S&P ESG Index Series

S&P 500 ESG Index®

Integrating ESG Values into the CoreThe S&P 500 ESG Index measures theS&P 500 with an ESG lens. The index
has historically maintained a risk/return
profile similar to that of the S&P 500.

S&P 500

Exclude companies involved in thermal coal, tobacco, small arms,military contracting, controversial weapons, and oil sands, as well ascompanies classified as non-compliant with UNGC, in addition to thebottom 25% of companies within the GICS industry groups,
as ranked by S&P Global ESG Scores.

Using S&P Global ESG Scores and various
sustainability exclusions, the index ranks
and selects eligible companies, targeting
75% of the market capitalization ineach S&P 500 GICS® industry group.

Rank companies by S&P Global ESG Scores. Select top-ranked
constituents, targeting 75% of the market cap in each S&P 500 GICS
industry group, with the goal of achieving broadly sector
neutral exposure relative to the S&P 500.

S&P Global ESG Scores are unique inthat they focus on the most financiallymaterial and relevant sustainability
signals within specific industries.

Weight companies by float-adjusted market capitalization.

S&P 500 ESG Index

Index Characteristics

Sector Exposures
29.2

Information Technology
Financials

13.1
12.9

Health Care

12.3
12.6

32.1

10.3
11.4

Consumer Discretionary
Communication Services

9.1
8.9

Industrials

7.0

8.8

Consumer Staples

6.2
5.9

S&P 500

S&P 500
ESG Index

ESG Score Improvement (%)-4.60

Realized ESG Potential (%)-11.87

Data prior to the open on May 1, 2024.

Five-Year Historical Performance (USD)

4.1
3.6

EnergyMetricMetricS&P 500

S&P 500
ESG Index

No. of Constituents

503324

Materials

2.4
2.2

Annualized Returns (%)

13.19

14.75

Utilities

2.3
1.4

Standard Deviation (%)

18.5

18.58

Real Estate

2.2
2.2

Risk-Adjusted Returns

0.71

0.79

Tracking Error (%, ESG Index
vs. Benchmark)

-1.34

05

1015S&P 500

202530
S&P 500 ESG

35

Data prior to the open on May 1, 2024.

Source: S&P Dow Jones Indices LLC. Data prior to the open on May 1, 2024.
Index and sector composite “ESG Score Improvement” are calculated as the percentage difference between the index/sector ESG scores of theS&P 500 ESG Index and the S&P 500, relative to the index/sector’s maximum potential improvement, based on only investing in the single highest
ranked ESG scoring company in the index/sector. The S&P 500 ESG Index was launched Jan. 28, 2019. All data prior to index launch date is back-tested
hypothetical data. Past performance is no guarantee of future results. Chart and tables are provided for illustrative purposes and reflect hypothetical
historical performance. Please see the Performance Disclosure linked at the end of this document for more information regarding the inherent limitations
associated with back-tested performance.

Some Examples of S&P 500 ESG Index Benefits
Environmental

SocialClimate Strategy

Talent Attraction and Retention

11%

10%

higher exposure to companies thathave climate-related issues integrated
into overall risk management; identified
climate change risks and opportunities;
reported on emission reduction activities;
provided low-carbon products and/orenabled a third party to avoid GHG
emissions (avoided emissions); targets
and initiatives in place to reduce
the emissions; provided incentives
for achieving targets in relation to
management of climate change issues.

Environmental Policy andManagement Systems

9%higher exposure to companies that havea public environmental policy covering
operations, corporate processes andsupply chain; and have a certified andaudited Environmental Management
System; have disclosed significant
fines or penalties paid relating
to the environment or ecology.

Product Stewardship8%higher exposure to companies thatconsider environmental criteria inthe development of new products(and services); disclose environmental
impacts covered by product life cycle
assessment, percent of raw materials
used from renewable resources(natural or bio-based); have disclosed
a commitment to reduce or phase-out
hazardous substances in its products
and disclose resource efficiency
benefits during their use phaseto customers and consumers.

Governanceand Economics

higher exposure to companies that
disclose the type and coverage of theindividual performance appraisals used
for individual performance-relatedcompensation; provide long-term
incentives (tied to an employee’sperformance) for employees below thesenior management level (more than twomanagement levels away from the CEO);have a percentage of actively DC engaged
employees and have implemented arecognized and scaled approach tomeasuring actively engaged employees.

Information Security/ Cybersecurity
and System Availability

11%higher exposure to companies that haveprocesses in place to prevent IT systeminterruptions and cyberattacks; a director
on the board with relevant backgroundengaged on the cybersecurity strategy
process; implemented policies andprocedures for all employees to ensurethat they are aware of threat issues
and the importance of information
security/cybersecurity; have beensuccessful in managing information
security/cybersecurity risks.

Human Capital Development

Risk and Crisis Management

10%

11%

have exposure to companies thatquantitatively measure the benefits
from their investments linked to
specific employee development
programs, including estimating
the cost savings and the increasein sales per monetary unit spent.

Occupational Health and Safety

9%higher exposure to companies that
ensure effective governance of healthrisks and have made their health andsafety performance indicators(specifically work-related injuries)
publicly available and externallyverified, including employees
and contractors.

higher exposure to companies that
promote and enhance an effective risk
culture throughout their organizations;have identified long-term emerging
risks that have a significant impact
on business in future; have taken
mitigating actions in light of theserisks; perform sensitivity analysis
and stress testing on a group level,
including risks related to climatechange and water availability
and/or quality.

Policy Influence

11%

higher exposure to companies that publicly
disclose their monetary contributions
to and spending for political campaigns,
political organizations, lobbyists,
or lobbying organizations.

Source: S&P Dow Jones Indices LLC. These are just a few examples of the numerous ways in which the S&P 500 ESG Index offers enhanced ESG
representation. Increased index exposure to each ESG theme in the metrics above are calculated using the question-level data in S&P Global’s Corporate
Sustainability Assessments (2023 methodology year). These metrics are calculated using index data prior to the open on May 1, 2024, as the percentage
difference between the performance of the S&P 500 ESG Index and its underlying index constituents across these metrics, on a weighted average basis.
Chart is provided for illustrative purposes.
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