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Dana Investment Advisors

PRI reporting framework 2018

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Outputs and outcomes

LEI 12. How ESG incorporation has influenced portfolio composition

12.1. Indicate how your ESG incorporation strategies have influenced the composition of your portfolio(s) or investment universe.

Describe any reduction in your starting investment universe or other effects.

We have a large investment universe of approximately 3000 U.S. companies. We evaluate these quantitatively in order to rank the companies and identify the companies with the highest E, S and G attributes.

Specify the percentage reduction (+/- 5%)

65 %

Select which of these effects followed your ESG integration:

          Overweight/underweight at Industry level
        

12.2. Additional information.[Optional]

We are purposefully sector neutral in our portfolio construction and stock positions are equally weighted within sectors, thus ESG integration does not affect these intentional portfolio construction risk controls. Our alpha generation largely depends upon stock selection with industry weights a secondary contributor. ESG integration has its greatest impact on these elements.


LEI 13. Measurement of financial and ESG outcomes of ESG incorporation

13.1. Indicate whether your organisation measures how your approach to responsible investment in Listed Equity has affected your portfolio’s financial and/or ESG performance.

b) Funds’ financial performance: return

Describe the impact on:
Describe the impact
Which strategies were analysed?
Funds' financial performance: return

c) Funds’ financial performance: risk

Describe the impact on:
Describe the impact
Which strategies were analysed?
Funds' financial performance: risk

13.2. Describe how you are able to determine these outcomes.

In the past, we have compared our ESG Strategies on risk and return, while isolating other variables (i.e. size factor, etc). ESG outperformed with lower risk over long term. The difference, once accounting for other factors, was significant and "unexplained". We have since incorporated our ESG analysis and metrics into our research process across other strategies and believe the "unexplained" difference will diminish over time and other factors such as growth vs. value, size or the exclusions embedded in some strategies will explain a greater proportion of the differences. In other words, we expect material ESG metrics to be mainstreamed.


LEI 14. Examples of ESG issues that affected your investment view / performance

14.1. Provide examples of ESG issues that affected your investment view and/or performance during the reporting year.

ESG issue and explanation

Transition to a low carbon economy: We focused on consumers of electricity and invested more in companies that were targeting lower emissions and greater deployment of renewables to power their own operations.

 

Impact on investment decision or performance

In ESG and Large Cap Strategies, we owned several technology companies that are significantly lowering their carbon emissions by deploying renewable power sources for their businesses. Also, we held energy companies that were less carbon intensive versus the benchmark. These decisions contributed to returns. Our Carbon Sensitive Strategy that excluded the Energy sector also derived a performance benefit.

ESG issue and explanation

Our fundamental analysis on disruptive technologies indicated greater growth rates for sensors and semiconductor components for a variety of products and solutions. These include EVs, smart grid applications and more. 

Impact on investment decision or performance

Our Strategies benefited from our semiconductor and semiconductor equipment selections.

ESG issue and explanation

In our Catholic Equity Strategy, there are Sanctity of Life value constraints. Many healthcare and biotechnology companies are excluded on this basis. We identified and invested in small, growing niches (i.e. orthodontics and medical equipment).

Impact on investment decision or performance

The niche growers outperformed the Health Care sector significantly.

ESG issue and explanation

In our ESG Strategies, weapons manufacturers and defense companies are excluded.

Impact on investment decision or performance

Large cap defense companies performed well overall, so this detracted from Social ESG Strategies. However, gun manufacturers lagged as did several larger retail stores that distribute guns.

14.2. Additional information.[Optional]


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