight Exchange CurrencyCanola 0.4% ICE Futures, Canada Canadian DollarCocoa 0.2% NYSE Liffe-UK British PoundCopper - Grade A 3.4% London Metal Exchange U.S. DollarCorn 0.0% Tokyo Grain Exchange Japanese YenCrude Palm Oil (FCPO) 0.9% Malaysia Derivatives Exch Berhad Malaysian RinggitGasoline 0.6% Tokyo Commodity Exchange Japanese YenGold 3.3% Tokyo Commodity Exchange Japanese YenHigh Grade Primary Aluminum 2.2% London Metal Exchange U.S. DollarICE UK Natural Gas Monthly (NBP) - Winter 0.0% ICE Futures, Europe British PoundICE UK Natural Gas Monthly (NBP) - Summer 0.0% ICE Futures, Europe British PoundKerosene 0.2% Tokyo Commodity Exchange Japanese YenOil (Brent Crude Oil) 54.2% ICE Futures, Europe U.S. DollarOil (Gasoil) 23.3% ICE Futures, Europe U.S. DollarPlatinum 0.2% Tokyo Commodity Exchange Japanese YenPrimary Nickel 0.6% London Metal Exchange U.S. DollarRapeseed 0.3% NYSE Liffe-Paris EuroRobusta Coffee 0.4% NYSE Liffe-UK U.S. DollarRubber 1.9% Tokyo Commodity Exchange Japanese YenSpecial High Grade Zinc 0.5% London Metal Exchange U.S. DollarStandard Lead 0.4% London Metal Exchange U.S. DollarTin 0.2% London Metal Exchange U.S. DollarWheat (Milling) 4.1% NYSE Liffe-Paris EuroWhite Sugar 2.5% NYSE Liffe-UK U.S. Dollar
S&P WCI Breakdown by Index Weight
0
1000
2000
3000
4000
5000
6000
7000
S&P WCI TR
S&P GSCI TR
S&P 500 TR
S&P/BGCantor 7-10 Year U.S. Treasury Bond Index TR
Exchange NYSE Liffe-UK3.1%
TOCOM6.3%TGE0.0%
ICE Futures,Europe77.5%
LME7.3%
Bursa Malaysia0.9%
ICE Futures,Canada
0.4%
NYSE Liffe-Paris4.4%
Currency
USD87.7%
EUR4.4%
GBP0.2%
JPY6.3%
CAD0.4%
MYR0.9%
Commodity Sectors
Energy78.4%
IndustrialMetals7.3%
PreciousMetals3.5%
Agri-culture10.7%
64
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S&P Systematic Global Macro Index (S&P SGMI®)
BLOOMBERGSM S&P SGMI S&P SGMCI S&P SGMFIExcess Return SPSGMIP SPSGMICP SPSGMIFPTotal Return SPSGMITR SPSGMICT SPSGMIFT
ExposureNominal Gross
S&P SGMI (2012 1 ) Long (+), Short (-), Flat (0)Commodities
Grains Soybeans 3.6% 1.4% -Corn 3.2% 1.2% -
Wheat 2.4% 0.9% -Livestock & Softs Sugar 2.4% 0.9% -
Live Cattle 5.5% 2.1% +Coffee 2.1% 0.8% -Cotton 2.7% 1.0% -
Metals Copper 2.1% 0.8% -Gold 3.4% 1.3% +
Silver 1.7% 0.6% +Energy
Natural Gas 2.9% 1.1% -Heating Oil 6.0% 2.3% -
Gasoil 6.4% 2.5% +Crude Oil 4.4% 1.7% +
Brent Crude 5.3% 2.0% +Unleaded Gas 4.8% 1.8% +
Fixed Income
Europe Bund 12.1% 4.6% +BOBL 23.2% 8.8% + S&P SGMI S&P SGMI
U.S. 10 Yr Note 20.0% 7.6% + S&P SGMI Commodities Financials S&P 500 S&P GSCIFive Yr Note 42.7% 16.3% + TR TR TR TR TR
Treasury Bond 8.9% 3.4% +Foreign Exchange 1.58% 0.25% 1.82% 1.02% -2.11%
Euro 9.9% 3.8% - 0.61% 2.49% -0.96% 11.82% 8.96%Japanese Yen 15.7% 6.0% +British Pound 14.0% 5.3% - 3.21% 12.31% -4.32% 2.11% -1.18%
Australian Dollar 7.3% 2.8% + 8.59% 12.08% 2.40% 14.11% 6.74%Canadian Dollar 11.2% 4.3% + 11.46% 14.06% 4.94% -0.25% -2.74%
Swiss Franc 9.0% 3.4% +Short Term Interest Rates 13.16% 14.63% 10.60% 18.97% 22.32%
Asia EuroDollar 0.0% 0.0% 0 12.86% 15.56% 10.57% 18.88% 27.51%Europe 3 Month Euribor 0.0% 0.0% 0U.S. 3 Month Euroyen 0.0% 0.0% 0 2008 20.90% 20.44% 10.56% 2.11% -46.49%
Stock Indices 2009 2.81% 7.53% -3.28% 0.00% 13.48%Asia KOSPI 200 4.4% 1.7% + 2010 21.52% 17.68% 16.27% 0.00% 9.03%
Nikkei 225 6.9% 2.6% - 2011 3.21% 12.31% -4.32% 0.00% -1.18%Europe Euro STOXX 50 3.9% 1.5% -
DAX Index 4.1% 1.6% + S&P SGMI TR 1.0000 0.8148 0.8586 0.0170 0.1498U.S. NASDAQ 100 5.4% 2.1% + S&P SGMCI TR 1.0000 0.4126 0.1527 0.4014
