Sustainability Investing with the Dow Jones Sustainability Indexes. A cooperation of Dow Jones Indexes, STOXX Ltd. and SAM Group

Transcription

1 Sustainability Investing with the Dow Jones Sustainability Indexes A cooperation of Dow Jones Indexes, STOXX Ltd. and SAM Group 1

2 2 Content I. Sustainability Investing II. Dow Jones Sustainability Indexes

3 3 Market Developments (I) From Ethical to Sustainability Investments Ethical Investments Boycotts and ethical motivation Exclusion of industry groups Focus on a narrow selection of social and environmental criteria Sustainability Investments Adding shareholder value Future-driven Best of class and industry-specific Integrating economic, environmental and social criteria

4 Market Developments (II) Institutional Investors 4

5 Source: Investments & Pensions Europe 5 Market Developments (III) Institutional Investors

6 Market Developments (IV) Institutional Investors 6

7 Market Developments (V) Brokerage Research 7

8 8 Market Developments (VI) Media It pains me to say this, but I am becoming less cynical about corporate social responsibility. Jane Fuller, Financial Editor, FT FT Fund Management, 21 July 2003

9 9 Content I. Market Developments II. Dow Jones Sustainability Indexes

10 10 DJSI Partners Creates and licenses indexes for use in investment products, calculates 3,000+ indexes in real time Provides and services the Dow Jones STOXX SM indexes, Europe's leading regional equity indexes. Focuses exclusively on sustainability investments, offers indexes, research, asset management and private equity services

11 DJSI Overview Integrated assessment of economic, social and environmental criteria with a strong focus on longterm shareholder value Consistent rule-based methodology, primary research (direct contact to companies) Coverage of 60 industries world-wide using industryspecific assessment criteria Yearly review to reflect best-practices and continuous monitoring of companies Verification by PricewaterhouseCoopers 11

12 DJSI Assets and Licenses September 1999 May Number of sold DJSI Licenses Assets based on DJSI (in mio EUR) /99 01/00 05/00 09/00 01/01 05/01 09/01 01/02 05/02 09/02 01/03 05/03 09/03 01/04 05/04 Number of sold DJSI Licenses Assets based on DJSI (in mio EUR) 12

13 DJSI Licensees as of May 31, 2004 Aegon (NL) Baloise Insurance (CH) BNL Gestioni (IT) CIC Asset Management (FR) Credit Suisse Asset Management (CH) Credit Union Central Alberta (CA) Credit Union Central of Ontario (CA) Danske Invest / BG Invest (DK) Dexia Asset Management (BE) Deutsche Postbank (DE) DWS (DE) DZ Bank (DE) Folksam Sak (SE) Fortis Investment Management (BE) Gerling Investment (DE) Gestnord (IT) HypoVereinsbank (DE) Invesco (DE) MEAG MUNICH ERGO (DE) Kepler Fonds KAG (AT) Merrill Lynch (UK) Mandatum Asset Management (FI) Nikko Asset Management (JP) Oppenheim (DE) OP Fund Management Company (FI) Private Client Bank (CH) Raiffeisen (AT) Rabo Bank (UK) Rothschild & Cie Gestion (FR) Sagitta Wealth Management Limited (AU) SAM Sustainable Asset Management (CH) Sparinvest (DK) SPP (SE) State Street Global Advisors (US) Sustainable Performance Group (CH) Swiss Life Asset Management (CH) Synchrony Asset Management (CH) Theodoor Gilissen Bankiers (NL) UBS Global Asset Management (Japan) Ltd Union Investment (DE) WestLB (DE) VZ VermögensZentrum (CH) Zenit (IT) 13

14 DJSI Sustainability Trends (I) Social - Cultural Trends Transparency Healthy living Better living standards Rich / poor gap Equal rights Fair trade Environmental Trends Ecological risk awareness Pollution and waste Global Warming Population growth Scarcity of Natural Resources Loss of bio-diversity Economic Trends Technological Change & Innovation Shorter Product life-cycles Speed & Flexibility Life-long learning Intellectual capital Virtual living and working 14

15 DJSI Sustainability Trends (II) Projected EBIT impact of climate change policies on the ten biggest automotive companies until % 10% 5% 0% -5% -10% -15% Toyota Renault Nissan Honda DC VW PSA BMW GM Ford Source: SAM & World Resources Institute 15

16 16 DJSI Criteria (I) Weightings % 33% 100% 40% 33% 60% 33% 20% Economic Dimension Environmental Dimension Social Dimension Total Industry Criteria General Criteria

17 17 DJSI Criteria (II) Examples of general criteria...

