FAQ: Custom Cryptocurrency Indexing Capabilities

Frequently Asked Questions
ESG Back-Testing: Backward Data Assumption Overview

Exploring S&P PACT™ Indices Weight Attribution

The S&P/BMV Total Mexico ESG Index: A New Benchmark for Sustainability and Investment

TalkingPoints: Capturing ESG in Brazil: The S&P/B3 Brazil ESG Index

FAQ: Custom Cryptocurrency Indexing Capabilities

  1. Who is your provider for cryptocurrency data?  Our cryptocurrency pricing and reference data is provided by Lukka, through their leading data products: Lukka Prime and Lukka Reference Data.  Lukka is the leading crypto asset software and data services provider for institutions, including fund administrators and fund auditors that serve over 160 active crypto funds today.  Founded in 2014, Lukka serves the largest digital asset institutions with middle and back office software and data solutions.
  2. What pricing is used as end of day for index calculation?  S&P Dow Jones Indices uses Lukka Prime Fair Market Value end-of-day prices for cryptocurrency index calculation.  This methodology is the first methodology designed specifically for determining the fair-value pricing of liquid crypto assets and is offered with institutional data quality standards.
  3. What is the Fair Market Value Pricing Methodology?  Lukka Prime Fair Market Value Pricing uses a proprietary methodology with both quantitative and qualitative factors to determine the primary market of each asset at any given time, in order to determine that asset’s fair market value.
  4. Why use Fair Market Value Pricing?  The Fair Market Value Pricing Methodology was designed to align to both GAAP and IFRS guidelines.  Additionally, Lukka Prime infrastructure and data quality adheres to the standards set by the AICPA for Service Organizations.  Lukka was the first AICPA SOC 1 Type 2 and AICPA SOC 2 Type 2 middle and back office crypto Service Organization.
  5. When are the cryptocurrency indices calculated?  The indices are calculated on the same day prices are captured. Currently, our standard end-of-day pricing is reported overnight at 3:30 a.m. EST.  Alternative capture times are available. Once the prices are captured, the S&P DJI system will perform index calculations and deliver index files. Index files will follow our standard file delivery format.
  6. Which cryptocurrencies are covered by Lukka?  Lukka Prime covers over 550 assets, representing the most liquid crypto assets, including the top-traded cryptocurrencies such as Bitcoin, Ethereum, Ripple, Tether, and Litecoin.  Prices are compiled from over 10 sources, including the largest and most trusted crypto exchanges, which represent the most liquidity.  Historical prices are available starting in 2014.

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Frequently Asked Questions
ESG Back-Testing: Backward Data Assumption Overview

  1. What does “Backward Data Assumption” mean with respect to ESG data?  Typically, when S&P DJI creates back-tested index data, we use data from relevant databases, or actual live data.  Examples include constituent-level data such as historical price, market capitalization, and corporate action data.  As ESG investing is still in the early stages of development, certain data points used to calculate S&P DJI’s ESG indices may not be available for the entire desired period of back-tested history.  In such cases, S&P DJI may employ a process called “Backward Data Assumption (or pulling back) of ESG data for the calculation of back-tested historical performance.

    “Backward Data Assumption” is a process that applies the earliest actual live data point available for an index constituent company to all prior historical instances in the index universe.  For example, if an index methodology requires all eligible constituents to have product involvement data, and actual product involvement data is only available for a company from 2015 forward, then S&P DJI will use the 2015 product involvement data for that company for the purposes of calculating back-tested data for the years 2010 through 2014.

  1. Why is “Backward Data Assumption” for ESG data sometimes necessary?  Employing the Backward Data Assumption technique generally provides a more indicative depiction of index characteristics and risk/return profile than would be provided by limiting back-tests to actual live data. The Backward Data Assumption also allows the hypothetical back-test to be extended over more historical years than would be feasible using only actual live data.

