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 Optimizer uses En-Roads, a global integrated resource assessment model based on a system of dynamic equations. En-Roads relies on multiple feedback loops to determine changes in future energy investment, capital expenditure, and supply costs impacting infrastructure related carbon emissions.


To build its Smart Climate family of indices, Entelligent computes sensitivities using the predicted returns of securities from En-Roads’ social-economic and policy scenario outputs. The Optimizer then tracks and follows long-term carbon emissions trajectories by making quarterly adjustments to portfolio security weightings using our optimization process.


Entelligent builds its indices by tilting the weighting of its securities toward a preferred emissions scenario without compromising returns and at the lowest possible turnover costs.

  1. Weight index components for high performance under specific climate change emission scenarios.
  2. Weight index components for best-of-class environmental, social, and governance (ESG) rankings.
  3. Weight index components to maximize financial returns and manage financial risks. 

Smart Climate 500 Index Family Overview

The Smart Climate 500 Index family uses a highly recognized large-cap benchmark as the parent index.

Smart Climate Base Emissions 500 Index (SC 500 Base)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that are minimally impacted by either low or high emission scenarios.
  • This index favorably weights companies that show low sensitivity to macroeconomic risks.

Smart Climate Low Emissions 500 Index (SC 500 Low)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that have higher performance under low emission scenarios.
  • This index favorably weights companies that perform well under robust environmental policy changes.

Smart Climate High Emissions 500 Index (SC 500 High)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that have higher performance under high emission scenarios.
  • This index favorably weights companies that perform well under lenient environment policy changes. 

Historical Performance Smart Climate 500 Indices:  2006-2017

Summary Observations

Over the 11-year period from 2006 to 2017, our SC 500 Base Index outperformed the benchmark SPDR S&P 500 ETF by 47%. The SC 500 Base Index 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.

The other two SC 500 Indices, SC Low and SC High, which are designed to optimize the universe of securities of the benchmark SPDR S&P 500 ETF under a low or high carbon emissions scenario respectively, outperform the benchmark by an even more significant degree. 

 

Smart Climate 1000 Index Family Overview

The Smart Climate 1000 Index family uses the Russel 1000 Index (INDEXRUSSELL: RUI) as the parent index.

 

Smart Climate Base Emissions 1000 Index (SC 1K Base)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that are minimally impacted by either low or high emission scenarios.
  • This index favorably weights 3 companies that show low sensitivity to socio- and macroeconomic risk usually associated with climate change.

Smart Climate Low Emissions 1000 Index (SC 1K Low)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that have higher performance under low emission scenarios.
  • This index favorably weights companies that perform well under robust environmental policy changes.

Smart Climate High Emissions 1000 Index (SC 1K High)

  • Designed to meet fundamental financial objectives while exhibiting bias for companies that have higher performance under high emission scenarios.
  • This index favorably weights companies that perform well under lenient environmental policies as well as high growth scenarios.

Historical Performance Smart Climate 1000 Indices: 2006-2017

Summary Observations

Over the 11-year period from 2006 to 2017, our SC 1000 Base Index outperformed the Russell 1000 by 85.1%. The SC 1000 Base Index 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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