(Teleborsa) – TheESG ITA Growth IndexThe first specific index for the ESG assessment of SMEs listed on Euronext Growth Milan (EGM), i.e. the Borsa Italiana market dedicated to SMEs with high growth potential. The tool was created by the REPAiR Lab of SDA Bocconi School of Management (research and innovation laboratory dedicated to the study and promotion of sustainable finance), CRIF and Ambromobiliare.
“Having an index means having more ease of light a market cluster, to educate investors to use this type of instrument and lead to that reference fund of the liquid assets“, explained Michele Calcaterra, Senior Lecturer of Enterpreneurial Finance at SDA Bocconi School of Management. “We therefore did not stop to reflect on the fact that SMEs are an investment opportunity, but we created an index to be able to bring more liquidity to of them, also because we must not forget the importance of passive indices in investments today”, he added.
In the absence of shared evaluation paradigms and standards, CRIF with SDA Bocconi and Ambromobiliare have – first of all – defined the investable universe, through the application of the ESG score developed by CRIF on all companies listed on the EGM sector. The score leverages a data ecosystem that includes information of a public naturedocuments produced by the company or published by it (Sustainability Report, NFS), as well as risk maps of physics and transition and information on greenhouse gas emissions. The information assets are elaborated through models, macro-economic and climatic scenarios and sector benchmarks, as well as through machine learning methodologies and rules based on the experience of CRIF Ratings, the CRIF Credit Rating agency.
The second step concerned the identification of suitable companies through the application of 3 screening parameters: at Governance level based on the proprietary score developed by CRIF (about 50% of companies listed on the Euronext Growth Milan segment show a high level of attention to sustainable governance), Liquidity (excluding companies with too much trading low, which would not make them really investable) and Market Cap (with the definition of a capitalization level between 10 and 500 million euro).
“The ESG ITA Growth Index has been proposed in the Equally Weighted and Market Cap Weighted versions. Both versions of the index over a 14-month horizon – the minimum interval in which the back test analysis remains valid – return better performance than the traditional Italian indices referring to the same size segments, Medium and Small Cap Industries”, said Calcaterra.
Of the ESG ITA Growth Index they are part of: Nusco, Franchi Umberto Marmi, Grifal, Cover 50, ILPRA, GEL, Ecosuntek, Gibus, Sciuker Frames, Agricultural farms, ATON Green Storage, Labomar, Arterra Bioscience, Giglio.com, Trawell Co, Star Workshop, Convergences, Wells Milan, Askoll EVA, WELL YES, Racing Force, Take Offs, Pharmae, Confinvest, Stop, Intred, Fintec Math, Fope, ABTG, Unidata.