Methodology Change | Solactive Equileap Gender Equality Family | Effective Date 15/09/2020
Today, on the 08/09/2020, Solactive announces the following changes to the methodology of the following Indices (the ‘Affected Indices’):
NAME |
RIC |
ISIN |
Solactive Equileap Europe Gender Equality GTR Index |
.EQUALEG |
DE000SLA3KN9 |
Solactive Equileap Europe Gender Equality NTR Index |
.EQUALEN |
DE000SLA3KM1 |
Solactive Equileap Europe Gender Equality PR Index |
.EQUALEP |
DE000SLA3KL3 |
Solactive Equileap Global Gender Equality GTR Index |
.EQUALG |
DE000SLA3KG3 |
Solactive Equileap Global Gender Equality NTR Index |
.EQUALN |
DE000SLA3KF5 |
Solactive Equileap Global Gender Equality NTR Index (EUR) |
.EQUALNEUR |
EQUALNEUR111 |
Solactive Equileap Global Gender Equality PR Index |
.EQUALP |
DE000SLA3KE8 |
Solactive Equileap US Gender Equality GTR Index |
.EQUALUG |
DE000SLA3KK5 |
Solactive Equileap US Gender Equality NTR Index |
.EQUALUN |
DE000SLA3KJ7 |
Solactive Equileap US Gender Equality PR Index |
.EQUALUP |
DE000SLA3KH1 |
Rationale for methodology change
The Affected Indices provide exposure to companies which have demonstrated commitment to gender diversity as part of their corporate responsibility strategy. Since the Affected Indices have a very strong ESG filter, mainly with their focus on the “G” – Governance aspect of the companies in the universe, Solactive has deemed appropriate to extend the product involvement filter to include a few additional criteria.
Additionally, since the launch of the Affected Indices, the registered turnover was significant and larger than the average turnover during the back-tested period. In order limit the turnover in the future in the Affected Indices, Solactive is amending the methodology.
Changes to the Index Guideline
The following Methodology changes will be implementedin the following points of the Index Guideline (ordered in accordance with the numbering of the affected sections):
- Section 2.1 “Selection of the Index Components”:
OLD Text:
[…]
On the Selection Day (10 Business Days before the last Business Day of September), Solactive receives the starting universe and the Gender Diversity Scores from Equileap.
The starting universe is determined by Equileap based on the rules described below:
- Include only the companies with their primary listing in a Developed Markets Economy
- Include only companies with an Average Market Capitalization over the past 12 months of at least USD 2 billion
[…]
[…]
The following procedure is then applied by Solactive:
- All stocks with a 3-month ADV below USD 5 million are removed.
- All remaining active stocks are then ranked according to the Equileap Gender Diversity Score. In cases where more securities have the same score, these are sorted according to their Full Market Capitalization.
- For the Global Index, the top 150 shares are included in the index, making sure, at the same time, that the following weighting floors/caps are respected: 50% floor for US companies and 10% cap for any other country. For the European and US Indices the top 75 securities with primary listing in any developed European country or US, respectively, are selected for the final composition. In addition, none of the 10 Factset Economies may represent more than 25% of the index composition.
There will also take place a review process, the Review Day will fall 10 Business Days before the last Business Day of December, March and June.
On each Review Day, the ongoing composition of the Indices is reviewed for any possible conflicts with the index scope. If any security has had a substantial drop in its Gender Diversity Score, as provided by Equileap, this security will be removed in the process of the following upcoming quarterly Adjustment Date, and its weight will be redistributed to the highest ranked share not yet included in the index as determined at the last yearly rebalancing date.
NEW Text:
[…]
On the Selection Day (10 Business Days before the last Business Day of September), Solactive receives the Gender Scores from the Gender Data Provider which is covering the below Solactive benchmarks:
- Solactive GBS Developed Markets Large & Mid Cap index
- Solactive Europe 600 Index
- Solactive GBS United States 1000 Index
[…]
G. |
|
Exclusion |
Description |
Data provider |
Exclusion Criteria |
A |
Companies that do not adhere to basic ESG Standards |
Derive more than 10% of their revenues from the following product involvement products)
|
ISS ESG |
B |
Companies that have engaged in known unethical business practices for the past 2 years |
Exclude companies, for one year, that have been involved in these unethical practices regarding their employees or customers: |
Equileap |
[…]
The following procedure is then applied by Solactive:
- All stocks with a 3-month ADV below USD 5 million are removed.
- All remaining active stocks are then ranked according to the Equileap Gender Diversity Score. In cases where more securities have the same score, these are sorted according to their Full Market Capitalization.
- Within each regional index, first the top 80% of securities currently in the index are selected based on the rank of their Gender Equality Scores. This is done such as to keep the turnover below at 20% or less and would lead to selecting at least 120 securities from the current composition in the Global Index and at least 60 securities in the European and US one.
- The composition of each index is then filled as described below:
- For the Global Index, until we reach 150 securities, making sure, at the same time, that the following weighting floors/caps are respected: 50% floor for US companies and 10% cap for any other country.
- For the European and US Indices until we reach 75 securities with primary listing in any developed European country or US, respectively. In addition, none of the 10 Factset Economies may represent more than 25% of the index composition.
There will also take place a review process, the Review Day will fall 10 Business Days before the last Business Day of December, March and June.
On each Review Day, the ongoing composition of the Indices is reviewed for any changes in their controversial involvement or gender related controversies. If any security has been involved in a gender related controversy, as provided by Equileap, or has made it on the controversial activity exclusion list, this security will be removed in the process of the following upcoming quarterly Adjustment Date, and its weight will be redistributed to the highest ranked share not yet included in the index as determined at the last yearly rebalancing date.
- Section 4 “Definitions”:
New Definitions
The “Gender Data Provider” is Equileap.
The “ESG Data Provider” is ISS ESG.
Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Indices. The amended version of the index guideline will be available on the effective date.