Sustainable (SUSTAIN) Large Cap Equity Fund Index Explained
The index, which was initiated as of June 30, 2017 with data back to December 31, 2016, tracks the total return performance of the ten largest actively managed large cap domestic equity mutual funds that employ a sustainable investing strategy beyond absolute reliance on exclusionary practices for religious, ethical or social reasons. While methodologies vary, to qualify for inclusion in the index, funds in excess of $50 million in net assets must actively apply environmental, social and governance (ESG) criteria to their investment processes and decision making. In tandem with their ESG integration strategy, funds may also employ exclusionary strategies along with impact oriented investment approaches as well as shareholder advocacy.
Effective December 31, 2018, only the largest single fund or share class managed by an investment management firm will be included in the index. Also, a fund with multiple share classes is only included in the index once, based on the largest share class in terms of net assets. The index is equally weighted, it is calculated monthly and rebalanced once a year as of December 31.
The Sustainable (SUSTAIN) Large Cap Equity Fund Index was reconstituted as of December 31, 2018 to reflect changes that occurred during 2018 in the profile of the sustainable US equity universe of mutual funds due to the expansion in the number of funds offered in this market segment by mainstream investment management firms and the expansion in the universe of available like funds from which to select the ten index constituents. As a result, the index was reconstituted to reflect the substitution of three large funds. These include the JPMorgan U.S. Equity Fund R6, Pioneer A and Putnam Sustainable Leaders A. These three funds replace Dreyfus Sustainable US Equity Fund Z, Parnassus Fund and Parnassus Endeavor Fund Investor Shares.
The combined assets associated with the ten funds stood at $45.8 billion and represent about 16.1% of the entire sustainable US equity sector that is comprised of 446 funds/share classes, including actively managed funds and index funds, with $283.8 billion in assets under management as of December 31, 2018.
Sustainable (SUSTAIN) Bond Fund Index Explained
This benchmark, which was initiated as of December 31, 2017, tracked the total return performance of the five largest actively managed investment-grade intermediate term bond mutual funds that employ a sustainable investing strategy beyond absolute reliance on exclusionary practices for religious, ethical or social reasons. While methodologies vary, to qualify for inclusion in the benchmark, funds in excess of $50 million in net assets must actively apply environmental, social and governance (ESG) criteria to their investment processes and decision making. In tandem with their ESG integration strategy, funds may also employ exclusionary strategies, impact oriented investment approaches as well as issuer-oriented advocacy.
Effective December 31, 2018, only the largest single fund or share class managed by an investment management firm will be included in the index. Also, a fund with multiple share classes is only included in the index once, based on the largest share class in terms of net assets. The index is equally weighted, it is calculated monthly and rebalanced once a year as of December 31.
At the time it was constructed as of December 31, 2017 less than 10 funds qualified under the criteria set forth above and for this reason to distinguish this measure from a more robust one in terms of number of constituent funds, the benchmark was referred to as an indicator rather than an index. The SUSTAIN Fixed Income Indicator was upgraded to an index with the addition of five actively managed sustainable fixed income funds that are pursuing investment-grade intermediate term mandates in line with the Bloomberg Barclays US Aggregate Index that, at the same time, employ a sustainable investing strategy beyond absolute reliance on exclusionary practices for religious, ethical or social reasons. The upgrade reflects changes that occurred during 2018 in the profile of the sustainable taxable fixed income universe of mutual funds due to the expansion in the number of funds offered in this market segment by mainstream investment management firms and the expansion in the universe of available like funds.
The SUSTAIN Fixed Income Index now consists of the ten largest qualifying funds, including the following mutual funds/share classes that have been added as of December 31, 2018: Morgan Stanley Institutional Core Plus Fixed Income Institutional Shares, Touchstone Impact Bond Institutional, Aberdeen Total Return Bond I, Parnassus Fixed Income and Domini Impact Bond Investor.
The combined assets associated with the ten funds stood at $7.5 billion and these funds account for 30.1% of the entire sustainable US taxable fixed income sector that is comprised of 208 funds/share classes, including actively managed funds and index funds for a total of $24.9 billion in assets under management as of December 31, 2018.
