S&P ESG Indices June A cooperation of S&P Dow Jones Indices and RobecoSAM
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1 S&P ESG Indices June 2017 A cooperation of S&P Dow Jones Indices and RobecoSAM
2 S&P 500 ESG Factor Weighted, as of June 30 th 2017 (in USD) 2 15% 1 5% YTD 1M 3M 6M 1Y 2Y 3Y 5Y S&P 500 ESG Factor Weighted S&P 500 Index TR Last Last 3 Last 6 Last 12 Last 2 YTD month months months months Years p.a. Last 3 Years p.a. Last 5 Years p.a. p.a. S&P 500 ESG Factor Weighted % % * 9.83% 8.66% 15.91% 19.4 S&P 500 Index TR 9.34% 0.62% 3.09% 9.34% 17.9 * 10.71% % 16.86% Excess Return -0.44% 0.38% -0.07% -0.44% 0.24% * -0.88% -0.94% % Performance & Risk characteristics since inception Absolute Risk 14.22% Absolute Risk S&P 500 Index TR 12.4 Jensen's Alpha 0.59% Tracking Error 3.51% Beta versus S&P 500 Index TR 1.12 Dividend Yield Information Ratio 0.73 Sharpe Ratio 1.34 *
3 S&P 500 ESG Factor Weighted, as of June 30 th 2017 (in USD) S&P 500 ESG Factor Weighted S&P 500 Index TR YTD p.a. S&P 500 ESG Factor Weighted % -1.94% 14.66% 37.41% 16.21% 0.26% 19.4 S&P 500 Index TR 9.34% 11.96% 1.38% 13.69% 32.39% % 16.86% Excess Return -0.44% 2.56% -3.32% 0.97% 5.02% 0.21% -1.85% 2.54% *
4 S&P 500 ESG Factor Weighted, as of June 30 th 2017 (in USD) S&P 500 ESG Factor Weighted S&P 500 Index TR 4
5 S&P Europe 350 ESG Factor Weighted, as of June 30 th 2017 (in EUR) 25% 2 15% 1 5% -5% YTD 1M 3M 6M 1Y 2Y 3Y 5Y S&P Europe 350 ESG Factor Weighted S&P Europe 350 Index TR Last Last 3 Last 6 Last 12 Last 2 YTD month months months months Years p.a. Last 3 Years p.a. Last 5 Years p.a. p.a. S&P Europe 350 ESG Factor Weighted 7.55% -2.59% 0.82% 7.55% 19.76% * 2.69% 6.35% 12.81% 14.79% S&P Europe 350 Index TR 7.09% -2.48% 0.84% 7.09% 18.55% * 3.02% 6.64% 11.94% 13.36% Excess Return 0.46% -0.11% -0.02% 0.46% 1.21% * -0.33% -0.29% 0.87% 1.43% Performance & Risk characteristics since inception Absolute Risk 14.06% Absolute Risk S&P Europe 350 Index TR 13.27% Jensen's Alpha 0.78% Tracking Error 1.99% Beta versus S&P Europe 350 Index TR 1.05 Dividend Yield Information Ratio 0.72 Sharpe Ratio 1.04 *
6 S&P Europe 350 ESG Factor Weighted, as of June 30 th 2017 (in EUR) S&P Europe 350 ESG Factor Weighted S&P Europe 350 Index TR YTD p.a. S&P Europe 350 ESG Factor Weighted 7.55% 2.38% 10.38% 6.72% 24.97% 18.97% -9.78% 14.79% S&P Europe 350 Index TR 7.09% 3.44% 8.61% 7.89% 20.97% 18.02% -7.25% 13.36% Excess Return 0.46% -1.06% 1.77% -1.17% % -2.53% 1.43% *
7 S&P Europe 350 ESG Factor Weighted, as of June 30 th 2017 (in EUR) S&P Europe 350 ESG Factor Weighted S&P Europe 350 Index TR 7
8 S&P Global 1200 ESG Factor Weighted, as of June 30 th 2017 (in USD) 25% 2 15% 1 5% YTD 1M 3M 6M 1Y 2Y 3Y 5Y S&P Global 1200 ESG Factor Weighted S&P Global 1200 Index TR Last Last 3 Last 6 Last 12 Last 2 YTD month months months months Years p.a. Last 3 Years p.a. Last 5 Years p.a. p.a. S&P Global 1200 ESG Factor Weighted 12.86% 0.72% 4.28% 12.86% 20.82% * 8.27% 5.75% 13.05% 16.07% S&P Global 1200 Index TR % 4.31% % * 8.15% 5.96% 11.88% 14.06% Excess Return 1.46% 0.17% -0.03% 1.46% 1.35% * 0.12% -0.21% 1.17% 2.01% Performance & Risk characteristics since inception Absolute Risk 14.94% Absolute Risk S&P Global 1200 Index TR 13.8 Jensen's Alpha 1.07% Tracking Error 2.57% Beta versus S&P Global 1200 Index TR 1.07 Dividend Yield Information Ratio 0.78 Sharpe Ratio 1.06 *
