The JSE is the first emerging market and first stock exchange to form a Socially Responsible Investment Index (SRI Index) in 2004, announced on 3 June 2015 that it is partnering with FTSE Russell, the global index provider, in progressing the JSE’s work around promoting corporate sustainability practices over the last decade.
The JSE has adopted the FTSE Russell ESG Ratings process to create the following two indices, launched on 12 October 2015:
- The FTSE/JSE Responsible Investment Index ( J113)
- A market-cap weighted index calculated on an end of day basis - benchmark
- Comprises all eligible companies who achieve the required minimum FTSE Russell ESG rating as set out in the Ground Rules from time to time
- The FTSE/JSE Responsible Investment Top 30 Index (J110)
- An equally weighted index calculated on a real time basis - tradable
- Comprises the Top 30 companies ranked by FTSE Russell ESG Rating
FTSE Russell ESG methodology summary
What was the socially responsible investment (SRI) index?
Prior to the SRI Index being terminated in December 2015, and replaced with the FTSE/JSE. Responsible Investment Index Series, it was the original promoter of sustainable and transparent business practices. The SRI index series evolved considerably since it was launched in May 2004, with the arrival of sustainability initiatives internationally and the King code locally. It also saw to foster good corporate citizenship and promote sustainable development. Listed companies in the FTSE/JSE All Share index were reviewed annually against a set of Environmental, social and governance (ESG) concerns, with the last SRI index annual review calculation provided at the end of 2015 for the 2014 review.
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FTSE/JSE Responsible Investment Index (J113) & Top 30 Index (J110)
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FTSE/JSE Responsible Investment Index (J113)
- This is a market-cap weighted index calculated on an end of day basis – benchmark.
- It comprises all eligible companies who achieve the required minimum FTSE Russell ESG rating as set out in the Ground Rules from time to time.
- It further comprises constituents of the Shareholder Weighted All Share Index, which are also companies that have securities included in the FTSE All World Index.
- Constituents of the eligible universe require a FTSE ESG rating of 2.9 or above to be incorporated in this product.
The Index can be used as a reference benchmark for portfolios that have an ESG-based mandate and can also be used for research and analysis.
Key benefits and features:
Adoption of the FTSE ESG Ratings methodology delivers a strong value proposition for both investors and issuers in that qualifying JSE companies can form part of a global universe of over 7,200 securities, as assessed by FTSE. This enables benchmarking against international best practices in ESG reporting, coupled with investment in a domestic index.
Contract specifications:
Name
Responsible Investment
Index Code
J113
Alpha Code
REIB
Index Category
Responsible Investment
Universe
SWIX All Share Index (J403) constituents which are also companies that have securities included in the FTSE All World Index.
Fixed No. of Companies
No
Liquidity Screening
Yes
Free Float Screening
Minimum of 5%.
Other Screening
Minimum ESG score of 2.9
Ineligible securities
Pyramid Status, SPAC Status, ICB code 302050
Weighting Methodology
SWIX Free Float Market Cap Weighted
Ranking Methodology
Ranked by ESG score
Capping Methodology
N/A
Index Review
Semi-Annually in June and December
Buffer Size
N/A
Dissemination
End of Day
Live Date
2015/10/12
FTSE/JSE Responsible Investment Top 30 Index (J110)
About the Index:
- The Index is an equally weighted index calculated on a real time basis – tradable.
- It comprises the Top 30 companies ranked by FTSE Russell ESG Rating
The Index can be used as a reference for the top ESG rated companies for portfolios that have an ESG-based mandate and can also be used for research and analysis.
Key benefits and features:
The FTSE/JSE Responsible Investment Top 30 Index is a subset of the RI Benchmark Index and consists of only the top 30 highest ESG-rated companies. It is an equally weighted index which allows for the ESG ratings to play a bigger role.
Contract specifications:
Name
Responsible Investment Top 30
Index Code
J110
Alpha Code
REIN
Index Category
Responsible Investment
Universe
Responsible Investment Index (J113).
Fixed No. of Companies
30
Liquidity Screening
Yes
Free Float Screening
Minimum of 5%.
Other Screening
Minimum ESG score of 2.9
Ineligible securities
Pyramid Status, SPAC Status, ICB code 302050
Weighting Methodology
Equally Weighted
Ranking Methodology
Ranked by ESG score then by SWIX market cap where there is a tie in ESG scores
Capping Methodology
3.33% quarterly
Index Review
Semi-Annually in June and December
Buffer Size
3
Dissemination
Real Time
Live Date
2015/10/12