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Dana Investment Advisors

PRI reporting framework 2018

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You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income

アクティブ運用している債券におけるESGの組み入れ

実施プロセス

FI 01. Incorporation strategies applied

01.1. 以下を記載してください。 (1)組織でアクティブ運用する債券投資について、どのESG組み入れ戦略や組み合わせを使用しているか(2)各戦略が適用されるアクティブ運用債券投資合計の割合(+/- 5%)

社債(金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
社債(非金融)
0 スクリーニングのみ
0 テーマのみ
0 統合のみ
100 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%
証券化商品
0 スクリーニングのみ
0 テーマのみ
100 統合のみ
0 スクリーニング + 統合戦略
0 テーマ + 統合戦略
0 スクリーニング + テーマ戦略
0 3つの戦略すべての組み合わせ
0 組み入れ戦略を適用していない
100%

01.2. 特定のESG組み入れ戦略を選択している主な理由と、使用する戦略の組み合わせを説明してください。

Corporate Bond Strategies include both financials and nonfinancials. ESG integration is used for risk reduction and alpha generation (i.e. potential credit upgrades). Fully integrated ESG Strategies have outperformed benchmarks since inception. Social screens (exclusions) are often client driven values that we incorporate in our ESG Strategies. Many of our clients are mission-oriented and embedding these social values is critical. For the securitized component of our short duration product, we allocate to Small Business Administration (SBA) loan pools, currently 15% of that Strategy. These loans often have a social thematic component, serving underbanked, low income or minority owned businesses.

01.3. 補足情報 [任意]


FI 02. ESG issues and issuer research

02.1. 発行体に対する分析の一部として体系的に調査するESG要因を明示してください。

社債(金融)
社債(非金融)
証券化商品
環境データ
社会的データ
ガバナンスデータ

02.2. 入ってくるESG情報のフォーマットと主な情報源を明示してください。

この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください
この情報の提供者を説明してください

02.3. 使用されているESG情報を簡単に説明してください。ESG組み入れ戦略全体における情報源の違いを明らかにしてください。

We utilize a variety of third party vendors for ESG information, including ISS, MSCI, Trucost, Bloomberg, Sustainalytics, Center for Political Accountability, CDP, and CSRHub. From most of our vendors, we use selected raw data and scores within our proprietary quantitative ESG models. Our FI Strategies are customized for a variety of clients. We have clients that exclude U.S. Treasuries from their portfolios due to defense funding. In these cases the Corporate Bond and SBA allocations are higher.

02.4. 補足情報 [任意]


FI 03. Processes to ensure analysis is robust

03.1. 組織のESG調査プロセスの堅牢性を確保する方法を記載してください。

03.2. ESG情報または分析を投資チーム内で共有する方法を記載してください。

03.3. 補足情報 [任意]

Portfolio managers meet regulary at Fixed Income Committee meetings and discuss any material changes and potential trades and rationales.


A) 実施:スクリーニング

FI 04. Types of screening applied

04.1. 実施するスクリーニングの種類を記載してください。

当てはまる項目を全てを選択してください
社債(金融)
社債(非金融)
ネガティブ/ 排他的スクリーニング
ポジティブ/業界最高のスクリーニング
基準に基づくスクリーニング

04.2. 組織内でアクティブ運用している債券に適用するスクリーニングのアプローチを記載してください。

We utilize a proprietary quantitative model that draws on over 120 E, S and G factors from third party vendors. Environmental factors include a variety of climate change impacts, metrics, and targets (i.e. direct and indirect GHG emissions, regulatory actions or fines, disclosures and policies. Examples of Social criteria include various measures of workforce diversity, human rights policies, product and workplace safety, labor rights and policies, animal testing. Governance issues include auditing & accounting policies, board composition and independence metrics, CEO compensation (with absolute limits, not only relative). Negative screens include Adult Entertainment, Alcohol Manufacturing with revenue bands for inputs and wholesaling, Gambling, Military & Weapons (nuclear, landmines, cluster munitions, firearms or ammunition manufacturing; revenue bands for conventional weapons), Tobacco (revenue bands for tobacco supplier). Our Corporate Fixed Income Strategies exclude fossil fuel companies.

 

 

 

04.3. 補足情報 [任意]


FI 05. Negative screening - overview and rationale

05.1. ネガティブスクリーニングを実行する理由を明示してください。

社債(金融)

社債(金融)

社債(非金融)

社債(非金融)

05.2. 投資ユニバースから発行体についてESGベースのネガティブスクリーニングを行うアプローチについて説明してください。

We provide social screening (exclusions) to help clients align their mission with their investments. At times there is a bottom line component as well. For example, we exclude gun manufacturers and retail chains that distribute guns. This issue has garnered increasing reputational risk and has potential revenue implications for companies. Limiting or excluding fossil fuel exposure also has a bottom line aspect as we transition to a low carbon economy.

We also provide Catholic screening that incorporates United States Conference of Catholic Bishops (USCCB) guidelines.

05.3. 補足情報 [任意]


FI 06. Examples of ESG factors in screening process

06.1. スクリーニング条件に含まれているESG要因の例を挙げてください。

種類

ESG要因

スクリーニング

スクリーニングの説明

ESG rankings impacting our corporate bank holdings by identifying issues with higher ethical ranks (lower incidences of violations) and lower lending to certain industries (i.e. defense, guns)

種類

ESG要因

スクリーニング

スクリーニングの説明

We increased our exposure to utilities with significant renewable fuel exposure, at the expense of coal or other fossil fuel generators.