S&P 500 5.2% 2.0% + S&P SGMFI TR 1.0000 -0.1167 -0.1169Total 100% S&P 500 TR 1.0000 0.5976
S&P GSCI TR 1.0000
0.0% 0
262.8%
0.0%Asia JGB
66
0
500
1000
1500
2000
2500
3000
3500
4000
S&P Systematic Global Macro Index TR
S&P Systematic Global Macro Commodities Index TR
S&P Systematic Global Macro Financials Index TR
S&P 500 TR
S&P GSCI TR
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S&P/Case-Shiller Home Price Indices
BLOOMBERGSM Reuters BLOOMBERGSM Reuters BLOOMBERGSM Reuters10-City Comp SPCS10 .SPCS10 Boston SPCSBOS .SPCSBOS Atlanta SPCSATL .SPCSATL20-City Comp SPCS20 .SPCS20 Chicago SPCSCHI .SPCSCHI Charlotte SPCSCHAR .SPCSCHARU.S. National SPCSUSA .SPCSUSA Denver SPCSDEN .SPCSDEN Cleveland SPCSCLE .SPCSCLE
Las Vegas SPCSLV .SPCSLV Dallas SPCSDAL .SPCSDALLos Angeles SPCSLA .SPCSLA Detroit SPCSDET .SPCSDETMiami SPCSMIA .SPCSMIA Minneapolis SPCSMIN .SPCSMINNew York SPCSNY .SPCSNY Phoenix SPCSPHX .SPCSPHXSan Diego SPCSSD .SPCSSD Portland SPCSPORT .SPCSPORTSan Francisco SPCSSF .SPCSSF Seattle SPCSSEA .SPCSSEAWashington D.C. SPCSWDC .SPCSWDC Tampa SPCSTMP .SPCSTMP
Metropolitan Regions in the S&P/Case-Shiller Home Price Indices
S&P/Case-Shiller S&P/BGCantor10-City Composite 7-10 Yr Treasury S&P
Housing 1.94% 4.27% Asset Home Price Index Bond Index S&P 500 U.S. REITBonds 10.17% 26.14% S&P/CS 10-City Composite 1.000 -0.047 0.116 0.201Stocks 2.92% 15.93% S&P/BGCantor 7-10 Yr T-Bond 1.000 -0.318 -0.098REITs 7.14% 7.10% S&P 500 1.000 0.712
S&P U.S. REIT 1.000
0
50
100
150
200
250
300
350
HOUSING [S&P/Case-Shiller 10-City Composite Home Price Index]
BONDS [S&P/BGCantor 7-10 Year U.S. Treasury Bond Index]
STOCKS [S&P 500]
REITs [S&P U.S. REIT]
68
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S&P 500 VIX Futures Index Series
S&P 500 VIX S&P 500 VIX S&P 500 VIX S&P 500 Short-Term VIX 2-Month VIX 3-Month
TR Futures Index TR Futures Index TR Futures Index TR1.02% -13.93% -14.16% -11.75%
11.82% -33.45% -27.57% -20.84%2.11% -3.72% -15.56% -4.75%2.11% -3.72% -15.56% -4.75%
14.11% -54.42% -35.37% -21.69%-0.25% -21.06% 0.35% 10.58%18.97% 67.17% 49.70% 41.99%18.88% 82.01% 58.07% 47.43%
Excess Return SPVXSP SPVIX2ME SPVIX3MEBLOOMBERGSM Total Return - RT SPXT SPVIXSTR SPVIX2MT SPVIX3MT
Total Return - EOD SPVXSTR
S&P 500 VIX S&P 500 VIX S&P 500 VIX VIX 4-Month VIX Mid-Term VIX 6-Month
Futures Index TR Futures Index TR Futures Index TR-10.09% -8.19% -6.23%-19.16% -17.01% -14.54%-9.74% -7.61% -3.13%-9.74% -7.61% -3.13%
-18.05% -15.06% -12.15%10.47% 11.64% 12.96%37.89% 34.50% 32.14%42.10% 38.52% 36.09%
Excess Return SPVIX4ME SPVXMP SPVIX6MEBLOOMBERGSM Total Return - RT SPVIX4MT SPVIXMTR SPVIX6MT
Total Return - EOD SPVXMTR
70
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S&P High Yield Dividend Aristocrats
Price Return Total ReturnBLOOMBERGSM SPHYDA SPHYDATR
S&P High Yield Dividend Aristocrats S&P 500® S&P Composite 15001.09% 1.02% 0.92%
12.20% 11.82% 12.10%7.63% 2.11% 1.75%7.63% 2.11% 1.75%
14.35% 14.11% 14.65%1.53% -0.25% 0.11%
20.46% 18.97% 19.33%19.34% 18.88% 19.26%0.2175 0.2269 0.23070.0315 0.0040 0.0104
0.8543 0.85443.55% 2.10% 2.01%
S&P High Yield Dividend Aristocrats S&P 500 S&P Composite 150011.3% 10.7% 11.0%18.7% 11.5% 10.7%1.4% 12.3% 11.5%
19.2% 13.6% 14.4%6.9% 11.9% 11.7%
13.9% 10.7% 11.3%3.0% 19.0% 18.7%
10.8% 3.5% 3.8%3.4% 3.0% 2.7%
11.3% 3.9% 4.1%
S&P Composite 1500®
S&P High Yield Dividend Aristocrats®
500
600
700
800
900
1000
1100
1200
1300S&P High Yield Dividend Aristocrats Index
