New – FFIUS

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.

FFIUS Intra-day Current

Fossil Free Indexes US (^FFIUS)

FFIUS Daily Close

 
 

26-Apr-17 Close Ticker Current % Change
Fossil Free Indexes US FFIUS 229.59 -0.03
Fossil Free Indexes US TR FFIUST 301.62 -0.02

Daily Closing Prices (31-Dec-2014)

Daily Closing Prices (31-Dec-2014)

% Periodic Returns (31-Dec-2014)

% Periodic Returns (31-Dec-2014)

% Annual Returns (31-Dec-2014)

% Annual Returns (31-Dec-2014)

Background

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.

Methodology Highlights

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

Sector Weights

Sector FFIUS SPX
Information Technology 18.70% 20.69%
Financials 17.60% 16.47%
Health Care 16.49% 15.16%
Consumer Discretionary 14.12% 12.89%
Consumer Staples 11.14% 10.06%
Industrials 10.72% 10.05%
Utilities 3.19% 2.99%
Materials 3.06% 2.76%
Telecommunication Services 2.66% 2.43%
Energy 2.33% 6.50%
Top 10 Constituents

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%

Historical Returns, Volatility & Risk Analysis

Economic Period FFIUS SPX
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%
26-Apr-10 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%
26-Apr-10 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
26-Apr-10 to 31-Dec-15 0.64 0.58

FFIUS Factsheet FFIUS Methodology Details FFIUS Performance Analysis