18 DJSI Criteria (III) Examples of general criteria 18

19 DJSI Criteria (IV) Examples of industry-specific criteria 19

20 DJSI Scores (I) Average of best five scores in the DJSI World 80 Maximum score: Total Score Automobiles Basic Resources Banks Cyclical Goods & S e rvice s Chemicals Construct. Energy Food & Beverage Marke t S e c to r Financial Services Healthcare

21 DJSI Scores (II) Average of best five scores in the DJSI World 80 Maximum score: Total Score Ind. Goods & S e rvic e s Insurance Media Non-cyclical Goods & Services Reta il Technology Te lecom. Utilitie s Total Marke t S e c to r

22 22 DJSI World Selection 2003/2004 Dow Jones Global Index 2,500 largest companies 60 DJSI Industry Groups 34 countries Component Selection Top 10% of companies in terms of sustainability in each industry group 20% target market cap coverage in each industry group DJSI World 314 Components 60 DJSI industry groups 22 countries

23 DJSI World Standard Range! DJSI World (314 Components)! DJSI World ex Alcohol (308 Components)! DJSI World ex Tobacco (312 Components)! DJSI World ex Gambling (303 Components)! DJSI World ex Armaments & Firearms (305 Components)! DJSI World ex Alcohol, Tobacco, Gambling, Armaments & Firearms (286 Components) 23

24 DJSI World Euro Performance May 2001 May 2004, Euro, Total Return Index May- 01 Aug- 01 Nov- 01 Feb- 02 May- 02 Aug- 02 Nov- 02 Feb- 03 May- 03 Aug- 03 Nov- 03 Feb- 04 May

25 25 DJSI STOXX Selection Dow Jones STOXX SM Companies 50 DJSI industry clusters 17 countries Component Selection Top 20% leading sustainability companies in each industry cluster 45% target market cap coverage in each market sector DJSI STOXX 2003/ Components 50 DJSI industry clusters 13 countries

26 26 DJSI STOXX Subsets! DJSI STOXX (175 Components)! DJSI STOXX ex Alcohol, Tobacco, Gambling, Armaments & Firearms (158 Components)! DJSI EURO STOXX (73 Components)! DJSI EURO STOXX ex Alcohol, Tobacco, Gambling, Armaments & Firearms (69 Components)

27 DJSI STOXX Performance DJSI STOXX / DJ STOXX 600 / DJ STOXX 50 (TR, in EUR, since inception) DJSI STOXX DJ STOXX 600 DJ STOXX /01 01/02 04/02 07/02 10/02 01/03 04/03 07/03 10/03 01/04 04/04 27

28 28 DJSI STOXX Performance DJSI STOXX / DJ STOXX 600 Result of Regression Multi-Factor Model (OLS-Valuations, t-values in Brackets, Alpha denotes Monthly Outperformance) Previous Results Total Time Period (incl. backtracking) Since Launch of Index Since peak of investment bubble (01/99-10/02) (01/99-08/03) (10/01-08/03) (03/00-08/03) Alpha * *** ** *** (1.736) (2.989) (2.507) (2.817) Market-Beta (68.925) (80.781) (85.275) (72.615) Size-Beta (-8.707) (-9.023) (-3.862) (-7.833) Value/Growth-Beta (5.594) (5.488) (-0.509) (2.050) *=10%-Level, **=5%-Level, ***=1%-Level Source: WestLB Equity Markets

29 SAM Indexes Phone alex@sustainability-indexes.com 29