djsi indices - bcsd portugal · •sources: web based questionnaire, company documents, media &...
TRANSCRIPT
DJSI Indices
Rocco D‘Urso, Director, Index business
Social Responsible Investment Funds and the creation of the DJSI Iberia
Lisbon, 19 January 2017
Corporate Sustainability Assesment
Agenda
2
DJSI Methodology
DJSI Diversified Methodology
DJSI Diversified Select Methodology
Proposed methodology for the DJSI
Iberian index
What is Corporate Sustainability?
3
anticipating and managing current and future economic, environmental and social opportunities and risks
focusing on quality, innovation and productivity to create competitive advantage and long-term value
by
+
A company’s capacity to prosper
in a hyper-competitive and changing global
business environment
RobecoSAM Corporate Sustainability Assessment
• >3800 Companies annually (60 sectors)
• More than 50% industry-specific criteria
• Sources: Web based Questionnaire, Company Documents, Media & Stakeholder Analysis
• Assessment internally and externally audited
4Source: RobecoSAM
E S
G
Governance/Economic Dimension
• Corporate Governance
• Code of Conduct, Compliance
• Risk & Crisis Management
• Customer Relationship Management
• Innovation Management
• …
Social Dimension
• Talent Attraction & Retention
• Human Capital Development
• Occupational Health & Safety
• Stakeholder Engagement
• Human Rights
• …
Environmental Dimension
• Product Stewardship
• Water-related Risks
• Climate Strategy
• Environmental Management System
• Environmental Performance
• …
5Source: RobecoSAM
Structure of the RobecoSAM Corporate Sustainability Assesment (CSA)
Industry specific
questionnaire featuring
approximately 80 – 120
questions on financially
relevant Economical,
Environmental and Social
factors.
Total ESG Score (0 – 100)
• Question
• Criterion
• Dimension
Example of score calculation: Pharmaceutical
6Source: RobecoSAM
7Source: RobecoSAM
General versus industry-specific weights by dimension
The general criteria account for approximately 40 – 50% of the assessment, depending on the industry.
Specific criteriaand their correspondingweights for subsequentyears may change.
Criteria and weights are based on the 2016 CSA for the Banks, Electric Utilities and Pharmaceutical industries and are provided for illustrative purposes only.
Criteria and weights will differ for other industries.
• MSA helps to verify a company’s involvement and management of critical economic, social
and environmental issues or crisis situations
• MSA can account for up to 50% of the weighting in an individual criteria
• MSA cases emerge when there are significant contradictions with sustainability criteria
• Cases must be financially material, and there must be direct and credible evidence of
management failure
• Assessment of cases considers the case and the management response to the issue
Media & Stakeholder Analysis (MSA)
Source: RobecoSAM 8
RepRisk
customized tool
on a sector basis
and daily alerts
Issues
screened
and
cases
opened by
analysts
Management
response to the
issue
(e.g. transparency,
measures taken)
Effectiveness
of
management
response
Company
contact
and
validation
Integration in
corporate
sustainability
performance
DJSI World Starting UniverseS&P Global BMI Index
(Approximately 10’000 companies)
Invited UniverseConsist of the largest 3’800 (in 2016) companies by float-adjusted market-cap
from the S&P Global BMI Index that have been invited to participate to the CSA
Assessed UniverseConsist of all companies that have been analyzed based on the CSA
DJSI Indices: Methodology
Source: RobecoSAM 9
DJSI World IndexRule-based selection of top 10% most sustainable market cap per industry,
based on their sustainability scores.
Constituent weightings and maintenance
• Market cap coverage: 10% of the same industry peer group in the S&P Global BMI
Index
• Weighting Scheme: Free Float Adjusted Market Cap
• Constituents capping factor: 10%
• Rebalancing:
• Once a year in September
• Shares outstanding and capping factors are updated quarterly in March, June,
September and December
• Additions/Deletions:
• Generally no companies are addedd between annual rebalancing
• Companies may be deleted due to corporate events: mergers, acquisition,
takeovers, etc
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DJSI World Starting UniverseS&P Global BMI Index
(Approximately 10’000 companies)
Invited UniverseConsist of the largest 3’800 (in 2016) companies by float-adjusted market-cap
from the S&P Global BMI Index that have been invited to participate to the CSA
Assessed UniverseConsist of all companies that have been analyzed based on the CSA
DJSI Diversified Indices: Methodology
Source: RobecoSAM 11
DJSI World Diversified IndexRules-based selection of most sustainable companies totaling 33% of the float adjusted
market capitalization of the starting universe per country and GICS sector.
Index methodology
• Country Coverage is extended to 46 developed and emerging market countries
• Market cap coverage: 33% of the same country/GICS sector peer group in the S&P Global
LargeMidCap Index
• Weighting Scheme: Free Float Adjusted Market Cap
• Constituents capping factor: 10%
• Rebalancing:
• Total Sustainability Scores Assesed and Eligible Universe are updated annualy in March
• Rebalancing: Constituents changes are reviewed semi-annualy in March and September
• Shares outstanding and capping factors are updated quarterly in March, June, September and
December
• Additions/Deletions:
• Generally no companies are addedd between semi-annual rebalancing
• Companies may be deleted due to corporate events: mergers, acquisition, takeovers, etc
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DJSI Diversified Select Indices: Methodology
Source: RobecoSAM 13
For Investors who wish to limit their exposure to controversial activities, RobecoSAM and S&P Dow Jones Indices offer the DJSI World Diversified Select Index.
It follows the same index construction methodology as the DJSI World Diversified but excludes companies exposed to:
• Alcohol
• Tobacco
• Gambling
• Armaments
• Cluster Bombs
• Firearms
• Landmines
• Adult entertainment
• Exposure to Nuclear Weapons, Nuclear Power Generation and Nuclear Power Sales
Appendix
DJSI Iberian Starting UniverseS&P Portugal BMI Index and S&P Spain BMI Index
(101 companies)
Invited UniverseConsist of the largest companies by float-adjusted market-cap
from the S&P Starting Universe that have been invited to participate to the CSA
Assessed UniverseConsist of all companies that have been analyzed based on the CSA
Proposed methodology for the DJSI Iberian Index
Source: RobecoSAM 15
DJSI Iberian IndexRules-based selection of most sustainable companies totaling X% of the float adjusted
market capitalization of the starting universe per country and GICS sector.
Proposed methodology for the DJSI Iberian Index
• Market cap coverage: X% of the same country/GICS sector peer group in the S&P
Iberian BMI Index
• Weighting Scheme: Free Float Adjusted Market Cap
• Constituents capping factor: 10%
• Rebalancing:
• Once a year in September
• Shares outstanding and capping factors are updated quarterly in March, June,
September and December
• Additions/Deletions:
• Generally no companies are addedd between semi-annual rebalancing
• Companies may be deleted due to corporate events: mergers, acquisition,
takeovers, etc
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