Amundi is set to launch an environmental, social, and governance (ESG) version of its blockbuster French equity ETF – the €1.3 billion Amundi CAC 40 UCITS ETF (C4D FP). The fund is set to list on Euronext Paris in the coming weeks.
Fannie Wurtz, Head of ETF, Indexing & Smart Beta at Amundi.
Amundi has not yet released details of the fund’s ticker code or its expense ratio, although the asset manager’s regular CAC 40 ETF costs 0.25%.
Methodology
The fund will track the CAC 40 ESG Index which was developed by Euronext and officially launched in March 2021.
Powered by V.E (Vigeo Eiris), part of Moody’s ESG Solutions, the CAC 40 ESG Index screens the parent CAC Large 60 Index, a reference for the 60 largest companies listed in France, to identify the 40 companies with the best ESG practices.
Violators of UN Global Compact principles as well as companies with operations linked to tobacco, coal, tar sands, oil shale, civilian firearms, and controversial weapons are not eligible for inclusion.
V.E then assigns an ESG rating to each remaining firm in the CAC Large 60 universe. The rating incorporates 38 metrics across six ESG categories: environment, human rights, human resources, community involvement, business behaviour, and corporate governance. A firm’s performance across all 38 metrics is combined to produce an overall score between 0 and 100.
The 40 constituents with the highest ESG ratings are initially selected as prospective constituents of the index. This index is then evaluated to determine whether there has been an improvement in the weighted average carbon intensity and green-to-brown ratio (a measure of company revenue derived from ‘green’ products and services) compared to the parent universe. If either measure has deteriorated, the index will iteratively replace those securities with the lowest ESG scores with the next-eligible highest-ESG-scoring securities until both index measures have improved.
The final constituents are then weighted by float-adjusted market capitalization subject to an individual cap of 10%. Reconstitution and rebalancing occur on a quarterly basis with buffer rules helping to limit unnecessary turnover.
The index’s largest sector exposures are currently clothing & accessories, pharmaceuticals, electrical components, cosmetics, and banks, each accounting for a weight between 8% and 10%. Notable positions include LVMH (9.9%), Sanofi (8.7%), L’Oréal (8.3%), Schneider Electric (6.3%), Air Liquide (6.1%), and BNP Paribas (5.3%).
Fannie Wurtz, Head of ETF, Indexing & Smart Beta at Amundi, commented: “We strongly believe that ETFs and index management have a key role to play in the democratization of access to responsible investing and the support of a transition to a more sustainable world. We warmly welcome Euronext’s initiative and the launch of the CAC 40 ESG index, and we are delighted to be able to provide investors with access to this index through an ETF in the coming weeks.”
Stéphane Boujnah, CEO and Chairman of the Managing Board of Euronext, added: “We are honored to grant Amundi this CAC40 ESG license which, for Euronext, is an important step to accelerate the transition to a sustainable economy. The forthcoming Amundi ETF will allow investors to finance sustainable projects and companies in line with the UN Global Compact Principles and the SRI label for sustainable and responsible investment. As a leading index provider in Europe, we are delighted to contribute to the construction of a sustainable financial ecosystem.”