UniCredit has unveiled a pair of Eurozone equity ETFs that deliver a factor-based strategy while incorporating environmental, social and governance (ESG) screening.
The funds, which have been listed on Deutsche Börse, are the UC EURO iSTOXX ESG-X Multi Factor UCITS ETF (ECBF GR) and the UC EURO STOXX ESG-X Minimum Variance UCITS ETF (ECBV GR).
Both funds track STOXX indices which are derived from the EURO STOXX Index universe of liquid, large-, mid- and small-cap companies from developed Eurozone countries.
ECBF is linked to the EURO iSTOXX ESG-X & Ex Nuclear Power Multi Factor Index and is designed to exploit sources of market-excess returns, so-called risk premia, whilst filtering out companies that do not comply with ESG principles.
The index is constructed with standardized ESG exclusion screens applied for UN Global Compact Principles, controversial weapons, thermal coal, nuclear power and tobacco producers. The index then seeks to diversify across the factors of profitability, earnings yield, leverage, value and low volatility (accomplished through a minimum variance objective), with constituent weights determined by a multi-factor optimization process.
ECBV is linked to the EURO STOXX ESG-X & Ex Nuclear Power Minimum Variance Unconstrained Index and takes the same approach to ESG screening while seeking to lower portfolio risk. The index applies the same standardized ESG exclusion screens for UN Global Compact Principles, controversial weapons, thermal coal, nuclear power and tobacco producers with constituent weights determined by a minimum variance optimization so as to lower portfolio volatility.
Both indices rely on risk factor data from Axioma and ESG analysis from Sustainalytics.
Vincenzo Spadaro, Global Head of Institutional Equity Derivatives, UniCredit, said, “In order to meet ESG investment criteria, asset owners need to look for solutions beyond the traditional market-cap-weighted index. With the launch of these ETFs, we are proving once again that we can respond flexibly to market developments and the demands of our clients.”
Willem Keogh, STOXX’s Head of ESG, Thematic and Factor Solutions, added, “We are delighted that UniCredit has decided to launch two ETFs on our indices, which combine two strong investment trends that have garnered growing assets and momentum in recent years – sustainability-based strategies on the one hand, and the passive and systematic exploitation of risk premia on the other.”
Both funds come with total expense ratios of 0.40% and have been approved for distribution in Austria, Germany, Italy, Luxembourg, and France. They have been issued by UniCredit’s wholly-owned Structured Invest S.A. subsidiary.
The listings follow the December launch of the UC MSCI European Green Bond EUR UCITS ETF – the first ETF to provide investors with access to a broadly diversified range of liquid euro-denominated green bonds from European issuers.