Introduction
Since its launch in 2019, the S&P 500 ESG Index has emerged as an important benchmark to measure the S&P 500 with an ESG lens. While assets under management (AUM) based on the index have grown steadily (see Exhibit 1), the S&P 500 ESG Index is also notable for the liquidity associated with the growing network of financial products based on it. Though dwarfed by the scale of the S&P 500, the trading volumes based on the ecosystem of exchange traded funds (ETFs), futures and options surrounding the S&P 500 ESG Index are unmatched by other offerings in the market, bolstering the index’s position as the most liquid index that incorporates ESG factors for U.S. equities.
About the Index
As of Sept. 29, 2023, the S&P 500 ESG Index included 319 companies from the S&P 500. The S&P 500 ESG Index seeks to reflect many of the attributes of the S&P 500 itself, while incorporating ESG factors. This outcome is achieved by applying various business activity exclusions and using S&P Global ESG scores to target 75% of the market capitalization in each S&P 500 GICS® industry group. The index construction process is outlined in Exhibit 2.
