Multi-factor reference

Bloomberg and Rockefeller AM Launch an Index Focused on Companies’ ESG Improvement

Date: 26 Jan 2021 · 08:45

Pixabay CC0 Public Domain. Bloomberg y Rockefeller AM lanzan índice de mejora de ESG

The Bloomberg Rockefeller U.S. All Cap Multi-Factor ESG Improvers Index, available through the Bloomberg Terminal
This multi-factor reference ranks a company's improvement in performance on material ESG issues relative to industry peers
The index incorporates shareholder engagement techniques that help create shareholder value and catalyze positive change

Bloomberg and Rockefeller Asset Management announced the launch of the Bloomberg Rockefeller U.S. All Cap Multi-Factor ESG Improvers Index, available through the Bloomberg Terminal. The index combines Bloomberg’s renowned risk model, data, and index capabilities with 40 years of ESG expertise from Rockefeller AM.

Both firms pointed out in a press release that, unlike other ESG indices that emphasize screening around ESG leaders or laggards, this one ranks a company’s improvement in performance on material ESG issues relative to industry peers. It also combines the Rockefeller ESG Improvers Score^TM, an uncorrelated and proprietary alpha enhancing factor, with quality and low volatility factors to pursue outperformance over traditional market-cap weighted indices with low tracking error and minimal sector or other factor deviations. They also stated that another distinctive aspect of the index is that it incorporates shareholder engagement techniques that help create shareholder value and catalyze positive change.

“We believe that investors will increasingly differentiate between ESG leaders and improvers – firms showing the greatest improvement in their ESG footprint. And that the latter offers a greater potential for generating uncorrelated alpha over the long-term,” said Casey Clark, Managing Director and Global Head of ESG Investments at Rockefeller Asset Management.

Meanwhile, Alan Campbell, Head of Index Product Management at Bloomberg, claimed that institutional investors are focusing now on underlying ESG factors and trends, so they are expanding their index offering to include ESG improvers. “Together with Rockefeller we are providing investors with a product that captures high quality and low volatility companies that exhibit positive ESG momentum.”

Lastly, Chip Montgomery, Managing Director and Head of Business Strategy & Corporate Development at Rockefeller AM highlighted that given Bloomberg’s history as a multi-asset index provider, and their experience in the ESG space, they “felt this was a natural partnership to bring ESG Improvers benchmarks to the market”.

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