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University of Toronto Asset Management Corporation (re University of Toronto Endowment)

PRI reporting framework 2020

You are in Strategy and Governance » ESG issues in asset allocation

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe For each E, S, and G factor, we identify historical periods and events where changes in those factors likely resulted in some market shock (e.g., tsunami, pandemic, social unrest). We assess and model the market impact of those events and map them to macroeconomic variables to obtain broad market shocks.
Describe Transition and physical risk scenarios are used to map climate scenario pathways and shocks into macroeconomic shocks via several key variables (e.g., future economic growth). These are integrated within our risk system and propagated across all holdings to determine an overall climate-related VaR. We continue to develop capability.

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]

SG 13 CC.

SG 14. Long term investment risks and opportunity (Private)

SG 14 CC.

SG 15. Allocation of assets to environmental and social themed areas (Private)