9 S&P Global 1200 ESG Factor Weighted, as of June 30 th 2017 (in USD) S&P Global 1200 ESG Factor Weighted S&P Global 1200 Index TR YTD p.a. S&P Global 1200 ESG Factor Weighted 12.86% 9.78% -2.29% 5.46% 29.98% 17.06% -6.88% 16.07% S&P Global 1200 Index TR % -0.86% % 16.82% -5.08% 14.06% Excess Return 1.46% 0.89% -1.43% 0.06% 4.14% 0.24% % *
10 S&P Global 1200 ESG Factor Weighted, as of June 30 th 2017 (in USD) S&P Global 1200 ESG Factor Weighted S&P Global 1200 Index TR 10
11 S&P/TOPIX 150 ESG Factor Weighted, as of June 30 th 2017 (in JPY) 35% 3 25% 2 15% 1 5% -5% YTD 1M 3M 6M 1Y 2Y 3Y 5Y S&P/TOPIX 150 ESG Factor Weighted S&P/TOPIX 150 Index TR Last Last 3 Last 6 Last 12 Last 2 YTD month months months months Years p.a. Last 3 Years p.a. Last 5 Years p.a. p.a. S&P/TOPIX 150 ESG Factor Weighted 6.12% 2.98% % 31.23% * 1.35% 10.75% 20.09% 13.57% S&P/TOPIX 150 Index TR 5.95% 2.79% 5.93% 5.95% 31.49% * % 10.83% Excess Return 0.17% 0.19% 0.07% 0.17% -0.26% * 1.55% 1.25% 2.63% 2.74% Performance & Risk characteristics since inception Absolute Risk 18.6 Absolute Risk S&P/TOPIX 150 Index TR 18.25% Jensen's Alpha 2.61% Tracking Error 2.18% Beta versus S&P/TOPIX 150 Index TR 1.01 Dividend Yield Information Ratio 1.25 Sharpe Ratio 0.72 *
12 S&P/TOPIX 150 ESG Factor Weighted, as of June 30 th 2017 (in JPY) S&P/TOPIX 150 ESG Factor Weighted S&P/TOPIX 150 Index TR YTD p.a. S&P/TOPIX 150 ESG Factor Weighted 6.12% -0.04% 14.66% 9.95% 62.21% 24.52% % 13.57% S&P/TOPIX 150 Index TR 5.95% -0.39% 10.49% 8.78% 54.27% 23.23% % 10.83% Excess Return 0.17% 0.35% 4.17% 1.17% 7.94% 1.29% 1.31% 2.74% *
13 S&P/TOPIX 150 ESG Factor Weighted, as of June 30 th 2017 (in JPY) S&P/TOPIX 150 ESG Factor Weighted S&P/TOPIX 150 Index TR 13
14 S&P/TSX 60 ESG Factor Weighted, as of June 30 th 2017 (in CAD) 1% 1% -1% -1% -2% -2% -3% -3% YTD 1M 3M 6M 1Y 2Y 3Y 5Y S&P/TSX 60 ESG Factor Weighted S&P/TSX 60 Index TR Last Last 3 Last 6 Last 12 Last 2 Last 3 Last 5 YTD month months months months Years Years Years S&P/TSX 60 ESG Factor Weighted -1.48% -1.39% -2.42% -1.48% - * % S&P/TSX 60 Index TR 0.62% -1.17% -1.78% 0.62% - * % Excess Return % -0.64% * % Performance & Risk characteristics since inception Absolute Risk Absolute Risk S&P/TSX 60 Index TR Jensen's Alpha Tracking Error Beta versus S&P/TSX 60 Index TR Dividend Yield Information Ratio Sharpe Ratio *
15 S&P/TSX 60 ESG Factor Weighted, as of June 30 th 2017 (in CAD) 8% 7% 6% 5% 4% 3% 2% 1% 2016 S&P/TSX 60 ESG Factor Weighted S&P/TSX 60 Index TR YTD S&P/TSX 60 ESG Factor Weighted -1.48% 7.54% % S&P/TSX 60 Index TR 0.62% 7.41% % Excess Return % % *
16 S&P/TSX 60 ESG Factor Weighted, as of June 30 th 2017 (in CAD) 12% 1 8% 6% 4% 2% S&P/TSX 60 ESG Factor Weighted S&P/TSX 60 Index TR 16
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