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Dow Jones Sustainability Indexes - PDF

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									Dow Jones
Sustainability
Indexes



       A cooperation of Dow Jones Indexes and SAM
Content


•   Key Facts
•   Assessment 2011
•   Dow Jones Sustainability World Index
•   Dow Jones Sustainability Europe Index
•   Dow Jones Sustainability Asia Pacific Index
•   Dow Jones Sustainability North America Index
•   Dow Jones Sustainability Korea Index




1
Key Facts – SAM Indexes

•   Cooperation with Dow Jones Indexes for the publication and
    licensing of the Dow Jones Sustainability Indexes (DJSI).

•   Launched in 1999, the DJSI are the first global indexes tracking the financial
    performance of the leading sustainability-driven companies worldwide.

•   Broad family of geographic DJSI benchmarks.

•   Over 8 billion USD in DJSI-based investment vehicles including mutual funds,
    separate accounts, notes, as well as exchange traded funds (ETF), in 16
    countries worldwide.
•   Local partnership with Korea Productivity Centre (KPC).




2
Dow Jones Sustainability Indexes (DJSI)
Overview

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

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

•   Focus on best-in-class companies. Yearly review and continuous monitoring of
    companies.

•   Assurance of the assessment process by Deloitte.




3
DJSI Assets
Assets based on DJSI (in million USD)
    10'000.00

     9'000.00

     8'000.00

     7'000.00

     6'000.00

     5'000.00

     4'000.00

     3'000.00

     2'000.00

     1'000.00

          -
                12/99   12/00   12/01   12/02   12/03   12/04   12/05   12/06   12/07   12/08   12/09   12/10




4
DJSI Licensees
as of August 31, 2011



     Aegon (NL)                            JP Morgan Asset Management (UK)
     Ahorro Corporacion Gestion (ES)       MEAG Munich Ergo (DE)
     Amundi Asset Management (FR)          Metzler Asset Management (DE)
     Barclays Capital (UK)                 Prima SGR (IT)
     BCGE Asset Management (CH)            SAM Sustainable Asset Management (CH)
     BlackRock Asset Management (UK)       Skandinaviska Enskilda Banken (SE)
     BNP Paribas Asset Management (IT)     Seligson & Co Fund Management (FI)
     BT Financial Group (AU)               Sella Gestioni (IT)
     Credit Suisse Asset Management (CH)   Shinhan BNP Paribas Asset Management (KR)
     Danske Capital, Sampo Bank (FI)       Sparinvest (DK)
     Deutsche Postbank (DE)                State Street Global Advisors (US)
     Dresdner Kleinwort (UK)               Storebrand Kapitalforvaltning (NO)
     Eurizon Capital (IT)                  The Dreyfus Corporation (US)
     Folksam Sak (SE)                      Theodoor Gilissen Bankiers (NL)
     Generali Investments Italy SpA (IT)   VZ VermögensZentrum (CH)
     Hyundai Investments (KR)              Yurie Asset Managment (KR)
     Invesco (DE)




5
DJSI Assessment Universe 2011
Number of invited companies
•   Total Number Invited Companies = 2,763
       • DJSI World Universe = 2,500
       • DJSI Europe Universe = 600
       • DJSI North America Universe = 600
       • DJSI Asia Pacific = 600
       • DJSI Korea = 200

Number of assessed companies

•   Companies analysed globally = 1,443
•   Companies completing questionnaire = 729
•   Companies analyzed based exclusively on public information = 714




