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Annual Review 2002 - Dow Jones Sustainability Index

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					Dow Jones Sustainability Indexes –
Annual Review 2002




Webcast
September 4, 2002



A cooperation of Dow Jones Indexes, STOXX Ltd. and SAM Group
                                                               1
Content

I.     DJSI Key Facts
       Alex Barkawi – Managing Director, SAM Indexes

II.    DJSI Assessment 2002
       Colin le Duc – Head of Operations, SAM Research

III.   DJSI World – New Composition
       John Prestbo – Editor, Dow Jones Indexes

IV.    DJSI STOXX – New Composition
       Scott Stark – Managing Director, STOXX Limited



                                                         2
DJSI – Corporate Sustainability



Corporate Sustainability is a business approach to
create long-term shareholder value ...

... by embracing opportunities and managing risks

... deriving from economic, environmental and social
developments




                                                       3
DJSI – Partners


              Creates and licenses indexes for use in
              investment products, calculates 3,000+
              indexes in real time

              Provides and services the Dow Jones
              STOXXSM indexes, Europe's leading
              regional equity indexes.

              Focuses exclusively on sustainability
              investments, offers indexes, research,
              asset management and private equity
              services


                                                        4
    DJSI – Methodology Key Facts

•    Integrated assessment of economic, social and
     environmental criteria with a strong focus on long-term
     value creation

•    Consistent rule-based methodology, primary research
     (direct contact to companies)

•    Coverage of over 50 industries world-wide using industry-
     specific assessment criteria

•    Yearly review to reflect best-practices

•    Continuous monitoring of companies
                                                                 5
                               DJSI – Assets & Sold Licenses
                               September 1999 - August 2002

                               40                                                                                                     2500


                               35




                                                                                                                                             Assets based on DJSI (in mio EUR)
                                                                                                                                      2000
Number of sold DJSI Licenses




                               30


                               25
                                                                                                                                      1500

                               20

                                                                                                                                      1000
                               15


                               10
                                                                                                                                      500
                               5


                               0                                                                                                      0
                                    10/99   01/00     04/00   07/00   10/00   01/01   04/01   07/01   10/01   01/02   04/02   07/02

                                                    Number of sold DJSI Licenses        Assets based on DJSI (in mio EUR)

                                                                                                                                                                                 6
DJSI – Licensees
as of August 31, 2002
Aegon                             Nikko Asset Management
Baloise Insurance                 Oppenheim KAG
Banca Advantage                   Rabo Bank
Banque Générale du Luxembourg     Robeco Groep
BNL Gestioni                      Rothschild & Cie Gestion
CIC Asset Management              SAM Sustainable Asset Management
Credit Suisse Asset Management    Skandinaviska Enskilda Bank
Credit Union Central of Ontario   Sparinvest
Danske Invest                     SPP
Dexia Asset Management            State Street Global Advisors
Deutsche Postbank                 Sustainable Performance Group
DWS                               Swiss Life Asset Management
DZ Bank                           Synchrony Asset Management
Folksam Sak                       Union Investment
Gerling Investment KAG            WestLB
HypoVereinsbank                   Westpac Investment Management
Invesco                           VZ VermögensZentrum
Kepler Fonds KAG                  Zenit
Merrill Lynch                                                        7
Content

I.     DJSI Key Facts
       Alex Barkawi – Managing Director, SAM Indexes

II.    DJSI Assessment 2002
       Colin le Duc – Head of Operations, SAM Research

III.   DJSI World – New Composition
       John Prestbo – Editor, Dow Jones Indexes

IV.    DJSI STOXX – New Composition
       Scott Stark – Managing Director, STOXX Limited



                                                         8
DJSI Assessment – Engagement

• DJSI World Universe = 2,500
• DJSI STOXX Universe = 600
• Number of invitations sent = 2,600
• Number of companies analysed globally = 1,100
• Number of companies completing questionnaire = 500
• Number of co‘s analysed on public info = 600
• Geographic spread of analysed companies:
  - North America = 370, Europe = 600, Asia = 130
• Sustainability quality has vastly improved since 2001
• Continued strong interest in DJSI membership
• PWC verification with error margin below 1%
                                                          9
DJSI Assessment – Highlights
• Many more companies publishing
  sustainability/triple bottom line reports
• Many industry groups are increasingly integrating
  sustainability into their businesses
• High level of sophistication of sustainability
  performance in exposed industries, e.g.
  Automotive, Energy, Pharma, Chemicals, Mining
• High competition to be part of top 10% in most
  industries
• Regional differences in sustainability approach
  and performance
                                                      10
DJSI Assessment – Methodology Update

