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Sustainable Beta portfolios offer investors the opportunity to pursue specific sustainability outcomes without sacrificing returns. Sustainable Beta portfolios can be built in five markets (i.e. Australia, Canada, Europe, Japan and the United States) using four sustainability factors (i.e. Board Diversity, Carbon, Energy and Water). Other portfolio parameters include Normalizer, Weight Scheme and Rebalance Frequency. Users are invited to explore a wide range of Sustainable Beta portfolios that have been pre-built by Corporate Knights Capital using the portfolio construction tool below.

How to use this tool

This tool lets users build their own sustainable investment portfolio – and test how it would have performed in the market.

In order to use this tool, please follow the steps below:

Step 1. Select your Market. Portfolios can be constructed in five of the world’s most important equity markets.
Step 2. Select your Sustainability Factor. Portfolios can be built around five different sustainability factors, which have been selected based on their prevalence in corporate disclosures. Factors must be disclosed by at least 20% of all companies in a given market to be eligible for selection.
Step 3. Select your Normalizer. The tool will select firms for your portfolio that are in the top half of their GICS Sector based on the normalized sustainability factor. Portfolios built using the Board Diversity or Tax Factor cannot be normalized using sales or employees.
Step 4. Select your Weight Scheme. Options include market capitalization,market capitalization sector neutral, equal weight, equal weight sector neutral, max diversification, small max diversification and minimum variance
Step 5. Select your Rebalance Frequency. The tool uses four strategies: annual, semi-annual, quarterly and monthly. For portfolios with a Weight Scheme set to market capitalization only annual rebalancing is available.

Market

Factor

Normalizer

Must be set to None for the Board Diversity and Tax.

Weight Scheme

Rebalance Frequency

Must use Annual if Weight Scheme set to Market Capitalization.

GENERATE PORTFOLIO

Investors interested in building a Sustainable Beta portfolio with Corporate Knights Capital are invited to contact us at capital@corporateknights.com. Corporate Knights Capital also offers alternative portfolio solutions, including those that use sustainability factors beyond those offered in our Sustainable Beta series, and can tailor customized portfolios to meet specific investor objectives with respect to sustainability outcomes, risk allocation and other constraints.

Disclaimer: The above tool is a research exercise to simulate how certain strategies or portfolios would have performed in the past. It is a computer simulation and did not have any money invested. This tool is not a solicitation to buy/sell or otherwise trade in securities and is not investment advice. This research may or may not be suitable for you or any other investor and you should consult your financial adviser as to the suitability of any strategy. Past performance is not predictive of future performance.

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