6
Assessment 2011 - Criteria Changes


    Criteria                 Key changes compared to 2010
    Water-related risks      This new criteria was introduced for the first time in the 2010 assessment. Based
                             on our analysis of water consumption, 13 sectors have been identified as
                             potentially exposed to water-related risks. The questions in the criteria seek to
                             assess whether companies are able to measure their exposure to water-related
                             risks and whether they have appropriate risk management systems in place to
                             mitigate risks around quantity/quality of water, regulatory changes or stakeholder
                             conflicts. Based on data collected on water-related risks during last year’s
                             assessment, we have further developed the water risk methodology, mainly
                             through the reinforcement of a balanced consideration of the company’s exposure
                             to risks and its management of these risks.
    Social / Environmental   In our analysis of the reporting sections, we have enhanced the focus on the
    Reporting                integration of sustainability issues in the annual report and the link between
                             sustainability initiatives and shareholder value creation.
    MSA methodology          We have improved and consolidated our Media and Stakeholder Analysis (MSA)
                             process through enhancement of the news and information collection through our
                             collaboration with RepRisk. The SAM methodology on which the assessment of
                             the information collected is based has been reviewed and improved.




7
Assessment 2011 - Global Supersector Leaders


    Automobiles & Parts           BMW AG

    Banks                         Westpac Banking Corp.

    Basic Resources               Xstrata

    Chemicals                     Koninklijke DSM N.V.

    Construction & Materials      Hyundai Engineering & Construction Co. Ltd.

    Financial Services            Itausa-Investimentos Itau S/A

    Food & Beverage               PepsiCo Inc.

    Healthcare                    Roche Holding AG

    Industrial Goods & Services   PostNL N.V.




8
Assessment 2011 - Global Supersector Leaders (cont’d)


    Insurance              Swiss Re

    Media                  Pearson PLC

    Oil & Gas              Repsol YPF S.A.

    Personal & Household   Koninklijke Philips Electronics N.V.

    Real Estate            Stockland

    Retail                 Lotte Shopping Co.

    Technology             Samsung Electronics Co. Ltd.

    Telecommunications     KT Corp.

    Travel & Leisure       Air France-KLM

    Utilities              Enagas S.A.




9
 DJSI World – Index Range


     DJSI World                                                                            342 Components

     DJSI World ex Alcohol                                                                 331 Components

     DJSI World ex Tobacco                                                                 340 Components

     DJSI World ex Gambling                                                                328 Components

     DJSI World ex Armaments & Firearms                                                    335 Components

     DJSI World ex Alcohol, Tobacco, Gambling, Armaments & Firearms                        309 Components

     DJSI World ex Alcohol, Tobacco, Gambling, Armaments & Firearms, Adult Entertainment   303 Components

     DJSI World 80                                                                         80 Components

     DJSI World ex US                                                                      282 Components

     DJSI World ex US 80                                                                   80 Components




10
 Assessment 2011 – DJSI World

 Largest 10 Additions                                                             Largest 10 Deletions
 (Listed by descending Free Float Market Capitalization)                          (Listed by descending Free Float Market Capitalization)

     NAME                                COUNTRY             SUPERSECTOR           NAME                         COUNTRY       SUPERSECTOR

     Medtronic Inc.                      U.S.                Health Care           Coca-Cola Co.                U.S.          Food & Beverage
                                                             Industrial
     Schneider Electric S.A.             France              Goods/Svc             Hewlett-Packard Co.          U.S.          Technology

     Societe Generale S.A.               France              Banks                 EnCana Corp.                 Canada        Oil & Gas

     Woolworths Ltd.                     Australia           Retail                Royal KPN N.V.               Netherlands   Telecommunications

     Zurich Financial Services AG        Switzerland         Insurance             Denso Corp.                  Japan         Automobile & Parts

     Intesa Sanpaolo S.p.A.              Italy               Banks                 Sumitomo Corp.               Japan         Industrial Goods/Svc

     UniCredit S.p.A.                    Italy               Banks                 Essilor International S.A.   France        Health Care

     Hyundai Mobis Co. Ltd.              South Korea         Automobile & Parts    PG&E Corp.                   U.S.          Utilities

     Kinross Gold Corp.                  Canada              Basic Resources
                                                                                   Saipem S.p.A.                Italy         Oil & Gas
     Air Products & Chemicals
     Inc.                                U.S.                Chemicals             Fujitsu Ltd.                 Japan         Technology



