DJSI Diversified index family

Dow Jones Sustainability Diversified Indices

Investment objective

The Dow Jones Sustainability Diversified Index (DJSI Diversified) family is an investment solution for investors who measure their performance against a standard benchmark but wish to tilt their portfolios towards sustainable companies while minimizing country, size or sector risks relative to the benchmark.
 
The primary objective of the DJSI Diversified family is to offer investors a similar risk profile and financial performance as the S&P Global LargeMidCap Index and its regional subsets, yet with a significantly higher exposure to sustainability.
 
The indices select the most sustainable companies from the global or regional S&P Global LargeMidCap Index universe while ensuring that the resulting sustainability index has minimal country, sector or size biases relative to its reference S&P Global LargeMidCap Index, and therefore, a negligible tracking error. 
 

Methodology

The DJSI Diversified family applies a transparent, rules-based component selection process based on the companies’ Total Sustainability Scores resulting from the annual RobecoSAM Corporate Sustainability Assessment (CSA).

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To be eligible for inclusion in the index, companies must be a member of the S&P Global LargeMidCap Index, and companies based in the emerging markets must have a 3-month average daily trading volume  exceeding 10% of float adjusted market capitalization.
 
Next, all companies in the eligible universe are grouped according to GICS sector and region (North America, Europe/Middle East/Africa , and Asia Pacific), and are ranked in descending order by Total Sustainability Score.
 
For each of the 11 GICS sectors within each region, companies are selected in descending order by Total Sustainability score until their combined market capitalization reaches or exceeds 50% of the float adjusted market capitalization of each GICS sector within the respective region.
 
The composition of the DJSI Diversified indices is reviewed each year in March and September based on the Total Sustainability Scores resulting from the annual RobecoSAM Corporate Sustainability Assessment, and is rebalanced quarterly..

Index family

The Dow Jones Sustainability Diversified family comprises global and regional benchmarks

  • DJSI World Diversified
  • DJSI World Diversified Select
  • DJSI World Developed Diversified
  • DJSI World Developed ex-Korea Diversified
  • DJSI North America Diversified
  • DJSI Europe Developed Diversified
  • DJSI Asia Pacific Developed Diversified
  • DJSI Emerging Markets Diversified
  • DJSI Emerging Markets Plus Diversified*

DJSI World Diversified Select 
For Investors who wish to limit their exposure to controversial activities, RobecoSAM and S&P Dow Jones Indices offer the DJSI World Diversified Select Index family. It follows the same index construction methodology as the DJSI World Diversified and its regional subsets, but excludes companies exposed to weapons manufacturing, tobacco, alcohol, adult entertainment and gambling.

 
All DJSI Diversified indices are calculated in both price and total return versions and are disseminated in real time.

* DJSI Emerging Markets Plus Diversified includes Korea