Solactive today announced the launch of the Solactive Sustainability Index Europe, which was developed with Deutsche Bank, and is designed to track the performance of environmentally and socially responsible European companies, based on the data-driven platform Arabesque S-Ray®.
Arabesque S-Ray® is the first tool of its kind that uses machine-learning and algorithm-based technology to rate companies on the principles of the United Nations Global Compact: Human Rights, Labour Rights, the Environment, and Anti-Corruption (GC Score).
The Solactive Sustainability Index Europe was established in response to investors’ growing appetite for incorporating environmental, social and governance (ESG) factors in their investment strategies. The index strategy seeks to achieve a lower volatility than the Solactive Europe 675 Index benchmark and a comparable dividend yield. It also includes specific dividend-yield filters and weighs the components based on volatility optimisation.
Timo Pfeiffer, Head of Research at Solactive AG, commented: “The Solactive Sustainability Index Europe allows investors to gain access to ESG-compliant companies, while minimising the overall portfolio risk, achieved thanks to volatility optimisation. We are thus combining two of the most sought-after concepts in capital markets with a clear value-add for investors. We look forward to continuing to work with our clients and partners to expand the Solactive ESG offering.”
Arabesque S-Ray® is a proprietary tool developed by Arabesque that analyses the sustainability performance of the world’s largest listed corporations, using machine-learning and data scores. The algorithm-based technology systematically combines over 500 environmental, social and governance (ESG) metrics with news signals from over 50,000 sources. Solactive then applies financial screens, such as liquidity and dividend-yield filters, to get to the final index composition.
Andreas Feiner, Head of ESG Research at Arabesque, said: “More than ever before, investors are asking for greater transparency around the sustainability of the companies they invest in. We are delighted to be partnering with Solactive to integrate Arabesque S-Ray®, our ESG data aggregator tool, into its new sustainability index.”
Sabine Roeder, Head of Global Investment Solutions Germany at Deutsche Bank, said: “The launch of the Solactive Sustainability Index Europe enables us to provide customised solutions for our clients and meet the growing global demand for sustainability investment products.”
Institutional investors such as asset managers, pension funds and foundations and increasingly private banks are incorporating environmental, social, and governance (ESG) investing into their strategies. The Solactive Sustainable Index Europe is calculated as Gross Total Return, Net Total Return, and Price Return index. The index is published in EUR. The composition is readjusted annually.