11             *Market Capitalization taken as of July 15, 2011
 DJSI World – Selection


              Dow Jones Global Total Stock Market Index
                                  2,500 largest companies
                                      58 DJSI Sectors
                                        52 Countries


                              Component Selection

             Top 10% of companies in terms of sustainability in each DJSI sector
                    15% target market cap coverage in each supersector



                                      DJSI World
                                      342 Components
                                      57 DJSI Sectors
                                        30 Countries
                               Review 2011: 41 ADD / 23 DEL

12
 DJSI World – Performance
 Since Launch, 08/99 – 08/11 (EUR, Total Return)
 140

                     Dow Jones Sustainability World Index (in EUR, TR)
                     MSCI World (in EUR, TR)
 120




 100




  80




  60




  40
  Aug-99   Feb-01   Aug-02      Feb-04       Aug-05       Feb-07         Aug-08   Feb-10   Aug-11




13
 DJSI World 80 – Selection


               Dow Jones Sustainability World Index

                               342 Components
                         Global Sustainability Leaders



                        Component Selection

                  Largest 80 components out of the DJSI World
                         (maximum 10 per supersector)



                             DJSI World 80

                 80 components weighted by sustainability score




14
 DJSI Europe – Index Range


     Dow Jones Sustainability Europe Index (DJSI Europe)                                    172 Components

     DJSI Europe ex Alcohol, Tobacco, Gambling, Armaments & Firearms                        150 Components

     DJSI Europe ex Alcohol, Tobacco, Gambling, Armaments & Firearms, Adult Entertainment   146 Components

     DJSI Europe 40                                                                         40 Components

     Dow Jones Sustainability Eurozone Index (DJSI Eurozone)                                97 Components

     DJSI Eurozone ex Alcohol, Tobacco, Gambling, Armaments & Firearms                      83 Components

     DJSI Eurozone ex Alcohol, Tobacco, Gambling, Armaments & Firearms, Adult Entert.       79 Components

     DJSI Eurozone 40                                                                       40 Components




15
 Assessment 2011 – DJSI Europe

 Largest 10 Additions                                                           Largest 10 Deletions
 (Listed by descending Free Float Market Capitalization)                        (Listed by descending Free Float Market Capitalization)

     NAME                            COUNTRY             SUPERSECTOR             NAME                            COUNTRY       SUPERSECTOR

     Societe Generale S.A.           France              Banks                   ING Groep N.V.                  Netherlands   Insurance
     Zurich Financial Services                                                   Volkswagen AG Non-Vtg
     AG                              Switzerland         Insurance               Pfd.                            Germany       Automobile & Parts

     Intesa Sanpaolo S.p.A.          Italy               Banks                   ArcelorMittal                   France        Basic Resources

     UniCredit S.p.A.                Italy               Banks                   Statoil ASA                     Norway        Oil & Gas

     Atlas Copco AB                  Sweden              Industrial Goods/Svc    Essilor International S.A.      France        Health Care

     Alcatel-Lucent                  France              Technology              Credit Agricole S.A.            France        Banks

     Alstom S.A.                     France              Industrial Goods/Svc    Legal & General Group PLC       U.K.          Insurance
                                                         Personal & Household
     Svenska Cellulosa AB            Sweden              Goods                   Aegon N.V.                      Netherlands   Insurance

     Adecco S.A.                     Switzerland         Industrial Goods/Svc    Abertis Infraestructuras S.A.   Spain         Industrial Goods/Svc

     Orkla ASA                       Norway              Food & Beverage         STMicroelectronics N.V.         Italy         Technology



16             *Market Capitalization taken as of July 15, 2011
 DJSI Europe – Selection


             Dow Jones Global Total Stock Market Index
                           600 largest European companies
                                    54 DJSI Sectors
                                     16 Countries


                                     Selection

               Top 20% of companies in terms of sustainability per sector
                  45% target market cap coverage in each supersector



                                  DJSI Europe
                                   172 Components
                                    48 DJSI Sectors
                                     15 Countries
                             Review 2011: 21 ADD / 13 DEL

