The All Share Factor indices are “smart beta” indices seeking to provide a different risk/return profile to standard indices, which typically weight stocks by their market capitalisation.  The constituents of the FTSE/JSE All Share Index (J203) are used as the basis for inclusion to the All Share Factor Indices.  The underlying weights of the All Share constituents are capped at 5% before any factor tilt is applied so that the factor impacts can be more effectively isolated.  The All Share Factor Index suite consists of eight indices, of which six are single factor indices and two are multi-factor indices.

For further details regarding the FTSE/JSE All Share Factor indices and the underlying methodology, please refer to the FTSE Global Factor Index Series Ground Rules available on www.ftse.com/products/indices/factor

Index Detail

The All Share Value Factor Index is a single factor index. Characteristics: Stocks that appear cheap tend to perform better than stocks that appear expensive. Metrics: Cash Flow Yield, Earnings Yield and Sales to Price.
Name  All Share Value Factor
Index Code           J203VF
Alpha Code AVFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Value Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Value Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Value Factor Index is a single factor index. Characteristics: Stocks that appear cheap tend to perform better than stocks that appear expensive. Metrics: Cash Flow Yield, Earnings Yield and Sales to Price.
Name  All Share Quality Factor
Index Code           J203QF
Alpha Code AVFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Value Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Quality Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Volatility Factor Index is a single factor index. Characteristics: Stocks that exhibit low volatility tend to perform better than stocks with higher volatility. Metrics: Standard Deviation of 5 years weekly total return.
Name  All Share Volatility Factor
Index Code           J203VOF
Alpha Code AVOF
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Volatility Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Volatility Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Size Factor Index is a single factor index. Characteristics: Smaller companies tend to perform better than larger companies. Metric: Market Capitalisation.
Name  All Share Size Factor
Index Code           J203SF
Alpha Code ASFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Size Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Size Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Size Factor Index is a single factor index. Characteristics: Smaller companies tend to perform better than larger companies. Metric: Market Capitalisation.
Name  All Share Size Factor
Index Code           J203SF
Alpha Code ASFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Size Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Size Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Momentum Factor Index is a single factor index. Characteristics: Stock performance tends to persist, either continuing to rise or fall. Metrics: 12 Month Cumulative Total Return.
Name  All Share Momentum Factor
Index Code           J203MF
Alpha Code AMFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Momentum Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Momentum Factor Weighted
Capping Methodology No
Index Review Semi-annually in March and September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Low Volatility Focused Factor Index is a multi-factor index. Metrics: Obtained by tilting towards the quality, value and size factors as well as twice by the volatility factor.
Name  All Share Low Volatility Focused Factor
Index Code           J203LF
Alpha Code AVFF
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Low Volatility Focused Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Low Volatility Focused Factor Weighted
Capping Methodology No
Index Review Annually in September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31
The All Share Comprehensive Factor Index is a multi-factor index. Metrics: Obtained by tilting towards the quality, value, momentum, size and volatility factors.
Name  All Share Low Volatility Focused Factor
Index Code           J203CF
Alpha Code ACFI
Index Category All Share Factor
Universe All Share Index (J203), constituents capped at 5%
Fixed No. of Companies No
Liquidity Screening             Yes
Free Float Screening Minimum of 5%. 
Other Screening Comprehensive Factor Screening
Minimum security level weight threshold of 2 basis points
Maximum stock level capacity ratio applied at 20x
Industry Weight constraints applied relative to the weight of each industry
Weighting Methodology Comprehensive Factor Weighted
Capping Methodology No
Index Review Semi-annually in March and September
Buffer Size            N/A
Dissemination End of Day
Live Date               2017/07/31