Sage launches Credit Index to track highly liquid ESG securities

Sage Advisory Services, a fixed income investment management firm, has launched the Sage ESG Intermediate Credit Index, with Wilshire Associates retained as index consultant and calculation agent. The index uses Sage’s proprietary ESG factor analysis framework and rules-based selection process. It is designed to maximize exposure to positive Environmental, Social& Governance (ESG) characteristics, while maintaining a high level of liquidity.

The index uses a three-pronged approach to select between 100-120 investment grade securities with a minimum tranche size of $500 million from the Barclay’s Intermediate Credit Bond Index, and an issuance date within the last three years.

To be selected, securities must meet a proprietary ESG score, fall within the top third of the group to which Sage categorizes them, and meet a controversy rating that flags to investors potential environment and social risks associated with the security.

ESG is rapidly gaining traction within both institutional and individual investors, and we’re seeing the positive impact of these conscious investments across a wide range of sectors and causes,” said Robert G. Smith, President and Chief Investment Officer at Sage Advisory. “With the Sage ESG Intermediate Credit Index, we’ll achieve our goal of providing an institutional quality index that further accelerates the momentum gained to date.

In a recent Sage study, the firm found that excess returns for ESG investing over the past 20 years have correlated positively with both growth and quality. Sage found that ESG excess returns do not have a close relationship with the size factor, and their relationship with low volatility has flipped since the financial crisis.

Sage launches Credit Index to track highly liquid ESG securities

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