S&P 500 (TR)
S&P Composite 1500
-50%
-30%
-10%
10%
30%
50%
2007 2008 2009 2010 2011S&P High Yield Dividend Aristocrats IndexS&P 500 (TR)S&P Composite 1500
72
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S&P 500 Dividend Aristocrats
Price Return Total ReturnBLOOMBERGSM SPDAUDP SPDAUDT
S&P 500Dividend S&P S&P
Aristocrats 500 EWI1.61% 1.02% 0.12%
12.94% 11.82% 12.45%8.33% 2.11% -0.11%8.33% 2.11% -0.11%
17.84% 14.11% 21.23%4.59% -0.25% 1.75%6.19% 2.64% 4.54%
18.84% 18.97% 23.03%17.56% 18.88% 22.86%0.2779 0.2269 0.27360.0778 0.0040 0.0386
0.9299 0.92992.73% 2.10% 1.88%
S&P 500Dividend S&P S&P
Aristocrats 500 EWI15.5% 10.7% 16.0%25.3% 11.5% 8.4%2.0% 12.3% 8.6%
11.9% 13.6% 16.3%9.8% 11.9% 10.5%
15.8% 10.7% 12.2%2.0% 19.0% 14.0%
13.7% 3.5% 6.0%2.0% 3.0% 1.4%2.0% 3.9% 6.6%
S&P 500 Dividend Aristocrats®
S&P 500®
S&P Composite 1500®
S&P SmallCap 600®S&P MidCap 400®
500
700
900
1100
1300
1500
S&P 500 Dividend Aristocrats TR
S&P 500 TR
S&P 500 Equal Weight Index TR
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
2007 2008 2009 2010 2011
S&P 500
S&P 500 Dividend Aristocrats
S&P EWI
6461
56 57 59 59 60
52
43 42
51
0
15
30
45
60
75
01 02 03 04 05 06 07 08 09 10 11
74
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S&P Pan Asia Dividend Aristocrats
Price Return Total ReturnBLOOMBERGSM SPDGPAUP SPDGPAUTReuters .SPDGPAUP .SPDGPAUT
S&P Pan Asia Dividend Aristocrats S&P Pan Asia BMI2.14% 0.11%
Australia 31.3% 12 -0.71% 0.76%Hong Kong 6.5% 6 -5.05% -15.05%India 8.5% 10 26.11% 12.38%Indonesia 4.4% 2 6.53% -1.21%Japan 31.8% 20 9.76% 4.38%Philippines 1.1% 1 18.26% 20.48%Singapore 2.6% 1 20.32% 22.15%South Korea 2.7% 2 0.3937 0.1923Taiwan 11.1% 3 0.1011 -0.0003
3.77% 2.98%
S&P Pan Asia Dividend Aristocrats S&P Pan Asia BMI57 46929 13
410.10 6607.75
7.19 1.4131.14 135.280.55 0.113.72 0.28
5.34% 2.05%35.27% 11.62%
S&P Pan Asia Dividend Aristocrats®
S&P Global BMIS&P Pan Asia BMI
500
750
1000
1250
1500
1750
2000
S&P Pan Asia Dividend Aristocrats (TR)
S&P Pan Asia BMI (TR)
76
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S&P Japan Corporate Group Index - Mitsubishi Group Cluster
Price Return Total Return Net Total ReturnS&P Japan Corporate Group Index - Mitsubishi Group Cluster SPSXMUJP SPSXMUJT SPSXMUJN BLOOMBERGSM
.SPSXMUJP Reuters
-0.91%-5.54%
-18.85%-18.85%-1.39%
-11.97%22.57%25.34%
Japan Mitsubishi Electric Corp 1,443,761.0 11.16%Japan Mitsubishi UFJ Financial Group Inc 4,628,524.1 10.51%Japan Mitsubishi Estate Co 1,420,353.1 9.74%Japan Tokio Marine Holdings Inc 1,248,122.0 9.25%Japan Mitsubishi Corp 2,226,917.9 9.23%
2517,085.82
683,432.624,628,524.12
1,210.90313568.00
11.16%49.89%
0
50
100
150
200
250
78
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S&P Dynamic Asset Exchange Index Series
BLOOMBERGSM
S&P Dynamic Asset Exchange Index Series – U.S. – EuropeSPDXUS SPDXEU
S&P 10-YearS&P Dynamic U.S. Treasury S&P Dynamic S&P Euro-Bund
Asset Exchange S&P 500 Note Futures Asset Exchange S&P Euro 75 Futures - U.S. Total Return Total Return - Europe Total Return Total Return5.21% 2.11% 12.73% 1.67% -16.82% 14.55%9.57% 14.11% 5.08% 7.04% 4.13% 7.13%9.28% -0.25% 9.19% 6.65% -5.71% 7.46%8.58% 2.64% 7.41% 9.38% 1.72% 6.07%9.24% 2.92% 7.75% 8.55% -0.15% 6.86%8.82% 18.97% 6.25% 9.62% 22.81% 6.43%8.64% 18.88% 7.26% 9.05% 21.88% 6.15%7.37% 15.93% 6.93% 8.32% 21.88% 5.38%
80
0
50
100
150
200
250
300
Dec.01 Dec.02 Dec.03 Dec.04 Dec.05 Dec.06 Dec.07 Dec.08 Dec.09 Dec.10 Dec.11
S&P Dynamic Asset Exchange - U.S.
