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

10

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

12

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

16

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