17
 DJSI Europe - Performance
 01/06 – 08/11 (EUR, Total Return)*
 140
                                                         Dow Jones Sustainability Europe Index (EUR, TR)
                                                         DJ STOXX 600 (EUR, TR)

 120




 100




  80




  60




  40
   Jan-06   Jul-06   Jan-07   Jul-07   Jan-08   Jul-08   Jan-09    Jul-09   Jan-10   Jul-10   Jan-11   Jul-11




18
              *based on backtracking data
 DJSI Eurozone - Performance
 01/06 – 08/11 (EUR, Total Return)*
 160
                                                         Dow Jones Sustainability Eurozone Index (EUR, TR)
                                                         DJ EURO STOXX (EUR, TR)
 140



 120



 100



  80



  60



  40
   Jan-06   Jul-06   Jan-07   Jul-07   Jan-08   Jul-08    Jan-09    Jul-09   Jan-10   Jul-10   Jan-11   Jul-11




19
              *based on backtracking data
 DJSI Europe 40 – Selection


               Dow Jones Sustainability Europe Index

                                172 Components
                         Europe’s Sustainability Leaders



                         Component Selection

                  Largest 40 components out of the DJSI Europe
                           (maximum 5 per supersector)



                              DJSI Europe 40

                  40 components weighted by sustainability score




20
 DJSI Europe 40 - Performance
 01/06 – 08/11 (EUR, Total Return)*
     140
                                                        Dow Jones Sustainability Europe 40 Index (EUR, TR)
                                                        STOXX Europe 50 (EUR, TR)

     120




     100




      80




      60




      40
       Jan-06   Jul-06   Jan-07   Jul-07   Jan-08   Jul-08   Jan-09   Jul-09   Jan-10   Jul-10   Jan-11      Jul-11




21         *based on backtracking data
 DJSI Eurozone 40 – Selection


              Dow Jones Sustainability Eurozone Index

                                 98 Components
                      Sustainability Leaders in the Eurozone



                         Component Selection

                  Largest 40 components out of the DJSI Eurozone
                           (maximum 5 per supersector)



                            DJSI Eurozone 40

                  40 components weighted by sustainability score




22
 DJSI Asia Pacific – Index Range


     DJSI Asia Pacific                                                       156 Components

     DJSI Asia Pacific ex Alcohol, Tobacco, Gambling, Armaments & Firearms   142 Components

     DJSI Asia Pacific 40                                                    40 Components

     DJSI Japan 40                                                           40 Components




23
 Assessment 2011 – DJSI Asia Pacific

 Largest 10 Additions                                                          Largest 10 Deletions
 (Listed by descending Free Float Market Capitalization)                       (Listed by descending Free Float Market Capitalization)

     NAME                            COUNTRY            SUPERSECTOR             NAME                       COUNTRY        SUPERSECTOR

     Mitsubishi UFJ Financial                                                   Sumitomo Corp.             Japan          Industrial Goods/Svc
     Group Inc.                      Japan              Banks
                                                                                Murata Manufacturing Co.
     Mitsubishi Corp.                Japan              Industrial Goods/Svc    Ltd.                       Japan          Industrial Goods/Svc

     Newcrest Mining Ltd.            Australia          Basic Resources         Telstra Corp. Ltd.         Australia      Telecommunications

     NTT DoCoMo Inc.                 Japan              Telecommunications      Eisai Co. Ltd.             Japan          Health Care

                                                                                Suncorp Group Ltd.         Australia      Financial Services
     Mitsubishi Estate Co. Ltd.      Japan              Real Estate
                                                                                Terumo Corp.               Japan          Health Care
     Itochu Corp.                    Japan              Industrial Goods/Svc
                                                                                Korea Electric Power
     Astellas Pharma Inc.            Japan              Health Care             Corp.                      South Korea    Utilities
                                                        Construction &          SK Holdings Co. Ltd.       South Korea    Financial Services
     Asahi Glass Co. Ltd.            Japan              Materials
                                                                                                                          Personal & Household
     Sumitomo Mitsui Trust                                                      Rinnai Corp.               Japan          Goods
     Holdings Inc.                   Japan              Banks
                                                                                                                          Personal & Household
     Hang Seng Bank Ltd.             Hong Kong          Banks                   Woongjin Coway Co. Ltd.    South Korea    Goods