S&P 500 Total Return
S&P 10-Year U.S. Treasury Note Futures Total Return
0
50
100
150
200
250
300
Dec.01 Dec.02 Dec.03 Dec.04 Dec.05 Dec.06 Dec.07 Dec.08 Dec.09 Dec.10 Dec.11
S&P Dynamic Asset Exchange - Europe
S&P Euro 75 Total Return
S&P Euro-Bund Futures Total Return
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S&P 500 Low Volatility Index
BLOOMBERGSM Reuters BLOOMBERGSM
S&P 500 Low Volatility Index CAD HedgedPrice Return SP5LVI .SP5LVITotal Return SP5LVIT .SP5LVIT SP5LVCTHNet Total Return SP5LVCNH
S&P 500 Low S&P 500Volatility Index TR TR
1991 21.71% 30.47%1992 9.34% 7.62%1993 10.92% 10.08%1994 -2.60% 1.32%1995 38.17% 37.58%1996 17.50% 22.96%1997 30.40% 33.36%1998 8.07% 28.58%1999 -7.76% 21.04%2000 25.03% -9.10%2001 4.37% -11.89%2002 -7.16% -22.10%2003 22.75% 28.68%2004 17.69% 10.88%
2006 19.69% 15.79%2007 0.58% 5.49% S&P 500 Low Volatility Index S&P 5002008 -21.41% -37.00% TR CAD Hedged TR TR2009 19.22% 26.46% 14.78% 15.20% 2.11%2010 13.36% 15.06% 15.76% 15.24% 14.11%2011 14.78% 2.11% 4.16% 3.18% -0.25%
7.24% - 2.92%8.53% - 5.45%9.85% - 7.81%
11.90% 11.84% 18.97%12.92% 13.33% 18.88%10.81% - 15.93%12.18% - 16.59%11.37% - 15.03%
Rolling 1 Year Risk
S&P 500 Low Volatility Index
2005 2.20% 4.91%
0
1500
3000
4500
6000
7500
9000
S&P 500 Low Volatility Index TR
S&P 500 TR
82
0%
5%
10%
15%
20%
25%
30%
35%
S&P 500 Low Volatility Index TR
S&P 500 TR
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S&P 500® High Beta Index
BLOOMBERGSM ReutersS&P 500 High Beta Index Price Return SP5HBI .SP5HBI
Total Return SP5HBIT
60 Days Rolling BetaS&P 500 High S&P 500Beta Index TR TR
1991 57.91% 30.47%1992 24.76% 7.62%1993 14.16% 10.08%1994 1.82% 1.32%1995 31.18% 37.58%1996 20.89% 22.96%1997 37.00% 33.36%1998 31.23% 28.58%1999 52.76% 21.04%2000 -20.13% -9.10%2001 -24.82% -11.89%2002 -42.49% -22.10%2003 84.85% 28.68%2004 6.88% 10.88%2005 3.37% 4.91%2006 9.97% 15.79%
2008 -60.32% -37.00% Up Market & Down Market Magnitude [November 19, 1990 - December 30, 2011]2009 57.35% 26.46%2010 27.40% 15.06%2011 -18.01% 2.11%
Up Market 85.88%Down Market 84.58%
10 Biggest Gains & Losses of the S&P 500 [November 19, 1990 - December 30, 2011]S&P 500 S&P 500
Gains High Beta S&P 500 Losses High Beta S&P 50013.Oct.08 9.65% 11.58% 15.Oct.08 -11.17% -9.04%28.Oct.08 13.51% 10.79% 1.Dec.08 -16.42% -8.93%23.Mar.09 15.68% 7.07% 29.Sep.08 -16.80% -8.79%13.Nov.08 8.25% 6.92% 9.Oct.08 -14.04% -7.62%24.Nov.08 17.78% 6.47% 27.Oct.97 -8.08% -6.87%10.Mar.09 14.77% 6.37% 31.Aug.98 -8.37% -6.80%21.Nov.08 4.64% 6.33% 20.Nov.08 -9.30% -6.71%24.Jul.02 5.20% 5.73% 8.Aug.11 -10.43% -6.66%30.Sep.08 9.78% 5.42% 19.Nov.08 -11.48% -6.12%29.Jul.02 7.07% 5.41% 22.Oct.08 -8.03% -6.10%
Percent of Days the S&P 500 High Beta Index Moves in the Same Direction as the S&P 500[Nov 19, 1990 - Dec 30, 2011]
2007 -0.48% 5.49%
84
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0%
5%
10%
15%
20%
25%
30%
< 1X 1 - 1.5X 1.5 - 2X 2 - 2.5X 2.5 - 3X > 3X
Up Market
Down Market
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S&P 500 Inverse Daily Index
BLOOMBERGSM SPXTSReuters .SPXTS
S&P 500 Inverse Daily Index S&P 500-1.26% 1.02%
-12.09% 11.82%-6.92% 2.11%-6.92% 2.11%
-16.60% 14.11%-3.50% -0.25%18.49% 18.97%17.94% 18.88%
-0.99683-0.98917
United States Exxon Mobil Corp 406,272.3 3.57%United States Apple Inc. 376,410.6 3.31%United States Intl Business Machines Corp 216,724.3 1.90%United States Chevron Corp 211,893.9 1.86%United States Microsoft Corp 194,358.4 1.71%United States General Electric Co 189,082.2 1.66%United States Procter & Gamble 183,540.6 1.61%United States AT&T Inc 179,202.2 1.57%United States Johnson & Johnson 179,089.1 1.57%United States Pfizer Inc 166,346.0 1.46%
0
250
500
750
1000
1250
1500
1750
2000
S&P 500 Inverse Daily IndexS&P 500
86
