Momentum Harmony Global Enhanced Index Equity Fund (GEnIE) An ESG Integrated, Direct Equity portfolio

Momentum Harmony Management Commentary Regarding The Global Equity Enhanced Index Fund (GEnIE) Fund

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.