The Fossil Free Indexes US index is based on the capitalization-weighted S&P 500 index negatively screened for The Carbon Underground 200, the largest public fossil fuel companies globally, ranked on the carbon content of their reported reserves.
|24-May-16 Close||Ticker||Current||% Change|
|Fossil Free Indexes US||FFIUS||197.91||1.41|
|Fossil Free Indexes US TR||FFIUST||254.30||1.41|
FFIUS % Change
Research Analysis on Hypothetical Historical Returns
|2-Jan-04 to 31-Dec-15||5.70%||5.20%|
|Annualized||2-Jan-04 to 9-Oct-07||9.21%||9.52%|
|Return||10-Oct-07 to 23-Apr-10||-8.60%||-9.32%|
|2-Jan-04 to 31-Dec-15||10.50%||9.55%|
|2-Jan-04 to 31-Dec-15||19.45%||19.46%|
|Standard||2-Jan-04 to 9-Oct-07||11.45%||11.40%|
|Deviation||10-Oct-07 to 23-Apr-10||31.89%||31.95%|
|2-Jan-04 to 31-Dec-15||16.04%||16.05%|
|2-Jan-04 to 31-Dec-15||0.21||0.19|
|Sharpe||2-Jan-04 to 9-Oct-07||0.48||0.51|
|Ratio||10-Oct-07 to 23-Apr-10||-0.31||-0.33|
|2-Jan-04 to 31-Dec-15||0.64||0.58|
FFIUS is a benchmark index built to be the basis for investable products. These products will be attractive to market participants concerned about carbon risk in their portfolios and/or climate risk in the world. Companies owning fossil fuel reserves have valuations based on development of their reserves. They have the corresponding risk that those assets will be “stranded” and their valuations will drop if reserves cannot all be extracted due to regulation or market forces. FFIUS removes from the S&P 500 those public companies ranked by The Carbon Underground 200 as having the reserves with the greatest carbon emissions potential.
Investability & Liquidity: Highly tradable common stocks, with active and deep markets, at least 50% of shares outstanding available for trading. Market cap > US$4.6b.
Screen: Excludes all members of The Carbon Underground 200.
Rebalancing: Quarterly concurrent with underlying index.
Screen Updates: The Carbon Underground 200 updated quarterly, 3 weeks prior to rebalancing. (Annual prior to April 2014).
Weighting: Modified market cap – float-adjusted with constituent weights capped at 1.25% at rebalancing. See FFIUS Methodology for full details.
Constituents & Sectors
Top 10 Constituents (31-Dec-2015)
|Company||Index Weight||Sector||Weight in Sector|
|General Electric Co||1.26%||Industrials||11.78%|
|Alphabet Inc A||1.26%||Information Technology||6.75%|
|Alphabet Inc B||1.26%||Information Technology||6.74%|
|JP Morgan Chase & Co||1.26%||Financials||7.15%|
|Microsoft Corp||1.26%||Information Technology||6.73%|
|AT&T Inc||1.26%||Telecommunication Services||47.27%|
|Berkshire Hathaway B||1.25%||Financials||7.10%|
|Amazon.com Inc||1.25%||Consumer Discrentionary||8.84%|
|Procter & Gamble||1.25%||Consumer Staples||11.20%|
|Wells Fargo & Co||1.24%||Financials||7.04%|
Sector Weights (31-Dec-2015)
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