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S&P 500 2x Inverse Daily Index
BLOOMBERGSM SPXT2IUTReuters .SPXT2IUT
S&P 500 2x Inverse Daily Index S&P 500-2.79% 1.02%
-24.14% 11.82%-18.02% 2.11%-18.02% 2.11%-34.23% 14.11%-14.72% -0.25%36.32% 18.97%34.31% 18.88%
-0.99375-0.97568
United States Exxon Mobil Corp 406,272.3 3.57%United States Apple Inc. 376,410.6 3.31%United States Intl Business Machines Corp 216,724.3 1.90%United States Chevron Corp 211,893.9 1.86%United States Microsoft Corp 194,358.4 1.71%United States General Electric Co 189,082.2 1.66%United States Procter & Gamble 183,540.6 1.61%United States AT&T Inc 179,202.2 1.57%United States Johnson & Johnson 179,089.1 1.57%United States Pfizer Inc 166,346.0 1.46%
0
250
500
750
1000
1250
1500
1750
2000
2250
S&P 500 2x Inverse Daily IndexS&P 500
88
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S&P 500 2x Leverage Daily Index
BLOOMBERGSM SPXT2LUNReuters .SPXT2LUN
S&P 500 2x Leverage Daily Index S&P 5001.66% 1.02%
22.35% 11.82%-2.69% 2.11%-2.69% 2.11%21.53% 14.11%
-10.07% -0.25%38.26% 18.97%38.45% 18.88%
0.998630.99837
United States Exxon Mobil Corp 406,272.3 3.57%United States Apple Inc. 376,410.6 3.31%United States Intl Business Machines Corp 216,724.3 1.90%United States Chevron Corp 211,893.9 1.86%United States Microsoft Corp 194,358.4 1.71%United States General Electric Co 189,082.2 1.66%United States Procter & Gamble 183,540.6 1.61%United States AT&T Inc 179,202.2 1.57%United States Johnson & Johnson 179,089.1 1.57%United States Pfizer Inc 166,346.0 1.46%
0
250
500
750
1000
1250
1500
S&P 500 2x Leverage Daily IndexS&P 500
90
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S&P U.S. Preferred Stock Index
Price Return Total ReturnS&P U.S. Preferred Stock Index BLOOMBERGSM SPPREF SPPREFTR
Reuters .SPPREFTR
0.16%1.91%
-1.16%-1.16%18.12%1.45%
25.66%26.78%7.54%
United Kingdom HSBC Holdings 8.0%'B'Dep Pfd 3,961.1 2.66% FinancialsUnited States General Mtrs Co Jr Pfd Cnv Srb 3,425.0 2.30% Consumer DiscretionaryUnited Kingdom Wells Fargo & Co Dep Shs Ser 8% Ser 'J' 2,445.4 1.64% FinancialsUnited States Barclays Bank Plc Adr Pfd Sr 5 2,361.7 1.59% FinancialsUnited States Citigroup Cap XIII 7.875% TruPS 2,341.2 1.57% FinancialsUnited States Citigroup Capital XII 2,314.7 1.56% FinancialsUnited Kingdom HSBC Holdings 8.125% Subord Ca 2,266.0 1.52% FinancialsUnited States Bank Of America Dep 1/1000 8.20% 2,530.1 1.39% FinancialsUnited States GMAC CAP TR I GTD TR PFD-2 2,063.2 1.39% FinancialsGermany JPMorgan Chase & Co Dep 1/400 Sr 'J' 1,987.2 1.34% Financials
2427 Germany 4.2% 6
152.26 Netherlands 5.8% 12629.17 South Africa 0.5% 1
3,961.12 Spain 0.8% 3101.66 Switzerland 1.0% 1490.34 United Kingdom 9.9% 132.66% United States 77.8% 206
16.95%
250
500
750
1000
1250
1500
1750
2000
92
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S&P Emerging Market Risk Control Index Series
S&P BRIC 40 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Daily RC 18% Index-0.18% -0.44% -0.70% -0.86% -2.45%0.89% 1.60% 2.26% 2.65% 6.04%
-3.36% -7.24% -11.18% -13.57% -17.60%-3.36% -7.24% -11.18% -13.57% -17.60%3.08% 5.23% 7.21% 8.31% 18.70%2.56% 2.46% 2.14% 1.84% 2.48%
(USD) NTR SPTR5UN SPTR10UN SPTR15UN SPTR18UN SPTRBRICBLOOMBERGSM (USD) ER SPTR5UE SPTR10UE SPTR15UE SPTR18UE
(EUR) NTR SPTR5EN SPTR10EN SPTR15EN SPTR18EN SPTRBRIE(EUR) ER SPTR5EE SPTR10EE SPTR15EE SPTR18EE
S&P BRICT (USD) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index-0.97% -1.50% -1.82% -4.70%0.78% 1.02% 1.15% 2.48%
-8.82% -13.46% -16.24% -21.42%-8.82% -13.46% -16.24% -21.42%5.20% 7.14% 8.21% 20.08%2.38% 2.00% 1.65% 2.86%
(USD) NTR SPBR10UN SPBR15UN SPBR18UN SPBRCTUNBLOOMBERGSM (USD) ER SPBR10UE SPBR15UE SPBR18UE