1.   Review of Trends and Challenges on a macro
     and industry level
2.   59 DJSI industry groups to reflect research
     alignment
3.   Further integration of shareholder value drivers
4.   Assessment of financial soundness
5.   Validation of company policies and management
     systems with performance data
6.   Stronger focus on verification of company
     information                                        11
DJSI Assessment – Sustainability Trends
1.   Climate Change - Escalating demand for
     energy propels economic development but
     threatens the Earth’s climate
2.   Water - Freshwater is growing scarce amidst
     competing human needs
3.   Food - Millions are malnourished despite an
     abundance of food
4.   Accountability - Civil society is demanding
     greater accountability and transparency from
     business
5.   Health – life expectancy is rising, but
     preventable disease limits development in
     certain areas
                                                    12
   DJSI Assessment – Criteria

         Opportunities            Risks
Econo-   • Strategic planning     • Financial Robustness
mic      • Corporate Governance   • Risk and crisis
         • Codes of Conduct        assessment
                                  • Board diversity
Environ- • Environmental reporting • GHG Emissions
mental   • Eco-design of products • Environmental mgmt.
         • Evironmental reporting • Environmental
                                    performance

Social   • Remuneration         • Human rights performance
         • Employee development • Anti-discrimination
         • Stakeholder          • Employee turnover rate
         engagement
                                                             13
    DJSI Assessment – Criteria Weightings

%
    100%                                                    Industry
             40%                                             criteria
                                                              40%


                               20%                          General
                                                            criteria
                      60%               20%
                                                             60%


                                                  20%

    Total   Industry General     Social Environ- Economic
             Criteria Criteria Dimension mental Dimension
                                        Dimension                       14
DJSI Assessment – Info Sources

1.   Online Questionnaire

2.   Company documents and policies

3.   Media and Stakeholder Analysis (MSA)

4.   Company interaction & visits




                                            15
   DJSI Assessment –
   Media & Stakeholder Analysis
Examples of issues screened via media, stakeholders, databases:

• Price fixing, Insider trading, Financial statement frauds

• Corruption & bribery
• Corporate governance breaches
• Extensive layoffs & labor disputes
• Environmental accidents
• Workplace accidents & occupational health
• Environmental, workplace and human rights in supply chain
                                                                  16
DJSI Assessment – Transparency

• On web site www.sustainability-indexes.com:
   •   SAM Online Questionnaire
   •   Methodology, Criteria and weightings
   •   DJSI Guidebooks
   •   Overviews of results for all 18 market sectors
   •   Detailed benchmarking reports of market sector leaders
   •   External verification letter from PWC

• Feedback to companies
   • Summary benchmarking report
   • Detailed benchmarking on every criteria


                                                                17
Content

I.     DJSI Key Facts
       Alex Barkawi – Managing Director, SAM Indexes

II.    DJSI Assessment 2002
       Colin le Duc – Head of Operations, SAM Research

III.   DJSI World – New Composition
       John Prestbo – Editor, Dow Jones Indexes

IV.    DJSI STOXX – New Composition
       Scott Stark – Managing Director, STOXX Limited



                                                         18
      DJSI World / DJGI World – Performance
      (August 2001 - August 2002, USD, Price Index)


105

100

95

90

85
                                                                         -18.56%
80           Volatility (measured in standard deviation):
                                                                         -19.81%
             DJSI World Volatility: 16.6%
75
             DJGI World Volatility: 16.6%
70
 Aug-01     Oct-01     Dec-01       Feb-02     Apr-02       Jun-02   Aug-02

              DJSI World (in USD)      DJGI World (in USD)
                                                                                   19
   DJSI World / MSCI World – Performance
   (August 2001 - August 2002, USD, Price Index)

