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 multifactor 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

All Share Value Factor (J203VF)

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 
All Share Quality Factor (J203QF)

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 
All Share Volatility Factor (J203VOF)

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 
All Share Volatility Factor (J203SF)

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 
All Share Volatility Factor (J203DF)

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 
All Share Momentum Factor (J203MF)

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 Semiannually in March and September Buffer Size N/A Dissemination End of Day Live Date 2017/07/31 
All Share Low Volatility Focused Factor (J203LF)

The All Share Low Volatility Focused Factor Index is a multifactor 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 
All Share Comprehensive Factor (J203CF)

The All Share Comprehensive Factor Index is a multifactor 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 Semiannually in March and September Buffer Size N/A Dissemination End of Day Live Date 2017/07/31