    Many ESG data providers started with limited coverage and have been increasing their historical coverage over the past few years, so creating back-tests that use only actual historical live data would often lead to unrepresentative index constituent characteristics.  Without Backward Data Assumption of ESG data, far fewer companies would be eligible for or selected from the index universe in the back test compared with the same index’s more recent and on-going index universe of eligible and selected constituents.

    Therefore, S&P DJI may employ a Backward Data Assumption methodology to provide a longer and more representative back-test period.

  2. Are any live index rebalances affected by the practices of Backward Data Assumption?  Actual live data is used in the rebalance calculation of an index immediately prior to launch and in all rebalances after the launch of the index.  Backward Data Assumption may only affect the historical back-test prior to then.
  3. Which indices have back-tested history that uses Backward Data Assumption?  S&P DJI uses Backward Assumption Data with respect to Sustainalytics and Arabesque data, and sometimes uses it with respect to data from Trucost and SAM, both part of S&P Global.  Therefore, back-tested history for indices that use data from any of those sources may be affected by the Backward Data Assumption method.

    The methodology and factsheets of any index that uses Backward Assumption Data in back-tested history will explicitly state so.  The methodology will include a table setting forth the specific data points and relevant time period for which Backward Data Assumption was used.

  4. When do indices typically have back-tested history that uses Backward Data Assumption of ESG data?  For indices launched from 2020 onward, Backward Data Assumption is used in all indices that use exclusionary screens based on Sustainalytics’ product involvement data and Arabesque’s United Nations Global Compact (UNGC) data.

    For indices launched prior to 2020, Backward Data Assumption of ESG exclusionary screen data was limited only to Sustainalytics and Arabesque data for historical rebalances prior to 2013.

    S&P DJI may also employ Backward Data Assumption to S&P DJI’s ESG Scores and/or Trucost datapoints, if based on historical coverage it is determined that attaining the index objective would be severely restricted otherwise.  Historical coverage is assessed year-by-year, both in terms of the number of constituents and weight of those constituents in the underlying universe.

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Exploring S&P PACT™ Indices Weight Attribution

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Ben Leale-Green

Associate Director, Research & Design, ESG Indices

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Barbara Velado

Senior Analyst, Research & Design ESG Indices

S&P Dow Jones Indices


We aim to provide transparency around the S&P PACT Indices (S&P Paris-Aligned & Climate Transition Indices), a sophisticated index solution to align with a 1.5°C trajectory (EU PAB and CTB Aligned) and mitigate a multifaceted range of potential financial risks, while assessing opportunities companies may face from climate change, as laid out by the Task Force on Climate-related Financial Disclosures (TCFD).

  • The S&P PACT Index weights, relative to the benchmark index, are attributable to an exclusion effect (whether a stock is eligible for the index) or reweighting effect (how a stock performs from a climate perspective), as seen in Exhibit 1.
  • The exclusion effect accounts for 30%-40% of active weights for the S&P Climate Transition (CT) Indices, while for the more ambitious S&P Paris-Aligned Climate (PA) Indices, exclusions account for 40%-60% of deviations from benchmark weights. The reweighting effect explains the remaining active share.
  • The reweighting effect is driven by climate and index construction factors, which is affected by the strength of constraint, climate datasets distributions, and climate factor correlations.
  • A company’s transition pathway, environmental score (as measured by the S&P DJI Environmental Score), physical risk, and high climate impact revenues are all key drivers of weighting S&P PACT Index constituents.
  • The high-quality climate factor diversification helps better understand transition risk, physical risk, and opportunities due to low correlations.
  • Eligible companies can be allocated a higher weight in the S&P PACT Indices by significantly reducing their carbon intensity year-on-year, disclosing more information regarding environmental policies and metrics, improving performance against environmental policies and metrics, divesting assets in locations highly exposed to physical risks, and reducing assets’ physical risk sensitivity factors.

