Methodology Change | RAFI Value Factor Developed Eurozone Fossil Fuels Capped Index | Effective Date 20 September 2019
Today, on the 18 September 2019, Solactive announces the following changes to the methodology of the following RAFI Indices (the ‘Affected Indices’):
|
NAME |
RIC Total Return |
RIC Price Return |
RIC Net Return |
ISIN Total Return |
ISIN Price Return |
ISIN Net Return |
|
RAFI Value Factor Developed Eurozone Fossil Fuels Capped Index |
.RAVEFFCT |
.RAVEFFCN |
.RAVEFFCN |
DE000SLA7158 |
DE000SLA7133 |
DE000SLA7141 |
Rationale for methodology change
Currently, the methodology for the Affected Indices caps the exposure to fossil fuels at the allocation in an equivalent fossil fuels index. In order to better reflect the aim of the index to cap the exposure to exposure to companies deemed by Vigeo Eiris, (a third party ESG data and ratings provider), as having major involvement in the fossil fuels industry this cap level is adjusted to 80% of the fossil fuel allocation in an equivalent cap-weighted index.
Changes to the methodology
The fourth paragraph in Section 2.5.1 is amended from:
“If the aggregate fossil fuel weight is greater than an equivalent cap-weighted portfolio’s aggregate fossil fuel weight, constituents’ weights are adjusted down such that the aggregate weight in fossil fuel companies is equal to the cap-weighted portfolio’s aggregate weight in fossil fuel companies. If the aggregate fossil fuel weight is already equal to or below that of an equivalent cap-weighted portfolio’s aggregate fossil fuel weight, then no fossil fuel adjustment is made. The fossil fuel adjustment is determined as follows:”
to:
“If the aggregate fossil fuel weight is greater than 80% of the fossil fuel weight of an equivalent cap-weighted portfolio’s aggregate fossil fuel weight, constituents’ weights are adjusted down such that the aggregate weight in fossil fuel companies is equal to 80% of the cap-weighted portfolio’s aggregate weight in fossil fuel companies. If the aggregate fossil fuel weight is already equal to or below the 80% threshold of an equivalent cap-weighted portfolio’s aggregate fossil fuel weight, then no fossil fuel adjustment is made. The fossil fuel adjustment is determined as follows:”
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.