105

100

 95

 90

 85
                                                                     -19.81 %
 80         Volatility (measured in standard deviation):             -19.84 %
            DJSI World Volatility: 16.6%
 75
            MSCI World Volatility: 15.9%
 70
  Aug-01   Oct-01    Dec-01      Feb-02     Apr-02     Jun-02   Aug-02

              DJSI W orld (in USD)      MSCI W orld (in USD)                    20
DJSI World – Selection 2002
           Dow Jones Global Index
           2,500 largest companies
           59 DJSI Industry Groups
                 33 countries
             Component Selection
               Top 10% leading
        sustainability companies in each
                 industry group
        20% target market cap coverage
             in each industry group

                 DJSI World
              310 Components
           59 DJSI industry groups
                23 countries
           Turnover (in Market Cap)
                 Adds: 16 %
                Deletes: 11 %              21
DJSI World – Index Range

  DJSI World

  DJSI World ex Alcohol

  DJSI World ex Tobacco

  DJSI World ex Gambling

  DJSI World ex Armaments and Firearms

  DJSI World ex Alcohol, Tobacco, Gambling,
  Armaments and Firearms
                                              22
     DJSI World – Sector Allocation
     as of July 31, 2002


                Utilities
   Telecommunications
           Technology
Consumer, Non-Cyclical
              Industrial
            Healthcare
              Financial
               Energy
    Consumer, Cyclical
        Basic Materials

                            0%   5%     10%      15%        20%   25%

            DJSI World (New)      DJSI World   DJGI World               23
DJSI World – Regional Allocation
as of July 31, 2002

100%
                 8%                 9%
  90%                                              16%
  80%
  70%           38%                 38%

  60%
                                                   57%
  50%
  40%
  30%           54%                 53%
  20%
                                                   27%
  10%
   0%
          DJSI World (New)       DJSI World     DJGI World

           Europe     Americas   Asia/Pacific
                                                             24
DJSI World – Market Sector Leaders
Automobiles                 Volkswagen
Banks                       Westpac Banking Corp.
Basic Resources             Dofasco
Chemicals                   E.I. DuPont de Nemours
Construction                Lafarge
Cyclical Goods & Services   Teijin
Energy                      Royal Dutch / Shell
Financial Services          Lend Lease
Food & Beverage             Unilever

                                                     25
DJSI World – Market Sector Leaders
continued

Healthcare                  Novozymes
Industr. Goods & Services   3M
Insurance                   Swiss Re
Media                       Pearson
 Non-Cycl. Goods & Serv.    Procter & Gamble
 Retail                     Marks & Spencer
 Technology                 Intel
 Telecommunications         BT Group
 Utilities                  Severn Trent
                                               26
Content

I.     DJSI Key Facts
       Alex Barkawi – Managing Director, SAM Indexes

II.    DJSI Assessment 2002
       Colin le Duc – Head of Operations, SAM Research

III.   DJSI World – New Composition
       John Prestbo – Editor, Dow Jones Indexes

IV.    DJSI STOXX – New Composition
       Scott Stark – Managing Director, STOXX Limited



                                                         27
         DJSI STOXX – Performance
         (August 2001 – August 2002, Price, EUR)
105.00


100.00


 95.00


 90.00


 85.00


 80.00          Volatility (measured in standard deviation):
 75.00          DJSI STOXX Volatility: 18.97%
                DJ STOXX 600 Volatility: 19.67%
 70.00


 65.00
     Aug-01      Oct-01      Dec-01         Feb-02      Apr-02            Jun-02   Aug-02

                          DJSI STOXX (in Euro)   DJ STOXX 600 (in Euro)
                                                                                            28
   DJSI EURO STOXX – Performance
   (August 2001 - August 2002, Price, EUR)
105.00


100.00

 95.00


 90.00


 85.00


 80.00

               Volatility (measured in standard deviation):
 75.00
               DJSI EURO STOXX: 26.97%
 70.00         DJ EURO STOXX: 23.87%

