Tematica Bita Cleaner Living Sustainability Screened Index
The Tematica BITA Cleaner Living Index (“the Index”) aims to capture the market performance of a basket of global and publicly listed companies that derive over 80% of their revenue or earnings from providing good and/or services in least one of the following segments: Cleaner Building and Infrastructure, Cleaner Energy, Cleaner Food & Dining, Cleaner Health & Beauty or Cleaner Transportation. The index is weighted using a liquidity optimized equal weight methodology and rebalanced on a semi-annual basis. Index values are disseminated in real-time.
Index Universe: Companies in the Index Eligibility Universe must derive earnings or revenues from the applicable Cleaner Living segment which currently includes the following five sectors:
- Cleaner Building & Infrastructure- This segment seeks to include companies that focus on the development and production of construction materials utilizing environmentally friendly processes. This includes materials and finished goods that are manufactured using high levels of recycled or sustainable materials.
- Cleaner Energy- This segment seeks to include companies that focus on renewable energy. This includes companies that generate electricity through renewable power generation as well as companies that provide goods and/or services supporting the renewable power industry.
- Cleaner Food & Dining- This segment seeks to include companies that focus on the production and/or sale of natural, organic, non- GMO foods and beverages, as well as products that specifically avoid using preservatives, artificial and other sweeteners, and saturated fats.
- Cleaner Health & Beauty- This segment seeks to include companies that develop and manufacture health and beauty products including natural skincare & makeup, toxin-free toothpastes, shampoos, soaps, feminine hygiene, and infant products focused on natural ingredients and fewer or no preservatives. This segment also focuses on companies that develop, manufacture, and sell goods and/or services that promote and/or facilitate fitness activities.
- Cleaner Transportation- This segment seeks to include companies that develop, manufacture, and sell electric powered vehicles. The segment also seeks to include companies that provide goods and services in support of the electric vehicle industry
Scoring/Screening: After the Universe Determination Agent has selected the initial set of eligible companies into one of the five sectors of Cleaner Living as defined, the Index Administrator shall determine the index constituents by applying the following set of filters and exclusions:
- Companies with a Normalized Carbon Intensity, as calculated by BITA, situated above 1.5 standard deviations (Z-score 1.5 and above) from the mean of the industry sector, are excluded;
- Companies with an Arabesque S-Ray® total Global Compact* Score, situated below 1.5 standard deviations (Z-score -1.5 and below) from the mean of the entire universe of coverage, are excluded;
- Companies with focused involvement in the Weapons and Defense sectors as determined by Arabesque S-Ray® are excluded; Securities must be listed on the Relevant Exchanges (as detailed below);
- Companies must derive at least at least 80% of their earnings or revenue from the applicable Cleaner Living segment as determined by Tematica Research;
- ADRs are eligible;
- Securities must have a minimum worldwide market capitalization of US$100 million;
- Securities must have a minimum (90-day average daily volume) of US$1 million;
- Securities must have a minimum free float of 20%;
Weighting: The index employs a modified equal weight allocation across all components. Sector concentration is capped at 30%. Any weight above 30% is allocated on a pro-rata basis to sectors with weights below 30%.Component weights are optimized for liquidity. Weights are adjusted so that a hypothetical $25M single day inflow would result in no single name accounting for more than 25% of those names average daily trading activity. Any weight reduction is allocated on a pro-rata basis to names within the thematic sector that are below the 25% threshold.
Rebalance: The Tematica Cleaner Living Universe undergoes full review on a semi-annual basis in June and December and the index is reconstituted and rebalanced at that time.
To view the Methodology