(EUR) NTR SPBR10EN SPBR15EN SPBR18EN SPBRCTEN(EUR) ER SPBR10EE SPBR15EE SPBR18EE(SEK) NTR SPBR10SN SPBR15SN SPBR18SN SPBRCTSN(SEK) ER SPBR10SE SPBR15SE SPBR18SE
S&P Latin America 40 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Daily RC 18% Index0.09% 0.10% 0.10% 0.10% -0.46%1.62% 3.05% 4.45% 5.28% 11.68%
-4.98% -10.40% -15.81% -19.02% -18.36%-4.98% -10.40% -15.81% -19.02% -18.36%
- - - 7.58% 23.32%- - - 3.09% 7.35%
(USD) NTR SPLM5UN SPLM10UN SPLM15UN SPTRL18N SPTRL40NBLOOMBERGSM (USD) ER SPLM5UE SPLM10UE SPLM15UE SPTRL18E
(EUR) NTR SPLM5EN SPLM10EN SPLM15EN SPLACENT(EUR) ER SPLM5EE SPLM10EE SPLM15EE
S&P Southeast Asia 40 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Daily RC 18% Index0.75% 1.43% 2.10% 2.50% 3.52%1.72% 3.27% 4.80% 5.72% 9.90%1.65% 2.55% 3.14% 3.08% 3.60%1.65% 2.55% 3.14% 3.08% 3.60%
- - - 25.16% 34.64%- - - 10.73% 13.75%
(USD) NTR SPSE5UN SPSE10UN SPSE15UN SPSEA18N SPSEA4UNBLOOMBERGSM (USD) ER SPSE5UE SPSE10UE SPSE15UE SPSEA18E
(EUR) NTR SPSE5EN SPSE10EN SPSE15EN SPSE4UEN(EUR) ER SPSE5EE SPSE10EE SPSE15EE(SEK) NTR SPSE18SN SPSEA4SN(SEK) ER SPSE18SE
94
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S&P Emerging Market Risk Control Index Series
S&P Africa 40 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Daily RC 18% Index-0.33% -0.74% -1.15% -1.40% -3.63%0.56% 0.92% 1.22% 1.38% 3.53%
-3.58% -7.67% -11.81% -14.32% -14.07%-3.58% -7.67% -11.81% -14.32% -14.07%4.45% 8.02% 11.47% 13.47% 25.77%3.75% 4.85% 5.73% 6.15% 8.41%
(USD) NTR SPAF5UN SPAF10UN SPAF15UN SPAF18UN SPAFRUNBLOOMBERGSM (USD) ER SPAF5UE SPAF10UE SPAF15UE SPAF18UE
(EUR) NTR SPAF5EN SPAF10EN SPAF15EN SPAF18EN SPAFREN(EUR) ER SPAF5EE SPAF10EE SPAF15EE SPAF18EE
S&P Access Africa (USD) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index-0.40% -0.64% -0.79% -2.73%1.86% 2.63% 3.08% 7.54%
-6.35% -9.93% -12.13% -11.25%-6.35% -9.93% -12.13% -11.25%6.49% 9.10% 10.57% 25.40%3.13% 3.10% 2.97% 6.51%
(USD) NTR SPAA10UN SPAA15UN SPAA18UN SPAAUNBLOOMBERGSM (USD) ER SPAA10UE SPAA15UE SPAA18UE
(EUR) NTR SPAA10EN SPAA15EN SPAA18EN SPAAEN(EUR) ER SPAA10EE SPAA15EE SPAA18EE(SEK) NTR SPAA10SN SPAA15SN SPAA18SN SPAASN(SEK) ER SPAA10SE SPAA15SE SPAA18SE
S&P CNX Nifty Futures Index (USD) TR Daily RC 10% Daily RC 12% Daily RC 15% Daily RC 18% Daily RC 20% Index-1.86% -2.25% -2.85% -3.44% -3.84% -4.86%-3.44% -4.17% -5.28% -6.39% -7.13% -7.35%
-15.98% -19.03% -23.46% -27.72% -30.47% -27.68%-15.98% -19.03% -23.46% -27.72% -30.47% -27.68%
2.98% 3.31% 3.73% 4.07% 4.25% 13.51%2.71% 2.65% 2.47% 2.21% 1.99% 3.77%
(USD) TR SPCX10UT SPCX12UT SPCX15UT SPCX18UT SPCX20UT SPCXUTBLOOMBERGSM (USD) ER SPCX10UE SPCX12UE SPCX15UE SPCX18UE SPCX20UE
(EUR) TR SPCX10ET SPCX12ET SPCX15ET SPCX18ET SPCX20ET SPCXET(EUR) ER SPCX10EE SPCX12EE SPCX15EE SPCX18EE SPCX20EE(SEK) TR SPCX10ST SPCX12ST SPCX15ST SPCX18ST SPCX20ST SPCXST(SEK) ER SPCX10SE SPCX12SE SPCX15SE SPCX18SE SPCX20SE(CHF) TR SPCX10CT SPCX12CT SPCX15CT SPCX18CT SPCX20CT SPCXCT(CHF) ER SPCX10CE SPCX12CE SPCX15CE SPCX18CE SPCX20CE
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S&P Emerging Market Risk Control Index Series
S&P Next Emerging 40 (USD) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index-0.38% -0.62% -0.76% -1.93%1.58% 2.24% 2.61% 5.55%
-10.73% -16.20% -19.43% -17.66%-10.73% -16.20% -19.43% -17.66%
5.04% 6.88% 7.89% 17.45%- - - 1.06%
(USD) NTR SPN10UN SPN15UN SPN18UN SPN40EUBLOOMBERGSM (USD) ER SPN10UE SPN15UE SPN18UE
(EUR) NTR SPN10EN SPN15EN SPN18EN SPN40EE(EUR) ER SPN10EE SPN15EE SPN18EE(GBP) NTR SPN10GN SPN15GN SPN18GN SPN40EG(GBP) ER SPN10GE SPN15GE SPN18GE
S&P Emerging Asia 40 (USD) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index0.69% 0.99% 1.16% 1.63%1.92% 2.74% 3.22% 6.15%
- - - -8.73%- - - -8.73%- - - 20.78%- - - 6.96%
(USD) NTR SPEA10UN SPEA15UN SPEA18UN SPEM40UNBLOOMBERGSM (USD) ER SPEA10UE SPEA15UE SPEA18UE
