The Dow Jones Sustainability Indices (DJSI) launched in 1999, are a family of indices evaluating the sustainability performance of thousands of companies trading publicly, operated under a strategic partnership between S&P Dow Jones Indices and RobecoSAM (Sustainable Asset Management) of the S&P Dow Jones Indices. They are the longest-running global sustainability benchmarks worldwide and have become the key reference point in sustainability investing for investors and companies alike. In 2012, S&P Dow Jones Indices was formed via the merger of S&P Indices and Dow Jones Indexes.
The DJSI is based on an analysis of corporate economic, environmental and social performance, assessing issues such as corporate governance, risk management, branding, climate change mitigation, supply chain standards and labor practices. The trend is to reject companies that do not operate in a sustainable and ethical manner. It includes general as well as industry-specific sustainability criteria for each of the 60 industries defined according to the Industry Classification Benchmark (ICB).
The DJSI family contains one main global index, the DJSI World, and various indices based on geographic regions such as: Europe, Nordic, North America and Asia Pacific. The DJSI also contains industry-specific indices called "blue chip indices". In addition, the DJSI methodology facilitates the design, development and delivery of customized sustainability indices; e.g., indices covering different regions, indices covering different segments of the leading sustainability companies, indices covering additional exclusion criteria and indices denominated in different currencies.
To be incorporated in the DJSI, companies are assessed and selected based on their long-term economic, social and environmental asset management plans. Selection criteria evolve each year and companies must continue to make improvements to their long-term sustainability plans in order to remain on the Index. Indices are updated yearly and companies are monitored throughout the year.
History
1999: The DJSI are launched in September. It is a collaboration with SAM and the Dow Jones Indexes. SAM is a global investment company focused exclusively on sustainability investing."The First Decade: 1999-2009". Pg. 7. Dow Jones Sustainability Indexes. Dow Jones Indexes, 2009. Web. 14 Nov. 2010. The indices are created to track financial success of leading sustainability companies. The top-ten percent of the best scoring companies of the largest 2,500 companies listed on Dow Jones are included. 2001: The DJSI is expanded to include STOXX Ltd., another indexing company. The Dow Jones STOXX Sustainability Index is introduced and marketed towards Europe's sustainability leaders."The First Decade: 1999-2009". Pg. 6. Dow Jones Sustainability Indexes. Dow Jones Indexes, 2009. Web. 14 Nov. 2010. 2005: The Dow Jones Sustainability North America Index is created. 2006: Dow Jones Indexes and SAM launch the Dow Jones Islamic Market Sustainability Index that combines Islamic investing principles and sustainability criteria from the DJSI."Dow Jones Indexes and SAM group launch Dow Jones Islamic Market Sustainability Index" Dow Jones Sustainability Indexes. Dow Jones Indexes, 23 Jan. 2006. Web. 15 Nov. 2010. (PDF). 2009: The Dow Jones Sustainability Asia Pacific Index and Korea Index are launched. 2010: SAM and Dow Jones Indexes terminate collaboration with STOXX. "Dow Jones Indexes will be responsible for calculation, marketing and distribution of the indexes including the European Indexes, while SAM [will] remain responsible for the component selections. As a result, SAM's collaboration with STOXX Ltd., which had previously calculated the European STOXX Sustainability Indexes, has been terminated.""SAM Deepens Cooperation with Dow Jones Indexes". Dow Jones Sustainability Indexes. Dow Jones Indexes, 18 Aug. 2010. Web. 14 Nov. 2010 (PDF). 2010: SAM and Dow Jones Indexes launch the DJSI Nordic Index. 2010, on August, the Dow Jones Sustainability Europe Index is launched. 2012: The S&P Indices and Dow Jones Indexes are merged to form the S&P Dow Jones Indices.
Indices Indices are denominated in both US dollars and Euros and are calculated using the Laspeyres formula. All indices that are not subsets include companies that generate revenue from alcohol, tobacco, gambling, armaments and firearms, and adult entertainment. Index components are based on free-float market capitalization and most main indices are reviewed quarterly, excluding the world index. Customized indices are continuously being developed and delivered to encompass different regions or individualized sections of companies to add additional exclusions when needed and to change the currencies they are denoted in.
The DJSI have been divided into various benchmarks including the World, Europe, North America, Asia Pacific, Nordic, and Korean indices. .
DJSI World Index
The World Index, or DJSI World, was first published in September 1999. It is based on the largest 2,500 companies in the Dow Jones Global Total Stock Market Index (DJGTSMI). It covers the top-ten percent of these companies in terms of economic, environmental, and social criteria which equals about 300 companies. The DJSI World has two subset indices, which are the Dow Jones Sustainability Index World 80 (DJSI World 80) and the Dow Jones Sustainability Index World ex US 80 (DJSI World ex US 80). Both subsets were initially published in August 2008 and track the performance of the largest 80 companies globally in terms of sustainability, with the DJSI World ex US 80 excluding the US from the top 80. The DJSI World and its subset are all reviewed on an annual basis.
The ICB breakdown is shown here, with consumer discretionary being the most represented sector. Companies in bold represent the top ten holdings by index weight.