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The S&P/BMV Total Mexico ESG Index: A New Benchmark for Sustainability and Investment

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Cristopher Anguiano

Senior Analyst, U.S. Equity Indices

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María Sánchez

Director, Sustainability Indices Product Management, Latin America


Indices that integrate environmental, social, and governance (ESG) data are moving from the margins to the mainstream, as investors increasingly seek to align their values with their investments.  A new type of ESG index is emerging to facilitate this change in Mexico: the S&P/BMV Total Mexico ESG Index.  Jointly developed by S&P Dow Jones Indices (S&P DJI) and the Mexican stock exchange (Bolsa Mexicana de Valores [BMV]), this index not only highlights strong ESG companies—as ESG indices have traditionally done—but it also enables investors to allocate to such companies without requiring them to take on major risks relative to the market.


In 1999, S&P DJI launched the first global ESG index, the Dow Jones SustainabilityTM World Index (DJSI World).  By including the top 10% of companies, industry by industry, according to their ESG performance, as determined by the Corporate Sustainability Assessment (CSA) conducted by SAM, part of S&P Global, this groundbreaking index encouraged companies to incorporate many ESG factors in their decisions, extending beyond short-term financial considerations.

In the years that followed, other indices, including regional versions of the DJSI World, and local indices, such as the S&P/BMV IPC Sustainable Index, were launched with this same philosophy in mind: to highlight best-in-class companies and thereby inspire companies to improve their ESG approaches in order to qualify for inclusion in these indices.

Though these indices have been successful and have indeed inspired companies to change in positive ways, aspects of their methodologies present challenges for many investors.  Some strategies can be too narrow for investors who want to remain broadly diversified.  Though many high-conviction investors use the narrow, best-in-class indices for investment, we saw a need from market participants for ESG indices with returns more in line with the broader market, while providing a more sustainable portfolio of companies.  An example of an index that launched in 2019 that typifies this investor-oriented methodology is the S&P 500® ESG Index.

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TalkingPoints: Capturing ESG in Brazil: The S&P/B3 Brazil ESG Index

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Silvia Kitchener

Director, Global Equity Indices, Latin America

To address the need for a broad market ESG benchmark in Brazil, S&P DJI and B3 joined forces to launch the S&P/B3 Brazil ESG Index. S&P DJI’s Silvia Kitchener and Iuri Rapoport from BTG Pactual sat down to discuss how this innovative index captures a more complete picture of ESG in Brazil, and how it could be used to address the growing demand for ESG solutions in the region.

  1. We know that there are many types of environmental, social, and governance (ESG) indices. What is the objective of the S&P/B3 Brazil ESG Index?

    Silvia: Correct; there are various ESG indices with different objectives. Some indices use the “best-in-class” approach like the Dow Jones Sustainability MILA Pacific Alliance Index, which selects the top 30% of companies by sustainability score within each GICS® sector. The focus here is to feature the companies with the best ESG practices and policies. Then, we have the S&P ESG Indices, which are designed to provide improved ESG representation while maintaining similar overall industry group weights as their underlying indices as in the case of the S&P 500® ESG Index.

    The objective of the S&P/B3 Brazil ESG Index is to serve as a broad representative index of the Brazilian equity market with an improved ESG profile and maintain similar overall industry group weights as the S&P Brazil BMI. The index does not focus on selecting companies based on their ESG scores; however, the score determines their representation in the index. This means that companies with higher ESG scores have a higher weight in the index. Companies with lower scores are incentivized to improve their programs, practices, and policies to help increase their scores and possibly their index weight.

  2. What has demand for ESG looked like in recent years, and how important do you think ESG will be moving forward?

    Iuri: Several studies have shown that companies with better ESG practices enhance long-term returns. In general, these companies develop resilient and solid businesses, as they are more capable of dealing with externalities and adapting to new consumer behavior and regulatory demands.

    The capitalist model has changed, and nowadays companies need to add value to a diverse spectrum of stakeholders—shareholders, employees, suppliers, local community members, and society. The urgency of ESG is a global societal commitment, as defined by the UN Sustainable Development Goals and Paris Agreement, and each individual and company must play their role in helping achieve a better, more sustainable world.

    We believe companies with better ESG practices will be investors’ priority in the long run.

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