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GAM Holding AG

PRI reporting framework 2017

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (A) Implementation: Screening

(A) Implementation: Screening

FI 07. Types of screening applied

07.1. Indicate the type of screening you conduct.

Select all that apply
Corporate (financial)
Corporate (non-financial)
Negative/exclusionary screening
Positive/best-in-class screening
Norms-based screening

07.2. Describe your approach to screening for internally managed active fixed income

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 stage of our progress as a PRI signatory, we find this approach works best for us across both fixed income and equities because we are targeting the companies / entities rather than a narrow separation by source of capital (equities / debt). We eschew pure negative screens; 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.

07.3. Additional information. [Optional]

FI 08. Negative screening - overview and rationale

08.1. Indicate why you conduct negative screening.

Corporate (financial)

Corporate (fin)

Corporate (non-financial)

Corporate (non-fin)

08.2. Describe your approach to ESG-based negative screening of issuers from your investable universe.

The ESG screening criteria we deploy across GAM is 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.

As stated in FI07.02 we eschew pure negative screens. We prefer to combine quantitative screens with the qualitative judgement of our investment managers. Therefore the screen for the worst ESG rated companies is used to identify warning flags for our managers.

08.3. Additional information. [Optional]

If, however, specific, additional screens are required by our clients, we are happy to accommodate such requests. We already do this for some of our clients wo invest via segregated mandates.

FI 09. Examples of ESG factors in screening process (Private)

FI 10. Screening - ensuring criteria are met

10.1. Indicate which systems your organisation has to ensure that fund screening criteria are not breached in fixed income investments.

Type of screening
Negative/exclusionary screening?

10.2. Additional information. [Optional]