DJSI index rules
enhancement
A cooperation of RobecoSAM and S&P
Dow Jones Indices
March 2014
Important notice regarding new DJSI rules
New rules will come into effect for all DJSI (bar DJSI Diversified) in
September 2014.
•
Updated guidebooks reflecting the current component selection rules (used for the September
2013 rebalance) and the new component selection rules (coming into effect in September 2014)
will be published on www.spdji.com and www.sustainability-indices.com by the end of March
2014.
2
Overview current rule set - example DJSI World
Selects the top 10% of companies per RobecoSAM industry and 15% of
float adjusted market capitalization per GICS industry group out of an
invited 2500 companies.
•
In practice this means the following:
-
Best in class rule: Selects top 7% of all companies in an industry
-
Standard buffer rule: Selects existing index components ranked between 7-13% in an
industry
-
Marketcap rule: Selects companies within the top 13% in an industry up to a market cap
target of 15% of the respective industry group
-
Error margin rule: Selects companies within the top 13% of a sector that are within 1
point of components selected by preceding rules
-
Cross-sector buffer rule: Selects existing index components up for deletion if they are
adjacent to components selected by preceding rules and their inclusion improves the
currency or country balance versus the benchmark
3
Overview new rule set – example DJSI World
Selects the top 10% of companies per RobecoSAM industry and existing
components per RobecoSAM industry in the top 15% out of an invited
2500 companies.
•
In practice this means the following:
-
Target rule: Selects top 10% of all companies in an industry
-
Buffer rule: Selects existing index components ranked between 10-15% in an industry
-
Error margin rule: Selects companies within the top 15% of a sector that are within 0.3
points of components selected by preceding rules
4
Overview new rule set – overview all DJSI
New rules apply to all DJSI (bar DJSI Diversified) from September 2014
•
The Target & Buffer percentages vary by DJSI Benchmark. Please refer to the Table below for
each specific benchmark:
Index
Target %
Buffer %
DJSI World & DJSI
Emerging Markets
10
15
DJSI World Enlarged,
DJSI North America,
DJSI Europe & DJSI
Asia/Pacific
20
30
DJSI Australia & DJSI
Korea
30
40
5
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