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Glenmede

PRI reporting framework 2020

You are in Direct - Listed Equity Incorporation » ESG incorporation in actively managed listed equities » Implementation processes

実施プロセス

LEI 01. Percentage of each incorporation strategy

01.1. 以下を記載してください。(1)組織でのアクティブ運用上場株式にどのESG組み入れ戦略や組み合わせを使用しているか(2)アクティブ運用している上場株式の戦略または戦略の組み合わせ別内訳

ESG組み入れ戦略 (当てはまるものをすべてお選びください)
アクティブ運用される上場株式に戦略が適用される割合 (推定 +/- 5%)
60 %
アクティブ運用される上場株式に戦略が適用される割合 (推定 +/- 5%)
40 %
アクティブ運用している上場株式の合計 100%

01.2. 組織が実施しているESG組み入れアプローチ、および、特定のESG組み入れ戦略を選択している場合はその理由を説明してください。

GIM has been managing customized variations of ESG portfolios using a quantitatively-based discipline for more than 15 years based on multifactor stock selection models, leading industry group indicators, positive/downside screens and restriction lists.


Since 2001, we have utilized ESG ratings in portfolio construction from several ESG providers (Innovest, KLD and MSCI) as well as integrating socially responsible restriction lists for portfolio mandates of individuals, institutions, endowments/foundations and religious organizations. On a monthly basis, the portfolio managers receive current ESG analysis and updated ESG ratings from MSCI. The Quantitative Team has performed extensive historical analysis on ESG factors and their effects on portfolio performance, including risk-adjusted returns. In more recent years, the Team has expanded its impact strategies to include Carbon-Free portfolios, a Responsible ESG U.S. Equity Portfolio and a Women in Leadership U.S. Equity Portfolio. 


Currently, we manage client portfolios with the following socially responsible areas of focus:

  • Catholic Values
  • Carbon Free
  • Alcohol, Tobacco and Gaming - Free
  • Christian Science Equity
  • Direct Impact Investing
  • Environmental, Social and Governance
  • Defense-Free
  • Security Specific Restrictions


A few of our ESG-oriented strategies are highlighted below:

  • Our Quantitative U.S. Large Cap Environmental and Carbon-Free strategies are based on negative screens based on externally-provided environmental rankings (MSCI).
  • The Responsible ESG U.S. strategy is based on a combination of positive and negative screenings using MSCI rankings. Stocks with poor ESG rankings are sold from the portfolio and excluded from buy lists. We adjust our alpha signals to reflect a combined 40% weighting in the absolute level and 1-year change in ESG scores.
  • Our Women in Leadership U.S. Equity strategy focuses only invests in companies with significant executive and/or management exposure, including chairwoman, female CEO, >25% of board or at least 25% of women in management.

01.3. ESG組み入れ戦略の組み合わせを使用して資産を運用している場合、ESG戦略の組み合わせをどのように使用しているかを簡単に説明してください。 [任意]

Responsible ESG U.S. Equity: The strategy utilizes a combination of sector specific multifactor stock ranking models (60% weighting) based on 20 years of historical backtesting analysis and 40% weighting to ESG related measures, including ESG rankings (MSCI) and ESG Momentum (12-month change in MSCI ESG rating weighted on SASB materiality metrics).

Other thematic strategies (e.g. Women in Leadership U.S. and Quantitative U.S. Large Cap Carbon Free) use a combination stock screening process and negative screening. Multifactor stock ranking models, include valuation, fundamental and technical factors.


LEI 02. Type of ESG information used in investment decision (Private)


LEI 03. Information from engagement and/or voting used in investment decision-making (Private)


A) 実施:スクリーニング

LEI 04. Types of screening applied

04.1. 組織内でアクティブ運用している上場株式に適用するスクリーニングの種類を記載し、説明してください。

スクリーニングの種類

スクリーニング実行者

説明

Negative exclusion for thematic products including product, activity sector and/or MSCI ESG IVA ratings below 3.5

スクリーニング実行者

説明

Favorable or improving ESG rankings

04.2. スクリーニング基準が変更された場合に顧客や受益者に通知する方法について説明してください。

For GIM ESG-mandated strategies, if changes in screening criteria require updates to fund prospectuses, then the updated prospectuses are provided to fund shareholders.  Otherwise, material changes to screening criteria typically would be communicated to GTC portfolio managers and external financial intermediaries (who then would decide whether to communicate the changes to their clients invested in the funds).


