In a large pot, heat the olive oil over medium heat. Add the shallot and cook until just soft. Add in the doced carrot and continue to cook for 5 minutes. Add the squash, cinnamon and sage. Cook for a minute, then add the vegetable broth. Bring to a boil and let it simmer for 15-20 minutes.
Once the squash is fork tender, turn the stove off and let the soup cool for a few minutes.
Use an emersion blender or transfer to a blender. Blend until smooth. Pour the soup back into the pot, and stir in the coconut milk. Season with salt and pepper to taste.