NUMV

NUMV aims to invest in the most socially responsible companies while still providing reasonably market-like exposure to mid-cap value stocks. The index takes its holdings from the MSCI USA Mid-Cap Value Index (the parent index), which selects value stocks according to price/book, forward price/earnings, and dividend yield. From there, NUMV screens out companies involved in controversial businesses, such as alcohol, weapons, nuclear power, and gambling. Companies that exceed carbon emissions thresholds are also excluded. The remaining firms are scored on ESG factors, and the highest scoring firms within each sector (top 50% by market cap) are selected for inclusion in the index. The portfolio is weighted according to a multi-factor optimization algorithm that aims to keep holdings and performance similar to the parent index. The index is rebalanced and reconstituted quarterly starting each February. Sibling fund NULV applies the same strategy to US large caps.