(EUR) NTR SPEA10EN SPEA15EN SPEA18EN SPEM40EN(EUR) ER SPEA10EE SPEA15EE SPEA18EE(SEK) NTR SPEA10SN SPEA15SN SPEA18SN SPEM40SN(SEK) ER SPEA10SE SPEA15SE SPEA18SE
96
S&P Emerging Market Risk Control Index Series
S&P Africa 40 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Daily RC 18% Index-0.33% -0.74% -1.15% -1.40% -3.63%0.56% 0.92% 1.22% 1.38% 3.53%
-3.58% -7.67% -11.81% -14.32% -14.07%-3.58% -7.67% -11.81% -14.32% -14.07%4.45% 8.02% 11.47% 13.47% 25.77%3.75% 4.85% 5.73% 6.15% 8.41%
(USD) NTR SPAF5UN SPAF10UN SPAF15UN SPAF18UN SPAFRUNBLOOMBERGSM (USD) ER SPAF5UE SPAF10UE SPAF15UE SPAF18UE
(EUR) NTR SPAF5EN SPAF10EN SPAF15EN SPAF18EN SPAFREN(EUR) ER SPAF5EE SPAF10EE SPAF15EE SPAF18EE
S&P Access Africa (USD) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index-0.40% -0.64% -0.79% -2.73%1.86% 2.63% 3.08% 7.54%
-6.35% -9.93% -12.13% -11.25%-6.35% -9.93% -12.13% -11.25%6.49% 9.10% 10.57% 25.40%3.13% 3.10% 2.97% 6.51%
(USD) NTR SPAA10UN SPAA15UN SPAA18UN SPAAUNBLOOMBERGSM (USD) ER SPAA10UE SPAA15UE SPAA18UE
(EUR) NTR SPAA10EN SPAA15EN SPAA18EN SPAAEN(EUR) ER SPAA10EE SPAA15EE SPAA18EE(SEK) NTR SPAA10SN SPAA15SN SPAA18SN SPAASN(SEK) ER SPAA10SE SPAA15SE SPAA18SE
S&P CNX Nifty Futures Index (USD) TR Daily RC 10% Daily RC 12% Daily RC 15% Daily RC 18% Daily RC 20% Index-1.86% -2.25% -2.85% -3.44% -3.84% -4.86%-3.44% -4.17% -5.28% -6.39% -7.13% -7.35%
-15.98% -19.03% -23.46% -27.72% -30.47% -27.68%-15.98% -19.03% -23.46% -27.72% -30.47% -27.68%
2.98% 3.31% 3.73% 4.07% 4.25% 13.51%2.71% 2.65% 2.47% 2.21% 1.99% 3.77%
(USD) TR SPCX10UT SPCX12UT SPCX15UT SPCX18UT SPCX20UT SPCXUTBLOOMBERGSM (USD) ER SPCX10UE SPCX12UE SPCX15UE SPCX18UE SPCX20UE
(EUR) TR SPCX10ET SPCX12ET SPCX15ET SPCX18ET SPCX20ET SPCXET(EUR) ER SPCX10EE SPCX12EE SPCX15EE SPCX18EE SPCX20EE(SEK) TR SPCX10ST SPCX12ST SPCX15ST SPCX18ST SPCX20ST SPCXST(SEK) ER SPCX10SE SPCX12SE SPCX15SE SPCX18SE SPCX20SE(CHF) TR SPCX10CT SPCX12CT SPCX15CT SPCX18CT SPCX20CT SPCXCT(CHF) ER SPCX10CE SPCX12CE SPCX15CE SPCX18CE SPCX20CE
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S&P Developed Market Risk Control Index Series
S&P 500 (USD) TR Daily RC 5% Daily RC 10% Daily RC 12% Daily RC 15% Monthly RC 12% Index0.22% 0.43% 0.51% 0.62% 0.35% 1.02%2.04% 4.03% 4.82% 6.00% 4.27% 11.82%
-0.73% -1.93% -2.50% -3.43% -5.43% 2.11%-0.73% -1.93% -2.50% -3.43% -5.43% 2.11%3.31% 6.26% 7.39% 9.03% 4.19% 14.11%1.95% 1.96% 1.98% 1.98% -0.39% -0.25%
(USD) TR SPXT5UT SPXT10UT SPXT12DT SPXT15UT SPXT12UT SPTRBLOOMBERGSM (USD) ER SPXT5UE SPXT10UE SPXT12DE SPXT15UE SPXT12UE
S&P Europe 350 (EUR) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Index0.54% 1.03% 1.51% 2.20%1.73% 3.22% 4.68% 8.93%
-3.30% -7.58% -11.93% -7.85%-3.30% -7.58% -11.93% -7.85%2.04% 3.14% 3.99% 9.73%
-0.15% -2.56% -4.91% -4.79%(EUR) NTR SPEU5EN SPEU10EN SPEU15EN SPTR350N
BLOOMBERGSM (EUR) ER SPEU5EE SPEU10EE SPEU15EE
S&P/ASX 200 (AUD) TR Daily RC 5% Daily RC 10% Daily RC 12% Daily RC 15% Index0.06% -0.24% -0.37% -0.56% -1.35%1.56% 1.92% 2.04% 2.22% 2.12%
-0.63% -6.17% -8.38% -11.71% -10.54%-0.63% -6.17% -8.38% -11.71% -10.54%4.34% 4.18% 4.04% 3.74% 7.58%3.84% 2.09% 1.32% 0.08% -2.31%
(AUD) TR SPAX5AT SPAX10AT SPAX12AT SPAX15AT ASA51BLOOMBERGSM (AUD) ER SPAX5AE SPAX10AE SPAX12AE SPAX15AE
S&P Asia 50 (USD) Net TR Daily RC 5% Daily RC 10% Daily RC 15% Index0.33% 0.58% 0.80% 1.18%1.10% 2.00% 2.84% 5.86%
-3.67% -7.88% -12.18% -13.22%-3.67% -7.88% -12.18% -13.22%4.09% 7.25% 10.23% 18.55%3.28% 3.84% 4.13% 3.20%
(USD) NTR SPRA5UT SPRA10UT SPRA15UT SPAS50NTBLOOMBERGSM (USD) ER SPRA5UE SPRA10UE SPRA15UE
(EUR) NTR SPRA5EN SPRA10EN SPRA15EN SPAS50EN(EUR) ER SPRA5EE SPRA10EE SPRA15EE
98
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S&P Developed Market Risk Control Index Series
