Credit Suisse Asset Management has launched a new ETF in Europe providing socially responsible exposure to the German equity market.
Valerio Schmitz-Esser, Head of Index Solutions at Credit Suisse Asset Management.
The CSIF (IE) DAX 50 ESG Blue UCITS ETF has listed on Deutsche Börse (CSYX GR) and SIX Swiss Exchange (DXESG SW) and trades in euros.
It is referenced to the DAX 50 ESG Index, an index created by Qontigo and designed to deliver an enhanced ESG profile compared to traditional DAX-family benchmarks while offering similar risk-return characteristics.
Constituents are selected from the HDAX universe which groups all equities that belong to either the large-cap DAX, the mid-cap MDAX, or the technology-focused TecDAX indices. The universe currently consists of 98 stocks.
The methodology harnesses insights from ESG analytics firm Sustainalytics to exclude companies that are involved with controversial weapons, tobacco, thermal coal, nuclear power, and military contracts, as well as those that are in violation of UN Global Compact Principles.
The remaining constituents are then assigned an ESG score that incorporates over 70 core and industry-specific indicators.
The assessment is structured within four dimensions: preparedness, an assessment of company management systems and policies designed to manage material ESG risks; disclosure, an assessment of whether company reporting meets international best practice standards and is transparent with respect to most material ESG issues; quantitative performance, an assessment of company ESG performance based on quantitative metrics such as carbon intensity; and qualitative performance, an assessment of company ESG performance based on the analysis of controversial incidents that the company may be involved in.
The rating also uses a “best-of-sector” analysis to compare companies within a given sector to industry best practices. Underlying each industry group template is a customized weight matrix designed to further highlight the key ESG issues faced by each sector.
Securities are ranked according to a combined score across three parameters: their ESG score, order book volume, and free-float market capitalization. The 50 top-ranked companies are selected for inclusion and weighted by free-float market capitalization subject to a single stock cap of 7%.
The index is reconstituted and rebalanced on a quarterly basis. DAX fast-exit and fast-entry rules apply including any sustainability breaches.
Valerio Schmitz-Esser, Head of Index Solutions at Credit Suisse Asset Management, said: “Our new ETF on the DAX 50 ESG allows investors to participate in the growth of Europe’s largest economy while respecting the environmental, social, and governance standards defined by the index methodology. Today’s launch underlines the importance of the German market for Credit Suisse Asset Management in general and our index business in particular.”
Stephan Flaegel, Chief Product Officer, Index, at Qontigo, added: “Financial instruments that meet environmental, social, and governance requirements have enjoyed steadily growing demand in recent years. We are very pleased that Credit Suisse Asset Management has chosen the DAX 50 ESG Index as an underlying for their new ETF. The methodology is designed to ensure an ESG index whose liquidity and risk-return characteristics are similar to those of the flagship DAX while drawing from a broader universe.”
The ETF comes with an expense ratio of 0.12%, making it the cheapest fund in Europe tracking the DAX 50 ESG Index.
Other funds linked to the index include the Lyxor 1 DAX 50 ESG UCITS ETF (E909 GY), which houses €120 million in assets and comes with an expense ratio of 0.15%, and the Amundi DAX 50 ESG UCITS ETF (DECD GY), which has €5m AUM and costs 0.19%.