Exchange-Traded Funds (ETFs) don’t just have to follow mainstream market-cap weighted benchmarks. Candriam has launched IndexIQ – a range of highly innovative, smart beta equity and bond ETFs that only invest in sustainable issuers. KOEN VAN DE MAELE, Global Head of Investment Solutions at Candriam and a member of the company’s Executive Committee, explains how a multi-factor approach to sustainable investing can improve a portfolio’s risk-return profile.
In this report, SRI team analysed and scored 123 countries in terms of how sustainably they manage their Human, Natural, Social and Economic Capital.
74 countries were categorised as investible and 49 were categorised as non investible.
This document describes the ESG characteristics of the indices that are replicated in the IndexIQ ETF fund range. These indices integrate Candriam's SRI screening and hence, the ESG profile of the index is expected to improve compared to the widely used market capitalization based indices.
This paper proposes an alternative way of investing in euro sovereign bonds. First, the universe is extended to all European sovereign bonds issued in euro. Secondly, it is suggested that countries that don’t pass Candriam’s SRI Sovereign analysis be eliminated. Lastly, the eligible countries are weighted according to fundamental criteria combined with factor tilts.
In this paper, we discuss how investors seeking to match or outperform broad equity markets, but who also want to invest sustainably, can achieve superior risk-adjusted returns by applying a combination of SRI filters and factor investingThe two-step methodology, and its effect on portfolio construction and investment outcomes, is applied to European, Japanese and US equity markets.
Factor investing is yet to be widely applied to the corporate bond market, despite emerging evidence it leads to superior risk-adjusted returns. By adapting index weighting to exploit behavioural bias and anomalies in market structure, factor investing can reduce risk and boost yields. Adding SRI filters further enables investors to exploit opportunities and mitigate risks related to sustainability. We demonstrate the impact of this combined approach on portfolio construction and performance, in Euro-denominated and USD corporate bond markets.