Insights

ESG Equity Index Performance in the US

Outperformance vs. the Benchmark During Market Volatility


Senior Portfolio Manager
CFA

         
 

Bloomberg SASB US Large Cap ESG ex Controversies Select Index

S&P 500 ESG Index

MSCI ESG Universal Index

FTSE4Good Global Index

Index Provider

Bloomberg

S&P Dow Jones Indices

MSCI

FTSE Russell

ESG Score Provider

SSGA (R-Factor™ ESG Score)

S&P DJI ESG Score

MSCI ESG Research

FTSE ESG Ratings

ESG Exclusion Categories

Controversial Weapons, Severe ESG Controversies, Tobacco, Civilian Firearms, UNGC Violators, Thermal Coal

Controversial Weapons, Thermal Coal, Tobacco, UNGC Violators, Weakest ESG scores,

Reputational Risk

Controversial Weapons, Severe ESG Controversies, Weakest ESG scores

 

Controversial Weapons, Controversies, Tobacco, Coal, Investment Trusts

 

Index Construction Approach

(Selection/Weighting)

Optimization

Up to 65% (of the float adjusted market-cap universe), ranked best to worst on ESG score and market cap weighted.

All stocks in eligible universe, weighted by the product of the market cap weight * combined ESG score.

Minimum ESG rating required (above 3.3) and market cap weighted

 

Sector/Stock Constraints

Sector/Stock Active: +/-1.0%

n/a

Max 5% stock weight

n/a

Number of Names*

180

310

598

270

Predicted Tracking Error*

1.42%

1.91%

1.35%

2.77%

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Footnotes
Disclosures