JUST Capital’s JULCD Index that Powers Goldman’s JUST ETF Has Outperformed the Russell 1000 Over the Last 5 Years

Earlier this month, JUST Capital released its 2022 Rankings of America’s Most JUST Companies, a comprehensive list of the largest, public U.S. companies ranked according to the public’s priorities. This year’s ranking model consisted of 20 core Issues determined through our survey research – from paying a living wage to creating a diverse, inclusive workplace to helping to combat climate change – across key stakeholders of business: workers, customers, communities, the environment, and shareholders. Broken down to 241 unique data points, these Issues form the basis by which JUST evaluates companies and serve as a scorecard for corporate America, providing unbiased data on how the largest U.S. companies perform on the issues that matter most today.

JUST Capital’s investable indexes and financial products – which enable investors to implement our research and methodology and drive dollars toward just companies – have demonstrated the investor case for just business behavior, showing that the companies prioritizing these core Issues can be more resilient over the long term. 

As of December 31, 2021, our flagship JUST U.S. Large Cap Diversified Index (JULCD) – composed of the top 50% of Russell 1000 companies in each industry, based on JUST Capital’s annual Rankings – has outperformed its benchmark by 6.17% since inception.

Tracking error of the JULCD Index relative to the Russell 1000 is 1.26, which indicates that the Index closely tracked its benchmark but delivered additional alpha from the top 50% of Russell 1000 companies in each industry, based on JUST Capital’s annual Rankings and methodology over the period on a cumulative basis.

The JULCD Index also provides the basis for the Goldman Sachs JUST U.S. Large Cap ETF (JUST ETF), which seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the JULCD.

With respect to purpose, the JULCD Index also delivers superior performance across all the stakeholders JUST evaluates, outperforming their Russell 1000 peers excluded from the Index when it comes to their workers, customers, communities, shareholders, and the environment. The charts below unpack this outperformance, each illustrating three components:

1. Range of company scores in the JUST 2022 Rankings, exclusive of outliers;
2. The interquartile range, which represents the middle 50% of scores between the 25th and 75th percentiles; and
3. The median as seen within the interquartile range. 

As we see below, the median score across each stakeholder is higher for JULCD constituents than it is for their non-JULCD peers, showing that these companies deliver value for their shareholders as well as the other key stakeholders they impact.

Workers (Rankings Weight: 39%)

Companies in the JULCD consistently outperform their peers in the Russell 1000 when it comes to delivering value to their workers, making up 39% of their overall scores in our Rankings. Their scores – which are determined by their performance on issues from paying a fair and living wage to prioritizing worker health and safety to working to advance diversity, equity, and inclusion – sit consistently higher than those of non-JULCD companies, with a median score of 63.7 vs the non-JULCD score of 44.5.

Compared to their peers, JULCD companies:

• Are 6% more likely to pay a living wage.
• Are 2 times more likely to disclose workforce demographics.
• Are 2.8 times more likely to have apprenticeship programs.

Communities (Rankings Weight: 20%)

In addition to serving their workers, companies in the JULCD also outshine their peers when it comes to delivering value to the communities in which they operate, both at home and abroad. This performance makes up 20% of a company’s overall scores in our Rankings. Their scores – which are determined by their performance on issues from creating U.S. jobs to upholding human rights in the supply chain to contributing to community development – sit consistently higher than those of non-JULCD companies, with a median score of 39.1 vs the non-JULCD score of 20.5.

Compared to their peers, JULCD companies:

• Employ 3.2 times more U.S. employees.
• Are 1.5 times more likely to have policies around human rights in their supply chain.
• Are 88% more likely to match employee charitable giving.

Shareholders & Governance (Rankings Weight: 19%)

Among the key stakeholders of a company is of course its shareholders, and 19% of a company’s scores in our Rankings is determined by how well a company both delivers values for those shareholders and prioritizes good governance. Their scores – which are determined by their performance on issues from acting ethically at the leadership level to delivering value to investors – sit consistently higher than those of non-JULCD companies, with a median score of 61.7 vs the non-JULCD score of 42.7.

Compared to their peers, JULCD companies:

• Are 2.4 times more likely to tie C-suite compensation to performance on ESG metrics.
• Have 1.2 times more women on their boards.
• Have 1.2% higher median Return on Equity.

Customers (Rankings Weight: 11%)

Rounding out the “S” in ESG is customers – who represent 11% of a company’s score in our Rankings – and the JULCD rises above the rest of the Russell 1000 in serving these key stakeholders as well. Their scores – which are determined by their performance on issues from protecting customer privacy to making products that benefit society – sit consistently higher than those of non-JULCD companies, with a median score of 43.5 vs the non-JULCD score of 32.8.

Compared to their peers, JULCD companies:

• Are 1.2 times more likely to have policies to oversee customer privacy.
• Are 1.4 times more likely to make products that benefit, rather than harm, society.

The Environment (Rankings Weight: 10%)

Also central to the JULCD’s outperformance is the efforts these companies make to reduce their environmental impact, making up 10% of their overall score in our Rankings. Their scores – which are determined by their performance on issues from minimizing pollution to developing sustainable products to helping combat climate change – sit consistently higher than those of non-JULCD companies, with a median score of 53.8 vs the non-JULCD score of 43.4.

Compared to their peers, JULCD companies:

• Emit 67% less CO2 per dollar of revenue.
• Use 3% more recycled materials. 

It’s clear JULCD constituent companies deliver value not only to their shareholders but all their stakeholders – demonstrating that strong performance on ESG issues does not need to come at a cost. Our Rankings represent a scorecard for just business behavior, and those that rise to the top show how just business behavior pays off in the long term.