Over the last 10 years, sustainable investing has become increasingly prevalent, and concerns surrounding the risk of greenwashing have increased. To assist S&P DJI’s customers with new European Securities and Markets Authority (ESMA) fund naming guidelines, S&P DJI announced the renaming of the S&P 500^® ESG Index to the S&P 500 Scored & Screened Index. Please note that the regulatory guidance under the ESMA guidelines on fund names using ESG or sustainability-related terms does not apply directly to S&P DJI.¹

S&P 500 Scored & Screened Index: Same Methodology, Different Name

The S&P 500 Scored & Screened Index’s objective remains the same: to track securities that meet specific sustainability criteria while reflecting the S&P 500’s industry group weights.

The name change does not alter the methodology; the criteria for selecting and excluding constituents remain unchanged, ensuring consistency as a benchmark.

• The index applies various eligibility criteria, such as UNGC screens, S&P MSA Screens and S&P Business Activity Screens before using S&P Global ESG Scores to select and exclude constituents. The index aims to reflect 75% of the market cap within each industry group, focusing on the top-ranking eligible index constituents by S&P Global ESG Score to maintain sector neutrality.

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The S&P 500 Scored & Screened Index has continued² to achieve an enhanced ESG score against the S&P 500 with an absolute 5.05% increase in aggregate (see Exhibit 2).

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The S&P 500 Scored & Screened Index has maintained similar sector weights as the S&P 500,³ posting only a 6.44% sector-active share as of Feb. 10, 2025 (see Exhibit 3).

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While performance is not the objective of the index, the S&P 500 Scored & Screened Index has outperformed the S&P 500 over the mid and long term, and not at the expense of an increased risk profile, as seen in Exhibit 4. Moreover, the S&P 500 Scored & Screened Index has maintained comparable performance to the S&P 500 thanks to its similar industry group weights, with an average annualized tracking error of 1.36%, demonstrating a relatively low deviation.

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Ecosystem

The ecosystem linked to the S&P 500 Scored & Screened Index remains intact,⁴ supporting a variety of financial products such as ETFs, ETDs, mutual funds, insurance products and structured products. Key offerings include E-mini S&P 500 ESG Index Futures⁵ from CME and options contracts from Cboe.⁶ Despite the name change, the ecosystem’s integrity and functionality continue to benefit investors and financial institutions.

Conclusion

The transition from the S&P 500 ESG Index to the S&P 500 Scored & Screened Index represents a significant step to accommodate index users in line with the ESMA guidelines on the use of ESG and sustainability-related terms in fund names while preserving the index’s core principles. The index methodology remains the same, ensuring its reliability as an underlying benchmark for a vast ecosystem.

For more information about the S&P 500 Scored & Screened Index and our other sustainability indices, please visit our website or reach out to our client services team.

¹S&P Dow Jones Indices, Education. “FAQ: Index Name Changes in Response to the ESMA Guidelines on Funds’ Names Using ESG- or Sustainability-Related Terms.” Jan. 9, 2025.

²Sanchez, Maria. “A Measure of Success – The Evolution of ESG Scores in the S&P 500 ESG Index.” S&P Dow Jones Indices – Indexology^® Blog. Nov. 12, 2024.

³ Rowton, Stephanie. “Sector Neutrality – An Essential Mechanism within the S&P 500 ESG Index.” S&P Dow Jones Indices – Indexology^® Blog. Sept. 9, 2024

⁴ Spivey, Aran, Michael Orzano and Igor Zilberman. “The Growing S&P 500 ESG Index Liquidity Ecosystem” S&P Dow Jones Indices. Jan. 5, 2024.

⁵ See https://www.cmegroup.com/markets/equities/sp/e-mini-sandp-500-esg-index.html

⁶ See https://www.cboe.com/tradable_products/sp500/esg_spx_options/

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