S& Standard & Poor's : P/TSX 60 ESG Index Consultation

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S&P/TSX 60 ESG Index

CONSULTATION

S&P/TSX 60 ESG Index

S&P Dow Jones Indices is conducting a consultation with members of the investment community on potential methodology changes to the S&P/TSX 60 ESG Index.

Currently, the S&P/TSX 60 ESG Index employs a tilted weighting scheme based on companies' original float- adjusted market capitalization weights, with a tilt proportional to the deviation of the companies' size- neutralized adjusted Total Sustainability Scores from the index average. A scaling multiplier, known as the L factor, is used to increase the score deviation from the index average. Companies with size-neutralized adjusted Total Sustainability Scores higher or lower than the index average are overweighted or underweighted. To maintain a higher correlation with the underlying index, the S&P/TSX 60 ESG imposes a cap of 25% on the percentage change in GICS sector weights as a result of the adjusted weighting scheme.

S&P Dow Jones Indices is considering using new ESG Factor scores from RobecoSAM. The new scores neutralize the biases (ie. Size, Sector, Risk, Quality, Growth, Value, etc.) and highlight the most financially material factors as identified by the financial performance regression on individual question scores. With the biases eliminated, the index will be fully weighted on the basis of the ESG scores (percentile ranks) rather than tilted from the market cap based weights. The distribution of scores will be wider, and therefore, the L factors are no longer needed to widen the spread. It will also be sector neutral relative to the S&P/TSX 60 index. This methodology change will align the index with other S&P ESG indices such as the S&P 500 RobecoSAM ESG Index and the S&P Global 1200 RobecoSAM ESG Index.

Questions:

1. Should S&P Dow Jones Indices use the new ESG Factor scores from RobecoSAM?

   
   

2. Should the index be fully weighted on the basis of the new ESG Factor scores (percentile ranks) rather than tilted from the market cap based weights?

To provide feedback, please respond to S&P Dow Jones Indices' at [e-mail]. This consultation is open for feedback until February 19, 2016.

Please be advised that all comments will be reviewed and considered before a final decision is made; however S&P Dow Jones Indices makes no guarantees or is under any obligation to comply with any of the responses. The survey may result in no changes or outcome of any kind. If S&P Dow Jones Indices decides to change the index methodology, an announcement will be posted on our Web site.

Thank you for your time. Kind regards,

S&P Dow Jones Indices

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