Smart Climate™ Indices

Entelligent offers a suite of indices based upon climate change and varying patterns of energy usage and their effect on publicly traded securities. Our indices are designed to outperform various market benchmarks and can be tailored to individual client needs.

Smart Climate Indexing Methodology

Entelligent’s Smart Climate Indices are designed to significantly reduce the risk of climate change, and to increase investment performance, when compared to relevant well-known benchmarks.

Index calculations involve a 3-step process, beginning with En-Roads, a global integrated resource assessment model that constructs climate and energy simulations based on a system of dynamic equations.

In step one, simulations rely on multiple feedback loops to determine changes in future energy investment, capital expenditure and supply costs impacting global carbon emissions.

In step two, a separate financial simulation model forecasts the sensitivity of each security to varying carbon emissions scenarios based on historic sensitivity to varying energy input sources, and on the forecasts from step one, which are updated regularly.

In the final step, the optimization process makes adjustments to constituent weightings, over-weighting individual securities that demonstrate the least sensitivity to a baseline carbon emissions scenario, and under-weighting those with high sensitivity.

All Smart Climate indices are rebalanced on a quarterly basis.

Smart Climate 500 Index - SCLMX

The SCLMX Index uses a highly recognized large-cap benchmark as the parent index.

 

Historical Performance SCLMX:  2006-2017 

Summary Observations

Over the 11-year period from 2006 to 2017, the SCLMX Index outperformed the benchmark SPDR S&P 500 ETF by 47%. The SCLMX is designed to maximize performance while minimizing the sensitivity to projected high and low carbon emissions scenarios. It achieves this result with a 34% decrease in volatility compared to the benchmark, while also outperforming the benchmark's Treynor and Sharpe Ratios by 106.5% and 53.2% respectively.

Smart Climate 1000 Index - SCLMK

The SCLMK Index uses the Russel 1000 Index (INDEXRUSSELL: RUI) as the parent index.

 

Historical Performance SCLMK: 2006-2017 

Summary Observations

Over the 11-year period from 2006 to 2017, the SCLMK Index outperformed the Russell 1000 by 85.1%. The SCLMK is designed to maximize performance while minimizing the sensitivity to projected high and low carbon emissions scenarios. It achieves this result with significantly lower beta (0.91) compared to the  Russell 1000, while also outperforming the Treynor and Sharpe Ratios of the Russell 1000  by 54.85% and 76.74% respectively. 

 

 

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