24             *Market Capitalization taken as of July 15, 2011
 DJSI Asia Pacific – Selection


               Dow Jones Global Total Stock Market Index
               600 largest companies from the developed Asia Pacific countries
                                       56 DJSI Sectors
                                         7 Countries


                               Component Selection

              Top 20% of companies in terms of sustainability in each DJSI sector
                     45% target market cap coverage in each supersector



                                  DJSI Asia Pacific
                                       156 Components
                                       43 DJSI Sectors
                                Review 2011: 24 ADD / 10 DEL



25
 DJSI Asia Pacific – Performance
 Since Launch, 01/09 – 08/11 (USD, Total Return)


     180

                     DJSI Asia/Pacific Total Return (USD)
                     MSCI Asia Pacific
     160




     140




     120




     100




     80
      Jan-09   Apr- 09   Jul- 09   Oct -09   Jan- 10   Apr- 10   Jul- 10   Oct -10   Jan-11   Apr-11   Jul-11




26
 DJSI Asia Pacific 40 – Selection


              Dow Jones Sustainability Asia Pacific Index

                                     156 Components
               Sustainabilitly Leaders of the developed Asia Pacific countries



                              Component Selection

                    Largest 40 components out of the DJSI Asia Pacific
                               (maximum 5 per supersector)



                               DJSI Asia Pacific 40


                      40 components weighted by sustainability score




27
 DJSI Asia Pacific 40 – Performance
 09/08 – 08/11 (USD, Total Return)

 130




 110




     90

                                         DJSI Asia/Pacific 40 Total Return (USD)
                                         DJ Asian Titans 50 Total Return (USD)
     70




     50
     Sep-08   Feb-09   Jul-09   Dec-09       May-10        Oct -10       Mar-11    Aug-11




28
 DJSI North America – Index Range


     DJSI North America                                                       143 Components

     DJSI North America ex Alcohol, Tobacco, Gambling, Armaments & Firearms   136 Components

     DJSI North America 40                                                    40 Components

     DJSI United States                                                       119 Components

     DJSI United States ex Alcohol, Tobacco, Gambling, Armaments & Firearms   113 Components

     DJSI United States 40                                                    40 Components




29
 Assessment 2011 – DJSI North America

 Largest 10 Additions                                                         Largest 10 Deletions
 (Listed by descending Free Float Market Capitalization)                      (Listed by descending Free Float Market Capitalization)

     NAME                           COUNTRY            SUPERSECTOR             NAME                    COUNTRY       SUPERSECTOR

     Goldman Sachs Group                                                       Microsoft Corp.         U.S.          Technology
     Inc.                           U.S.               Financial Services
                                                                               Coca-Cola Co.           U.S.          Food & Beverage
     EMC Corp.                      U.S.               Technology
                                                                               Goldcorp Inc.           Canada        Basic Resources
     CSX Corp.                      U.S.               Industrial Goods/Svc
                                                                               FedEx Corp.             U.S.          Industrial Goods/Svc
     Allergan Inc.                  U.S.               Health Care
                                                                               Enbridge Inc.           Canada        Oil & Gas
     AFLAC Inc.                     U.S.               Insurance
                                                                               McKesson Corp.          U.S.          Retail
     Sprint Nextel Corp.            U.S.               Telecommunications
                                                                               Waste Management
     Kohl's Corp.                   U.S.               Retail                  Inc.                    U.S.          Industrial Goods/Svc

     Ingersoll-Rand Co. Ltd.        U.S.               Industrial Goods/Svc    El Paso Corp.           U.S.          Oil & Gas

