Appendix

Definitions

Ethics Premium (five-year): The overall advantage observed for the World’s Most Ethical Companies cohort versus the benchmark, reflected across market performance, drawdown resilience/recovery, and intangible-value indicators reported in this analysis.

GTR (Gross Total Return): Total return series assuming reinvestment of distributions; used for the cohort performance line.

Benchmark (SGMACUT): Solactive GBS Global Markets All Cap USD Index, Total Return.

pp: Percentage points.

Max drawdown: Largest peak-to-trough decline during the period.

Recovery time: Time to return to the prior peak after the drawdown trough.

Time underwater: Time spent below the prior peak during the drawdown episode.

Rolling 12-month excess return: Cohort 12-month return minus benchmark 12-month return for each rolling 12-month window.

Up capture / Down capture: Relative performance in months when the benchmark is up/down.

Data and Methodology

What the Ethics Premium analysis covers

Cohort: 2026 World’s Most Ethical Companies honorees (publicly traded constituents included in the index construction)
Time period: Jan 1, 2021 to Dec 31, 2025
Frequency: Daily index levels
Return series used for publication: Ethics Premium GTR compared to SGMACUT (Total Return)

Portfolio construction

Market capitalization screen: greater than $3B USD
Liquidity screen applied
Weights assigned by market capitalization
Weights capped at 8% and redistributed pro rata
Selection day: last business day of March
Rebalance day: fifth business day of April

Benchmark

Solactive GBS Global Markets All Cap USD Index, Total Return
This is a cohort-level historical comparison and does not imply causation or provide investment advice
All company-level data in this report is presented in aggregate; no individual company results are disclosed

Methodology

Ethisphere measured stock performance over January 1, 2021–December 31, 2025 for all publicly traded companies in the 2026 honoree cohort. Eighty-five percent of 2026 honorees are publicly traded. A peer index was constructed using companies with market capitalization above $3B and average traded value above $5M, weighted by market capitalization with weights capped at 8% and redistributed pro rata. The index selection and rebalance occur the last business day of March and the fifth business day of April. The benchmark used is the Solactive GBS Global Markets All Cap USD Index, Total Return.