 65.00


 60.00
     Aug-01   Oct-01      Dec-01        Feb-02       Apr-02       Jun-02   Aug-02

                  DJSI EURO STOXX (in Euro)      DJ EURO STOXX (in Euro)            29
DJSI STOXX – Selection 2002
           Dow Jones STOXXSM 600
                600 Companies
            50 DJSI industry clusters
                  17 countries
             Component Selection
               Top 20% leading
        sustainability companies in each
                industry cluster
        45% target market cap coverage
             in each market sector

           DJSI STOXX 2002/2003
              183 Components
          50 DJSI industry clusters
                14 countries
           Turnover (in Market Cap)
                 Adds: 12 %
                Deletes: 7 %               30
DJSI STOXX – Reviewed Index Range




• DJSI STOXX              • DJSI EURO STOXX
  (183 components)          (78 components)
• DJSI STOXX              • DJSI EURO STOXX
  ex Alcohol, Gambling,     ex Alcohol, Gambling,
  Tobacco, Armaments &      Tobacco, Armaments &
  Firearms
                            Firearms
  (167 components)                                  31
                            (73 components)
     DJSI STOXX – Sector Allocation
     as of July 31, 2002

                  Automobiles
              Basic Resources
                         Banks
    Cyclical Goods & Services
                    Chemicals
                 Construction
                        Energy
             Food & Beverage
            Financial Services
                    Healthcare
  Industrial Goods & Services
                     Insurance
                         Media
Non-cyclical Goods & Services
                          Retail
                   Technology
         Telecommunications
                        Utilities

                                    0%   5%      10%    15%     20%     25%

                              DJSI STOXX (New)   DJSI STOXX   DJ STOXX 600    32
 DJSI STOXX – Country Allocation
 as of July 31, 2002
         Austria
        Belgium
       Denmark
        Finland
         France
       Germany
         Greece
         Ireland
            Italy
   Luxembourg
    Netherlands
        Norway
       Portugal
           Spain
        Sweden
    Switzerland
United Kingdom
                    0%     10%      20%       30%      40%      50%

                     DJSI STOXX (New)   DJSI STOXX   DJ STOXX 600     33
       DJSI EURO STOXX – Sector Allocation
       as of July 31, 2002

                  Automobiles
              Basic Resources
                         Banks
    Cyclical Goods & Services
                    Chemicals
                 Construction
                        Energy
             Food & Beverage
            Financial Services
                    Healthcare
  Industrial Goods & Services
                     Insurance
                         Media
Non-cyclical Goods & Services
                          Retail
                  Technology
         Telecommunications
                        Utilities

                                    0%    5%        10%      15%       20%
                                                                             34
           DJSI EURO STOXX (New)         DJSI EURO STOXX   DJ EURO STOXX
   DJSI EURO STOXX – Country Allocation
   as of July 31, 2002

    Austria
   Belgium
    Finland
    France
  Germany
    Greece
    Ireland
       Italy
Luxembourg
Netherlands
   Portugal
     Spain

               0%          10%            20%             30%         40%

                DJSI EURO STOXX (New)   DJSI EURO STOXX    DJ EURO STOXX    35
DJSI STOXX – Market Sector Leaders
Automobiles                 Volkswagen
Banks                       UBS
Basic Resources             Rio Tinto
Chemicals                   Degussa
Construction                Lafarge
Cyclical Goods & Services   Koninklijke Philips Electr.
Energy                      Royal Dutch / Shell
Financial Services          Land Securities
Food & Beverage             Unilever

                                                          36
DJSI STOXX – Market Sector Leaders
continued

Healthcare                  Novozymes
Industr. Goods & Services   BAA
Insurance                   Swiss Re
Media                       Pearson
 Non-Cycl. Goods & Serv.    Henkel
 Retail                     Marks & Spencer
 Technology                 Siemens
 Telecommunications         BT Group
 Utilities                  Severn Trent
                                              37
Contact details




Alexander Barkawi
Managing Director
SAM Indexes
Phone +41 1 395 2828
Fax +41 1 395 2850
alex@sustainability-indexes.com

                                  38

				
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Description: The Dow Jones index is an arithmetic average stock price index. The Dow Jones index is the world's oldest stock index, called the average stock price index. Usually people said the Dow likely refers to the four groups in the first group of the Dow Jones index Dow Jones Industrial Average