S&P Dow Jones Indices (S&P DJI) has been a pioneer in ESG indexing for 20 years, starting with the 1999 launch of the Dow Jones Sustainability World Index, in partnership with SAM. Starting April 2019, S&P DJI has begun further leveraging SAM sustainability data to deliver an extensive range of ESG indices.
The S&P ESG Index Family offers investors exposure to companies according to their ESG profile in the context of country-specific and regional indices. The index family is based on S&P DJI ESG Scores, calculated by SAM and based on the results of the annual SAM Corporate Sustainability Assessment (CSA). The index family includes broad market indices like the S&P 500 ESG, S&P Europe 350 ESG, S&P Global 1200 ESG, and S&P Japan 500 ESG, designed to closely track their parent indices with similar risk and return profile and low tracking error.
The key criteria for constituent eligibility and selection in the S&P ESG Index Family are the S&P DJI ESG Scores. The scores contain a total company-level ESG score for a financial year, comprising individual environmental (E), social (S), and governance (G) dimension scores, beneath which there are on average 21 industry-specific criteria scores that can be used as specific ESG signals. The criteria scores are weighted to eliminate biases among different industries and companies that complete the CSA versus companies that are assessed on the basis of publicly available information.
The methodology of the S&P ESG Index Family is constructed to be simple, with a selection process meant to keep index’s industry weights in line with S&P broad market indices. The index methodology results in improved composite ESG scores, and offers improved ESG performance across each industry group. Learn more about the S&P 500 ESG methodology and the calculation of S&P DJI ESG Scores.
The S&P ESG Index Family is designed for investors wishing to integrate ESG factors into their core investments, while not straying far from the overall profile of S&P broad market indices.
The new set of ESG indices is based on widely tracked regional and country-specific large and mid-cap benchmarks used in the Americas, Europe, Middle East and Africa (EMEA) and Asia-Pacific (APAC).
Please see below the full list of regional and country ESG indices launched by S&P DJI (as of June 2019):