The following rules and methodology govern the selection of companies for, and maintenance of, the SerenityShares Impact Index. For additional details regarding the 20 social, societal, and environmental themes governing the index, please click here
About the Constituents
- Beginning with a universe of all 6500+ firms listed on the NYSE and NASDAQ stock exchanges, we run a variety of screens detailed below and then review the profiles of the remaining companies to identify whether the firms offer products or services that solve or provide a beneficial impact to the identified social, societal, and environmental challenges we have defined.
- To ensure that the holdings in the underlying index have ample liquidity for a publicly traded fund and the asset levels it could attract, we initially eliminate all companies with a market cap less than $1.5 billion.
- Following best indexing design practices, companies with a share price less than $5 and an average daily liquidity of less than $1 million are also excluded.
- Firms operating in specific industries that have a detrimental impact to the identified societal, social, or environmental challenges—tobacco, weapons, coal and fossil fuels—are removed.
- The remaining firms are reviewed one-by-one to identify which challenge/theme they address. Some, like retail stores or casual dining restaurants, are excluded because they do not address one of the defined challenges or themes. Others require more detailed analysis. For example, while a pipe manufacture operates in the water industry, they do not necessarily have an impact on increasing the clean water supply or reducing water waste; they simply operate in an area of interest. The result, as of 1 February 2017 (the live launch date for the SerenityShares Impact Index) produced 115 firms.
The SerenityShares IMPACT Index is calculated using a modified market capitalization weighting methodology. As part of this methodology, company weights are capped to ensure that no company’s weight dominates the index. In addition, To ensure all companies in the portfolio have a meaningful representation, a minimum percentage weighting is applied
Maintenance of the Index: Mergers, Dividends, Share Changes
- In the event of a merger between two components, the share weight of the surviving entity may be adjusted to account for any shares issued in the acquisition.
- SerenityShares may substitute components or change the number of issues included in the SerenityShares IMPACT Index, based on changing conditions in the marketplace or in the event of certain types of corporate actions, including mergers, acquisitions, spin-offs and reorganizations.
- In the event of component or share weight changes to the SerenityShares Impact Index portfolio, the payment of dividends other than ordinary cash dividends, spin-offs, rights offerings, re-capitalizations or other corporate actions affecting a component of the SSI Impact Index, the SerenityShares Impact Index divisor may be adjusted to ensure that there are no changes to the SerenityShares Impact Index level as a result of nonmarket forces.
- For changes in a component’s shares outstanding greater than 5% due to a merger, acquisition or spin-off, an adjustment will be made effective after the close on the effective date of the corporate action. Share changes less than 5% are made during the scheduled quarterly updates to the SerenityShares Impact Index.
Review Frequency: Annual / Rebalance Frequency: Quarterly
Changes to the SerenityShares IMPACT Index composition and/or the component share weights in the SerenityShares IMPACT Index typically take effect after the close of trading on the next to last business day of each calendar quarter month (Rebalance Date) – March, June, September, December. The components and weights will be determined and announced at the close of trading two days prior to the Rebalance Date. In conjunction with the quarterly review, the share weights used in the calculation of the SerenityShares IMPACT Index are updated based upon current shares.