                                                                               Allstate Corp.          U.S.          Insurance
     ProLogis Inc.                  U.S.               Real Estate
                                                                               National Bank of
     Xerox Corp.                    U.S.               Technology              Canada                  Canada        Banks




30            *Market Capitalization taken as of July 15, 2011
 DJSI North America – Selection


              Dow Jones Global Total Stock Market Index

                         600 largest companies from North America
                                      56 DJSI Sectors



                              Component Selection

             Top 20% of companies in terms of sustainability in each DJSI sector
                    45% target market cap coverage in each supersector



                               DJSI North America
                                      143 Components
                                      49 DJSI Sectors
                               Review 2011: 20 ADD / 12 DEL



31
 DJSI North America – Performance
 Since Launch, 09/05 – 08/11 (USD, Total Return)
 140



 120



 100



     80



     60
                       DJSI North America (TR, USD)
                       DJTSM US LrgTr (TR, USD)
     40
      Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11




32
 DJSI North America 40 – Selection


             Dow Jones Sustainability North America Index

                                  143 Components
                       North America’s Sustainability Leaders



                           Component Selection

                 Largest 40 components out of the DJSI North America
                            (maximum 5 per supersector)



                          DJSI North America 40

                   40 components weighted by sustainability score




33
 DJSI North America 40 – Performance
 Since Launch, 08/08 – 08/11 (EUR, Total Return)
 120

                       DJSI NA 40 (USD, TR)
                       DJTSM US LrgTr (TR, USD)
 100




     80




     60




     40
     Aug-08   Jan-09    Jun-09    Nov-09      Apr-10   Sep-10   Feb-11   Jul-11




34
 DJSI Korea – Index Range


     DJSI Korea             52 Components

     DJSI Korea 20          20 Components




35
 Assessment 2011 – DJSI Korea

 Largest 3 Additions                                                             Largest 3 Deletions
 (Listed by descending Free Float Market Capitalization)                         (Listed by descending Free Float Market Capitalization)

     NAME                             COUNTRY             SUPERSECTOR             NAME                         COUNTRY        SUPERSECTOR

     Hynix Semiconductor Inc.         South Korea         Technology              SK Innovation Co. Ltd.       South Korea    Oil & Gas
     Samsung Heavy Industries
     Co. Ltd.                         South Korea         Industrial Goods/Svc    Korea Electric Power Corp.   South Korea    Utilities
     Samsung Engineering Co.                              Construction &
     Ltd.                             South Korea         Materials               SK Holdings Co. Ltd.         South Korea    Financial Services




36            *Market Capitalization taken as of July 15, 2011
 DJSI Korea – Selection


              Dow Jones Global Total Stock Market Index

                          200 largest companies from South Korea
                                      44 DJSI Sectors



                              Component Selection

             Top 30% of companies in terms of sustainability in each DJSI sector
                    50% target market cap coverage in each supersector



                                      DJSI Korea
                                      52 Components
                                      29 DJSI Sectors
                                Review 2011: 9 ADD / 6 DEL



37
 DJSI Korea – Performance
 Since Launch, 10/09 – 08/11 (KRW, Total Return)
 200

                    DJSI Korea Total Return (KRW)
 180                DJ Korea TSM Total Return (KRW)


 160


 140


 120


 100


     80


     60
      Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11




38
 DJSI Korea 20 – Selection


               Dow Jones Sustainability Korea Index

                               52 Components
                     South Korea’s Sustainability Leaders



                       Component Selection

                   Largest 20 components out of DJSI Korea
                        (maximum 3 per supersector)



                            DJSI Korea 20


                               20 Components




39
 SAM Indexes




                                   SAM Indexes
                                Josefstrasse 218
                                     8005 Zurich
                                     Switzerland
                        Phone: +41 44 653 1800
                           Fax: +41 44 653 1810
               E-Mail: indexes@sam-group.com
                           www.sam-group.com,
                www.sustainability-indexes.com




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