MAY 01, 2018
New York – QS Investors, LLC (“QS Investors”) will implement a change to the methodology of the QS Low Volatility High Dividend Index (the “Index”), effective at its May 2018 rebalancing. The change is aimed at improving quality and fundamental characteristics while not materially affecting the profile of the Index.
The Index includes stocks with a relatively high dividend yield and relatively low price and earnings volatility, selected from the constituents of the Solactive US Broad Market Index. Stocks whose yields are not supported by earnings are excluded from consideration. The Index adjustment will moderately improve the quality of characteristics of the portfolio by implementing more stringent screening for securities so they demonstrate a stronger ability to support their yield.
Please note that the application of this adjustment to the eligibility requirements for existing Index constituents is covered by the existing rule book, without needing to make any changes.
For more questions or for information about the QS Investors Indexes, please contact us at 212-886-9200 or firstname.lastname@example.org.
About the Index
The QS Low Volatility High Dividend Index (the “Index”) seeks to track the investment results of an index composed of equity securities of US companies with relatively high yield and low price and earnings volatility. The Index is composed of stocks of US companies across a wide range of market capitalizations, based on the constituents of the Solactive US Broad Market Index. Stocks whose yields are not supported by earnings are excluded from the Index. The Index also takes into account foreign withholding taxes on dividend payments to minimize their impact on distribution yield. The methodology calculates a composite score, with the yield of stocks with relatively higher price and/or earnings volatility adjusted downward and the yield of stocks with relatively lower price and/or earnings volatility adjusted upward. Price and earnings volatility metrics are measured in local currency. In addition, the stable yield score of stocks from countries with relatively high interest rates compared to the US is adjusted downward and the score of stocks with relatively low interest rates is adjusted upward, so as to reflect the implicit cost of currency hedging. The Index weights are then calculated to maximize its high stable yield score subject to concentration limits, liquidity requirements and turnover restraints. The Index includes stocks with a high score, with weightings taking into account liquidity requirements and concentration limits on sector exposures, country exposures, and individual stock holdings. Please note that an investor cannot invest directly in an index, and unmanaged index returns do not reflect any fees, expenses or sales charges.
The Index is created and sponsored by QS Investors and is the exclusive property of QS Investors. QS Investors uses the Solactive US Broad Market Index (the “Solactive Index”) as the reference universe for selection of the component securities included in the Index. The Index is not sponsored, promoted, or sold by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index price at any time or in any other respect. The Index is administered, calculated, and published by Solactive AG. Solactive AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards the QS Investors, Solactive AG has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries. Neither publication of the Index by Solactive AG nor the licensing of the Index or Index trade mark for the purpose of use constitutes a recommendation by Solactive AG to invest capital in any related financial instrument, nor does it in any way represent an assurance or opinion of Solactive AG with regard to any investment in any such financial instrument.
QS Investors does not guarantee the accuracy and/or the completeness of the Index or any data included therein, and QS Investors shall not have any liability for any errors, omissions or interruptions therein. QS Investors makes no warranty, express or implied, as to results to be obtained by any person or entity from the use of the Index or any data included therein. QS Investors makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Index or any data included therein. Without limiting any of the foregoing, in no event shall QS Investors have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the Index, even if notified of the possibility of such damages.
About QS Investors
A wholly-owned, independently-managed affiliate of Legg Mason, Inc., QS Investors, LLC was formed in 1999 as the quantitative platform of a global asset manager. As an investment firm providing asset management and advisory services to a diverse array of institutional clients, QS Investors delivers disciplined, systematic solutions that address clients’ complex challenges. The QS team has developed unique approaches to integrating quantitative and behavioral investment insights and dynamically weighting opportunities in response to changing economic and market conditions. Risk identification, assessment and management are intrinsic to their process. Based in New York and Boston, QS Investors offers a broad spectrum of strategies to clients worldwide, including actively managed U.S. and global equities, liquid alternatives and customized solutions.
About Legg Mason
Legg Mason is a global asset management firm with $754 billion in assets under management as of April 30, 2018. The Company provides active asset management in many major investment centers throughout the world. Legg Mason is headquartered in Baltimore, Maryland, and its common stock is listed on the New York Stock Exchange (symbol: LM).
QSCR 18128 (MAY 2018). QS Investors, LLC. QS Investors, LLC is a subsidiary of Legg Mason, Inc.