ESG refers to three factors which are central to a class of investing also known as “sustainable investing.”
This approach to investing incorporates a detailed assessment of a business’s governance practices as well as of its long-term impact on society and the environment.
While these are mostly non-financial factors, businesses with higher ESG standards are considered to be less risky and more likely to succeed in the long run.
Actively managed global equity strategy available at very low, passive like, cost level
Focused on businesses with better than average ESG (environment, social,governance) scores…
…and with lower environmental footprints (carbon, energy, waste and water impact)
Diversified across all major developed market sectors and regions, with circa 650 direct stock holdings
Multi-style approach (growth, value, quality, size) designed to outperform MSCI World index
Strategy implemented by Robeco, a world class quantitative investment specialist
(* Revenue threshold for exclusion varies per activity but is 10% or less for all listed areas, except 30% in the case of nuclearpower (production))
Max overweight positions of 0.24% to the most attractive stocks in each sector and country, relative to the benchmark
Max underweight positions of 0.36% to the least attractive stocks.
Broadly neutral in terms of sectors, industry groups, regions, countries and beta, relative to the benchmark.
Portfolios are rebalanced monthly to ensure optimal exposure to the best-scoring stocks over time.
Approximately 650 individual stock holdings.
Active share of >40% (vs. 0% for passive index trackers)
Tracking error of approximately 1.0-1.5% versus MSCI World index.
The Global Equity Enhanced Index Fund (GEnIE) represents a well-diversified, low-cost global equity strategy that is actively managed and incorporates a strong sustainability bias.
The investment mandate has a focus on sustainability through explicitly controlling for ESG (environmental, social and governance) related factors and risks. Momentum Harmony have an integrated ESG approach which uses a combination of positive and negative screening to achieve a portfolio level ESG score that is at least 20% higher than the MSCI World index, whilst also delivering a minimum 20% reduction in environmental footprint across four dimensions: carbon, energy, waste and water.
Momentum Harmony also exclude all businesses that derive significant revenue from controversial activities such as the production of tobacco, coal, palm oil or nuclear power.
The portfolio holdings are well balanced across companies that exhibit value, momentum, quality and defensive characteristics, representing style factors which have each been proven to exhibit a positive risk premium over the long term.
Momentum Harmony believe this makes the Fund more likely to achieve long term outperformance versus the MSCI World benchmark.
This approach results in a well-diversified portfolio that has a substantial ‘active share’ relative to the MSCI World index, with less than 60% direct overlap with that benchmark in terms of position weightings. This is achieved through many small deviations from the benchmark weightings at the individual stock level, whilst deviations in overall sector and country weightings are tightly controlled in order to make efficient use of the risk budget.
The strategy is expected to exhibit a low tracking error versus the MSCI World index, of less than 2%.
The Fund is invested on a direct basis in individual equity securities, as opposed to following a multi-manager or fund of funds approach. This brings several advantages for clients including lower underlying management fees and full transparency of underlying holdings, as well as access to a bespoke strategy that is tailored for this fund.
All positions are selected and continuously reviewed based on a quantitative approach designed and implemented by Robeco, who were selected after extensive research and due diligence by the Momentum Harmony investment team.
Typical Fund Data
Exact Fund Composition Will Vary Over Time (Details Below Are As At June 2020)