Solactive Sustainable World Equity Index GTR (TTMTTSWE)
The index has the followings specifications:
• The index tracks the performance of a selection of the top 250 shares from global developed markets (North America, Europe and Asia) which have been screened according to sustainability criteria’s set by EIRIS. The selection model filters the shares according to a liquidity threshold of EUR 50 million 6-month ADV and includes subsequently the top ranked shares based on free-float adjusted market capitalization. It is an equally weighted index.
Starting with a FactSet Universal Screening:
• Screen for securities that have a primary listing in one of the following countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Luxembourg, Netherlands, New Zealand, Norway, Portugal, Singapore, South Korea, Spain, Sweden, Switzerland, United Kingdom and United States.
• Filter out any shares which are not ordinary, preferred or Depositary Receipts.
• Filter out any Limited Partnerships.
• Remove all securities with a 6-month ADV (as sourced from FactSet) below EUR 50 million.
• Remove any security primary listed in Hong Kong and which derives more than 75% of its revenues outside the 24 countries mentioned above.
• For each company keep only the most liquid share line and most liquid listing.
• The renowned sustainability research firm Vigeo Eiris (Ethical Investment Research Information Service, www.vigeo-eiris.com) applies the financial management standard of VFI (Vereniging van Fondsenwervende Instellingen - Fundraising Institutions Association) and bases the screening on the ten principles of the UN Global Compact as well as specific exclusions.
• On the Pool of Stocks resulting from above a ESG sustainability screening is applied based on indications from Vigeo EIRIS. In addition, there is also a second screening level based on Cluster Munition activities and the UNGC Scores, where the top 5 companies performing worst in terms of environment, human rights, labor rights and anticorruption are removed.
• The index is reviewed annually on the fourth Tuesday of March.
Download Index Methodology