LEI 05. Processes to ensure screening is based on robust analysis

05.1. スクリーニングが徹底した分析に基づいていることを確実にするために、組織が使用しているプロセスを選択してください。

          We take commercially reasonable steps to validate such research topics, including ESG, before incorporating it into the portfolio.
        

05.3. 第三者のESG評価がスクリーニング目的で更新される頻度を示してください。

05.4. 組織のESGスクリーニングを構築するための組織内リサーチを精査する頻度を示してください。

05.5. 補足情報 [任意]

On a monthly basis, the portfolio managers receive current ESG analysis and updated ESG ratings from MSCI. The Glenmede Quantitative Team has done extensive historical analysis on ESG factors and their effects on portfolio performance, including risk-adjusted returns. 


LEI 06. Processes to ensure fund criteria are not breached (Private)


B) 実施:テーマ

LEI 07. Types of sustainability thematic funds/mandates

07.1. 組織が運用している、サステナビリティをテーマとするファンドやマンデートの種類を記載してください。

07.2. 組織でのサステナビリティをテーマとしたファンドのプロセスについて説明してください。 [任意]

GIM's Responsible ESG U.S. Equity strategy invests in large cap companies with an attractive combination of valuation, fundamental, earnings, and technical characteristics as well as integrating positive and negative screening techniques based on ESG rankings from MSCI ESG. Generally speaking, the strategy is based on proprietary, multi-factor models which rank stocks within each sector. The stock rankings models use a 40% weighting to ESG-based factors, including 1-year changes and absolute ESG rankings. In addition, downside screens are utilized to avoid stocks with greater risk of underperformance. The portfolio is optimized on a monthly basis to provide broad diversification across sectors, industries and individual companies, while controlling turnover. Candidates are domestic stocks in the Russell 1000, S&P 500, or over $3 billion in market capitalization.


GIM's Women in Leadership U.S. Equity strategy invests in large cap companies with significant female representation in leadership, a company is required to have at least one of the following: Chairwoman, a female CEO, or women comprising at least 25% of the Board or 25% of senior management, respectively. The portfolio process is based on proprietary, multi-factor models to rank stocks within each sector, reflecting attractive combinations of valuation, fundamental, earnings and technical characteristics. In addition, downside screens are utilized to avoid stocks with greater risk of underperformance. The portfolio is optimized on a monthly basis to provide broad diversification across sectors, industries and individual companies, while controlling turnover. Candidates are domestic stocks in the Russell 1000, S&P 500, or over $3 billion in market capitalization.


GIM's Quantitative U.S. Large Cap Environmental Equity strategy invests in large cap companies with an attractive combination of valuation, fundamental, earnings and technical characteristics. The portfolio is based on proprietary, multi-factor models to rank stocks within each sector. In addition, downside screens are utilized to avoid stocks with greater risk of underperformance. The portfolio is optimized on a monthly basis to provide broad diversification across sectors, industries and individual companies, while controlling turnover. Candidates are domestic stocks in the Russell 1000, S&P 500, or over $3 billion in market capitalization. This environmentally sensitive strategy is managed to exclude companies with poor industry adjusted environmental ratings (source: MSCI ESG).


C) 実施: 統合

LEI 08. Review ESG issues while researching companies/sectors

08.1. E・S・Gの各要因が投資分析の一環として体系的に調査されている、アクティブ運用の上場株式ポートフォリオの割合を記載してください。

ESG問題

影響を受ける割合
E(環境)

E(環境)

S(社会)

S(社会)

コーポレートガバナンス

コーポレートガバナンス

08.2. 補足情報 [任意]

GlM implements ESG momentum (the 12-month change in the MSCI ESG scores weighted using the Sustainability Accounting Standards Board Materiality Map) in all quantitatively-based equity strategies. These equity strategies account for over 60% of GIM's total equity products.


LEI 09. Processes to ensure integration is based on robust analysis

09.1. ESG統合が徹底した分析に基づいていることを確実にするために、組織が使用しているプロセスを記載してください。

09.3. ESG統合戦略に使われる第三者のESG評価が更新される頻度を示してください。

09.4. ESG統合戦略に使われる組織内調査を見直す頻度を示してください。

09.5. ポートフォリオ・マネージャーがどのようにしてESG情報を保有し、使っているのか説明してください。

09.6. 補足情報 [任意]


LEI 10. Aspects of analysis ESG information is integrated into (Private)


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