S&P 500 Dividend Aristocrats (USD) TR Daily RC 5% Daily RC 8% Daily RC 10% Daily RC 12% Daily RC 15% Index0.42% 0.63% 0.76% 0.90% 1.10% 1.61%2.57% 4.02% 4.99% 5.96% 7.42% 12.94%0.82% 0.91% 0.90% 0.84% 0.75% 8.33%0.82% 0.91% 0.90% 0.84% 0.75% 8.33%4.78% 7.14% 8.69% 10.22% 12.51% 17.84%3.63% 4.23% 4.58% 4.91% 5.39% 4.59%
(USD) TR SPXD5UN SPXD8UN SPXD10UN SPXD12UN SPXD15UN SPDAUDTBLOOMBERGSM (USD) ER SPXD5UE SPXD8UE SPXD10UE SPXD12UE SPXD15UE
(EUR) TR SPXD5EN SPXD8EN SPXD10EN SPXD12EN SPXD15EN SPDAEUT(EUR) ER SPXD5EE SPXD8EE SPXD10EE SPXD12EE SPXD15EE(SEK) TR SPXD5SN SPXD8SN SPXD10SN SPXD12SN SPXD15SN SPDASKT(SEK) ER SPXD5SE SPXD8SE SPXD10SE SPXD12SE SPXD15SE
S&P 500 Low Volatility Index (USD) TR Daily RC 5% Daily RC 8% Daily RC 10% Daily RC 12% Daily RC 15% Index0.88% 1.37% 1.69% 2.02% 2.50% 3.16%2.69% 4.22% 5.24% 6.26% 7.80% 10.52%3.09% 4.55% 5.46% 6.28% 6.67% 14.78%3.09% 4.55% 5.46% 6.28% 6.67% 14.78%5.56% 8.41% 10.30% 12.16% 14.73% 15.76%3.64% 4.24% 4.64% 4.96% 5.38% 4.16%
(USD) TR SPLV5UT SPLV8UT SPLV10UT SPLV12UT SPLV15UT SP5LVITBLOOMBERGSM (USD) ER SPLV5UE SPLV8UE SPLV10UE SPLV12UE SPLV15UE
(EUR) TR SPLV5ET SPLV8ET SPLV10ET SPLV12ET SPLV15ET(EUR) ER SPLV5EE SPLV8EE SPLV10EE SPLV12EE SPLV15EE(SEK) TR SPLV5ST SPLV8ST SPLV10ST SPLV12ST SPLV15ST(SEK) ER SPLV5SE SPLV8SE SPLV10SE SPLV12SE SPLV15SE
S&P Nordic LargeCap (EUR) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index0.62% 0.83% 0.95% 0.89%3.56% 5.01% 5.86% 10.35%
-10.16% -15.99% -19.02% -15.56%-10.16% -15.99% -19.02% -15.56%
6.05% 7.79% 8.88% 16.59%0.88% -0.67% -1.63% -3.21%
(USD) NTR SPND10UN SPND15UN SPND18UN SBPRNLUNBLOOMBERGSM (USD) ER SPND10UE SPND15UE SPND18UE
(EUR) NTR SPND10EN SPND15EN SPND18EN SBPRNLEN(EUR) ER SPND10EE SPND15EE SPND18EE(SEK) NTR SPND10SN SPND15SN SPND18SN SBPRNLSN(SEK) ER SPND10SE SPND15SE SPND18SE
S&P Developed Market Risk Control Index Series
S&P 500 Dividend Aristocrats (USD) TR Daily RC 5% Daily RC 8% Daily RC 10% Daily RC 12% Daily RC 15% Index0.42% 0.63% 0.76% 0.90% 1.10% 1.61%2.57% 4.02% 4.99% 5.96% 7.42% 12.94%0.82% 0.91% 0.90% 0.84% 0.75% 8.33%0.82% 0.91% 0.90% 0.84% 0.75% 8.33%4.78% 7.14% 8.69% 10.22% 12.51% 17.84%3.63% 4.23% 4.58% 4.91% 5.39% 4.59%
(USD) TR SPXD5UN SPXD8UN SPXD10UN SPXD12UN SPXD15UN SPDAUDTBLOOMBERGSM (USD) ER SPXD5UE SPXD8UE SPXD10UE SPXD12UE SPXD15UE
(EUR) TR SPXD5EN SPXD8EN SPXD10EN SPXD12EN SPXD15EN SPDAEUT(EUR) ER SPXD5EE SPXD8EE SPXD10EE SPXD12EE SPXD15EE(SEK) TR SPXD5SN SPXD8SN SPXD10SN SPXD12SN SPXD15SN SPDASKT(SEK) ER SPXD5SE SPXD8SE SPXD10SE SPXD12SE SPXD15SE
S&P 500 Low Volatility Index (USD) TR Daily RC 5% Daily RC 8% Daily RC 10% Daily RC 12% Daily RC 15% Index0.88% 1.37% 1.69% 2.02% 2.50% 3.16%2.69% 4.22% 5.24% 6.26% 7.80% 10.52%3.09% 4.55% 5.46% 6.28% 6.67% 14.78%3.09% 4.55% 5.46% 6.28% 6.67% 14.78%5.56% 8.41% 10.30% 12.16% 14.73% 15.76%3.64% 4.24% 4.64% 4.96% 5.38% 4.16%
(USD) TR SPLV5UT SPLV8UT SPLV10UT SPLV12UT SPLV15UT SP5LVITBLOOMBERGSM (USD) ER SPLV5UE SPLV8UE SPLV10UE SPLV12UE SPLV15UE
(EUR) TR SPLV5ET SPLV8ET SPLV10ET SPLV12ET SPLV15ET(EUR) ER SPLV5EE SPLV8EE SPLV10EE SPLV12EE SPLV15EE(SEK) TR SPLV5ST SPLV8ST SPLV10ST SPLV12ST SPLV15ST(SEK) ER SPLV5SE SPLV8SE SPLV10SE SPLV12SE SPLV15SE
S&P Nordic LargeCap (EUR) Net TR Daily RC 10% Daily RC 15% Daily RC 18% Index0.62% 0.83% 0.95% 0.89%3.56% 5.01% 5.86% 10.35%
-10.16% -15.99% -19.02% -15.56%-10.16% -15.99% -19.02% -15.56%
6.05% 7.79% 8.88% 16.59%0.88% -0.67% -1.63% -3.21%
(USD) NTR SPND10UN SPND15UN SPND18UN SBPRNLUNBLOOMBERGSM (USD) ER SPND10UE SPND15UE SPND18UE
(EUR) NTR SPND10EN SPND15EN SPND18EN SBPRNLEN(EUR) ER SPND10EE SPND15EE SPND18EE(SEK) NTR SPND10SN SPND15SN SPND18SN SBPRNLSN(SEK) ER SPND10SE SPND15SE SPND18SE
S&P指数ハンドブック
2012年
S&Pカスタムインデックスcustom_index@standardandpoors.com
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