S&P/TSX Canadian Indices Methodology

Index Objective

The S&P/TSX Canadian Indices measure the performance of various segments of the Canadian equity markets. The headline and broadest index is the S&P/TSX Composite. This is the basis for numerous sub-indices, which break down the Canadian market by different factors including size and Global Industry Classification Standard (GICS®).

Partnership

The S&P/TSX indices are calculated and managed by S&P Dow Jones Indices. The TMX Group Inc. (TMX) is the owner and distributor of all S&P/TSX equity index data.

Highlights

The S&P/TSX Composite is the principal broad market measure for the Canadian equity markets. It includes common stocks and income trust units. The S&P/TSX SmallCap Index is a completely separate index from the S&P/TSX Composite family of indices.

S&P/TSX Composite Index Family. Within the S&P/TSX Composite, the S&P/TSX 60 covers large cap securities. The S&P/TSX Completion represents the remaining securities of the S&P/TSX Composite.

S&P/TSX SmallCap Index provides an investable index for the Canadian small cap market. It includes common stock and income trusts and is calculated in real-time.

S&P/TSX Income Trust Indices. The S&P/TSX Income Trust Index is a modular component of the S&P/TSX Composite. The index contains all of the income trust constituents from its parent index, the S&P/TSX Composite. Constituents of this index are not capped. The S&P/TSX Income Trust Index, in turn, is the parent index of the S&P/TSX Capped REIT Index. The relative weight of any single index constituent is capped at 25% for this index.

Index GICS ® Code
S&P/TSX Capped REIT 6010

S&P/TSX Capped Sector Indices. Twelve real-time capped indices covering sectors or industries are calculated from the securities in the S&P/TSX Composite. These indices are defined using GICS. To be a constituent of a particular sector index, a stock must be a constituent of the S&P/TSX Composite and classified in the relevant GICS category. Constituents of the S&P/TSX Capped Information Technology Index are derived from both the S&P/TSX Composite and S&P/TSX SmallCap Index. The relative weight of any single index constituent is capped at 25%.

*Indices with fewer than four constituents are not capped.
Index* GICS® Code
Communication Services 50
Consumer Discretionary 25
Consumer Staples 30
Energy 10, excluding 10102030, 10102040 and 10102050
Financials 40
Health Care 35
Industrials 20
Information Technology 45
Materials 15
Real Estate 60
Utilities 55

S&P Dow Jones Indices also publishes end-of-day Sector, Industry Group, Industry and Sub Industry Indices based on the S&P/TSX Composite.

S&P/TSX Capped Indices. S&P Dow Jones Indices calculates capped versions of several headline indices.

Index Capping %
S&P/TSX Capped Composite 10
S&P/TSX 60 Capped 10

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