S&P Dow Jones Indices has added the MidCap 400 ESG Index and SmallCap 600 ESG Index to its offering.
The new indices’ are designed to closely replicate the risk and return profile of their underlying benchmarks, the S&P MidCap 400 and the S&P SmallCap 600, while raising ESG score performance.
The S&P MidCap 400 ESG and S&P SmallCap 600 ESG Indices target 75% of the traditional S&P MidCap 400 and S&P SmallCap 600’s market capitalization for each Global Industry Classification Standard (GICS) sector. Companies involved in the production of controversial weapons, thermal coal and tobacco are excluded as well as companies that perform poorly in relation to the United Nations Global Compact Principles.
For each GICS industry group, companies are then selected in decreasing order of S&P DJI ESG score until as close to 75% of the float-adjusted market cap in the eligible universe is reached. By targeting industry group neutrality, the indices are designed to have a risk and return profile that is closely in line with that of the broader U.S. mid- and small-cap markets. S&P DJI ESG scores are calculated by SAM (part of S&P Global) and are based on the Corporate Sustainability Assessment using company-provided data, publicly available information, or a combination thereof.