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Dow Jones Sustainability Index - Performance and Risk Analysis

This article provides a comprehensive analysis of the performance and risk of the Dow Jones Sustainability World Index (DJSI World), Dow Jones STOXX Sustainability Index (DJSI STOXX), and Dow Jones EURO STOXX Sustainability Index (DJSI EURO STOXX). It includes correlation, tracking error, volatility, and other key indicators.

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Dow Jones Sustainability Index - Performance and Risk Analysis

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  1. Monthly UpdateJanuary 2004

  2. Content Dow Jones Sustainability World Index(DJSI World) Dow Jones STOXX Sustainability Index(DJSI STOXX) Dow Jones EURO STOXX Sustainability Index(DJSI EURO STOXX) Licenses & Assets

  3. DJSI World – USD Performance and Risk (I)December 1993 -January 2004, USD, Total Return Index • DJSI World / DJGI World: • Correlation: 0.9640 Tracking Error: 4.34% • DJSI Volatility: 16.14% DJGI Volatility: 14.91% 148% 105%

  4. DJSI World – USD Performance and Risk (II)December 1993 -January 2004, USD, Total Return Index • DJSI World / MSCI World: • Correlation: 0.9764 Tracking Error: 3.65% • DJSI Volatility: 16.14% MSCI Volatility: 14.68% 148% 103%

  5. DJSI World – USD Performance and Risk (III)1 Year Performance (January 2003-January 2004, USD, Total Return Index)

  6. DJSI World – USD Performance and Risk (IV)USD, Total Return Index

  7. DJSI World – Euro Performance and Risk (I)December 1993 -January 2004, Euro, Total Return Index • DJSI World / DJGI World: • Correlation: 0.9667 Tracking Error: 4.71% • DJSI Volatility: 18.35% DJGI Volatility: 17.34% 124% 83%

  8. DJSI World – Euro Performance and Risk (II)December 1993 -January 2004, Euro, Total Return Index • DJSI World / MSCI World: • Correlation: 0.9761 Tracking Error: 4.05% • DJSI Volatility: 18.35% MSCI Volatility: 17.18% 124% 81%

  9. DJSI World – Euro Performance and Risk (III)Euro, Total Return Index

  10. DJSI World – Market Sector Allocationas of January 31, 2004

  11. DJSI World – Regional Allocationas of January 31, 2004

  12. Content Dow Jones Sustainability World Index(DJSI World) Dow Jones STOXX Sustainability Index(DJSI STOXX) Dow Jones EURO STOXX Sustainability Index(DJSI EURO STOXX) Licenses & Assets

  13. DJSI STOXX – Euro Performance and Risk (I)December 1998 - January 2004, EUR, Total Return Index • DJSI STOXX/DJ STOXX 600: • Correlation: 0.9895 Tracking Error: 2.86% • DJSI STOXX Volatility: 19.35% DJ STOXX 600 Volatility: 18.52% -6.86% -6.93%

  14. DJSI STOXX – Euro Performance and Risk (II)1 Year Performance(January 2003 - January 2004, EUR, Total Return Index)

  15. DJSI STOXX – Euro Performance and Risk (III)EUR, Total Return Index

  16. DJSI STOXX – Market Sector Allocationas of January 30, 2004

  17. DJSI STOXX – Country Allocationas of January 30, 2004

  18. Content Dow Jones Sustainability World Index(DJSI World) Dow Jones STOXX Sustainability Index(DJSI STOXX) Dow Jones EURO STOXX Sustainability Index(DJSI EURO STOXX) Licenses & Assets

  19. DJSI EURO STOXX – Euro Performance and Risk (I)December 1998 - January 2004, EUR, Total Return Index • DJSI EURO STOXX/DJ EURO STOXX: • Correlation: 0.9867 Tracking Error: 5.10% • DJSI EURO STOXX Volatility: 25.45% DJ EURO STOXX Volatility: 22.12% -9.05% -11.48%

  20. DJSI EURO STOXX – Euro Performance and Risk (II)EUR, Total Return Index

  21. DJSI EURO STOXX – Market Sector Allocationas of January 30, 2004

  22. DJSI EURO STOXX – Country Allocationas of January 30, 2004

  23. Content Dow Jones Sustainability World Index(DJSI World) Dow Jones STOXX Sustainability Index(DJSI STOXX) Dow Jones EURO STOXX Sustainability Index(DJSI EURO STOXX) Licenses & Assets

  24. DJSI – Assets & Sold Licenses September 1999 - January 2004

  25. DJSI Licenseesas of January 31, 2004 Mandatum Asset Management (FI) Nikko Asset Management (JP) Oppenheim (DE) OP Fund Management Company (FI) Private Client Bank (CH) Raiffeisen (AT) Rabo Bank (UK) Rothschild & Cie Gestion (FR) Sagitta Wealth Management Limited (AU) SAM Sustainable Asset Management (CH) Sparinvest (DK) SPP (SE) State Street Global Advisors (US) Sustainable Performance Group (CH) Swiss Life Asset Management (CH) Synchrony Asset Management (CH) Theodoor Gilissen Bankiers (NL) UBS Global Asset Management (Japan) Ltd Union Investment (DE) WestLB (DE) VZ VermögensZentrum (CH) Zenit (IT) • Aegon (NL) • Baloise Insurance (CH) • BNL Gestioni (IT) • CIC Asset Management (FR) • Credit Suisse Asset Management (CH) • Credit Union Central Alberta (CA) • Credit Union Central of Ontario (CA) • Danske Invest / BG Invest (DK) • Dexia Asset Management (BE) • Deutsche Postbank (DE) • DWS (DE) • DZ Bank (DE) • Folksam Sak (SE) • Gerling Investment (DE) • Gestnord (IT) • HypoVereinsbank (DE) • Invesco (DE) • MEAG MUNICH ERGO (DE) • Kepler Fonds KAG (AT) • Merrill Lynch (UK)

  26. SAM Indexes Phone +41 1 395 2828 info@sustainability-indexes.com www.sustainability-indexes.com

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