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GAM Holding AG

PRI reporting framework 2017

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You are in Direct - Listed Equity Incorporation » ESG incorporation in actively managed listed equities » Implementation processes » (A) Implementation: Screening

(A) Implementation: Screening

LEI 06. Types of screening applied

06.1. Indicate and describe the type of screening you apply to your internally managed active listed equities.

Type of screening

Screened by

Description

Based on data and research from our appointed ESG specialist data provider, Sustainalytics, we identify the worst ESG rated companies globally from their universe coverage and, if we hold any of these companies in our portfolios, our investment managers provide us with their investment rationale on whether those ESG factors represent a material risk to the investment performance of those companies overall. At this level, and at this stage of our progress as a PRI signatory, we find this approach works for us across both fixed income and equities because we are targeting the companies / entities rather narrowly separating by source of capital (equities / debt). We eschew pure negative screens; based on our philosophy, we believe it is best practice to combine the initial quantitative negative screens with the qualitative judgement of our expert investment managers. If, however, screens are specifically required by our clients, we are happy to accommodate such requests. We already do this for some of our clients who invest via segregated mandates. Over time, as we carry out more research into how ESG factors can help improve investment performance, we will evolve our responsible investment framework to reflect our thinking.

06.2. Describe how the screening criteria are established, how often the criteria are reviewed and how you notify clients and/or beneficiaries when changes are made.

The screening criteria are based on 175 indicators, data on which is collected and monitored by Sustainalytics. They have a historical database that goes back to 2009, of which we are able to make use. Sustainalytics has been appointed to be our group-wide ESG data provider and we have agreed the development of the first screen of the worst (bottom 5%) ESG rated companies in their universe. Each quarter, we will screen all our portfolios to check if any of those companies are held, either as equity or debt. If this is the case, our managers will review their investment rationale for these companies. They will consider whether the ESG risks would, on balance, have a financially material impact on investment performance.  Their investment decisions are recorded to create a reportable audit trail.

The criteria is reviewed each quarter and more frequently if new information is received intra quarter. We do not notify clients and/or beneficiaries on a regular basis as these screens form part of our investment processes, which may evolve from time to time. We can however, share information on request.


LEI 07. Processes to ensure screening is based on robust analysis

07.1. Indicate which processes your organisation uses to ensure screening is based on robust analysis.

07.2. Additional information. [Optional]

During the quarterly screening review of poorly rated ESG companies, the external research and data used by Sustainalytics to identify companies to be excluded / included is subject to additional assessment by the members of the Responsible Investment Working Group and reviewed together with the portfolio managers.


LEI 08. Processes to ensure fund criteria are not breached (Private)


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