種類

ESG要因

スクリーニング

スクリーニングの説明

We avoided energy stocks, primarliy large fossil fuel producers, with the exception of specific Green Bond issued by energy companies.

 

06.2. 補足情報 [任意]


FI 07. Screening - ensuring criteria are met

07.1. 債券投資においてファンドスクリーニングの基準に違反がないことを確認するために組織が使用しているシステムを記載してください。

スクリーニングの種類
ネガティブ/排他的スクリーニング​
ポジティブ/業界最高のスクリーニング

07.2. 補足情報 [任意]

Our data is updating at least quarterly (and often more frequently). Portfolio Managers are responsible for checking the data and for compliance along client and strategy guidelines. Our Trading Department enters exclusions into our Compliance Module which flags "restricted" securities from being purchased.


C) 実施:ESG問題の統合

FI 11. Integration overview

11.1. ESGを従来の財務分析に統合するアプローチを説明してください。

ESG integration helps to evaluate future cash flows and credit worthiness. As a high credit asset management firm, our clients value our reliable, conservative approach. Deeper ESG analysis is another tool to uncover risks not yet built into credit ratings, such as environmental accidents or mismanagement, disrupted business models  (i.e. auto companies as shift to EVs), exposure to natural disasters and changing regulatory environment. Labor relations, security issues, workforce diversity, incentive structures are other indicators of best-in-class practices or failures. We seek to avoid the price volatility as a result of potential headline risks. We use ESG analysis to hone in on companies distinguishing themselves in a wide array of areas and also as a way to evaluate the potential for these securities to continue to excel or falter. Green Bonds are another area where we can drive our Strategies' positioning toward a low carbon economy. We have increased our weight to these issues as the space has grown in the last few years. 

 

11.2. 投資する債券の各種類に対してESG統合アプローチをどのように調整するのか説明してください。

社債(金融)

ESG integration helps to evaluate future cash flows and credit worthiness. As a high credit asset management firm, our clients value our reliable, conservative approach. Insurance companies and bank holdings present additional opportunities to distinguish issues with respect to geographical exposure and industry exposure via their underwriting, loan portfolios or investment portfolios. This is part of our security selection and risk management processes. More Green Bonds are being issued by financials, such as banks and REITS, so we are availing ourselves of opportunities for clients in this space.

 

 

社債(非金融)

ESG integration helps to evaluate future cash flows and credit worthiness. As a high credit asset management firm, our clients value our reliable, conservative approach. We use ESG to hone in on companies distinguishing themselves in a wide array of areas and also as a way to evaluate the potential for these securities to continue to excel. Avoiding fossil fuel producers and increasing exposure to industries deploying more renewables, are one forward-looking example.

証券化商品

Our Limited Volatility Strategy holds high quality, short duration instruments including securitized loans. It has never delivered a negative returning calendar year, thus our managers are focused on governance and creditworthiness. Allocating more toward SBAs allows us to provide a social component while preserving a AAA credit.

11.3. 補足情報 [任意]


FI 12. Integration - ESG information in investment processes

12.1. ESG情報が、通常、投資プロセスの一部としてどのように使用されるのか記載してください。

当てはまるものをすべて選択してください
社債(金融)
社債(非金融)
証券化商品​
ESG分析をファンダメンタル分析に組み込んでいる
ESG分析を証券ウェイト判断に組み込んでいる
ESG分析をポートフォリオ構築判断に組み込んでいる
ESG分析は組織内の信用格付けまたは評価の標準要素になっている
発行体のESG分析が、投資委員会の標準議題になっている
組織内の調査レポートまたは同様文書で定期的にESG分析が取り上げられる
ESG分析は、進行中のポートフォリオ監視の標準項目に入っている
ESG分析は、すべての組織内の発行体概要または同様文書に含まれる
その他(具体的に記載してください)

12.2. 補足情報 [任意]


FI 13. Integration - E,S and G issues reviewed

13.1. 組織の統合プロセスでESG問題をどのように検討するか示してください。

E(環境)
S(社会)
G(ガバナンス)
社債(金融)

E(環境)

S(社会)

G(ガバナンス)

社債(非金融)

E(環境)

S(社会)

G(ガバナンス)

証券化商品

E(環境)

S(社会)

G(ガバナンス)

13.2. 組織の統合プロセスでE/S/G要因を検討する方法を詳しく説明してください。

社債(金融)

Portfolio Managers review models frequently and formally as a team. Any significant changes, issues, advocacy efforts are discussed as well as recent/potential trades and their rationales. We have an online internal research tool and shared spreadsheets to manage the information and assure it is available to decision makers.

社債(非金融)

Portfolio Managers review models frequently and formally as a team. Any significant changes, issues, advocacy efforts are discussed as well as recent/potential trades and their rationales. We have an online internal research tool and shared spreadsheets to manage the information and assure it is available to decision makers.

証券化商品

Portfolio Managers review models frequently and formally as a team. Any significant changes, issues, advocacy efforts are discussed as well as recent/potential trades and their rationales. We have an online internal research tool and shared spreadsheets to manage the information and assure it is available to decision makers.

13.3. 補足情報 [任意]

Portfolio Managers review models frequently and formally as a team. Any significant changes, issues, advocacy efforts are discussed as well as recent/potential trades and their rationales. We have an online internal research tool and shared spreadsheets to manage the information and assure it is available to decision makers.


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