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LSV Asset Management

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%)
72 %
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%)
28 %
アクティブ運用している上場株式の合計 199%

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。

LSV’s portfolio decision making process is quantitative and driven by (1) a proprietary model that ranks securities based on fundamental measures of value, past performance and indicators of recent positive changes and (2) a risk control process that controls for residual risk relative to a benchmark.  There are a variety of ways in which ESG plays a role in LSV’s quantitative investment process:

  • There are a number of signals in LSV’s model that relate to governance.
  • LSV can integrate certain ESG constraints into the portfolio construction process for clients that request it. 
  • LSV may choose not to purchase or increase its investment in particular issuers due to heightened ESG risk, such as news of a major environmental or governance risk related to the company.  Because LSV’s process is quantitative, LSV can typically find another highly ranked stock to replace a company that has such ESG risk associated with it.
  • LSV offers a commingled investment fund that excludes securities based on certain socially responsible investment considerations.
  • LSV can apply negative screens at the portfolio level for clients that request it.  Such screens can be applied based on client provided lists or based on certain third-party vendor data subscribed to by LSV.
  • Forecasts by equity analysts are factored into LSV’s quantitative model.  ESG factors, such as climate change, are considered by some equity analysts, and, therefore, have an effect on portfolio construction. 

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]


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

LSV can apply ESG factors at the portfolio level for clients that provide us with specifications.  LSV subscribes to two different ESG data sources, MSCI and ISS Governance, so that we can accommodate clients who would like to apply ESG principles to their portfolio.  In addition, clients may also provide LSV with a list of restricted securities.   

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。

The types of screens applied are typically directed by the client.  Compliance with restricted lists are checked by the compliance module of Charles River, which checks pre-trade and post-trade compliance daily.  Restricted lists that LSV maintains are updated periodically throughout the year depending on the type of list.  Clients are not typically notified of updates to these lists.  Client provided lists are updated at the clients' discretion.


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。

05.2. ESGスクリーニング戦略の一環で包括的なESG調査の対象となるアクティブ上場株式ポートフォリオの割合を示してください。

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。

05.5. 補足情報 [任意]


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


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]

There are a number of signals in LSV’s model that relate to governance.  In addition, ESG factors can play a role in any particular investment decision, such as news of a major environmental, social or governance risk related to the company. Also, LSV works with clients who specify the type of ESG profile they would like to have in their portfolio.  LSV then integrates ESG factors in the portfolio construction process as is appropriate.  This is currently done by constraining the portfolio at formation and at each rebalance to have an ESG profile based on certain metrics that is no worse than the portfolio’s benchmark.    


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。

09.2. 組織の統合戦略の一環で包括的ESG調査の対象になるアクティブ運用上場株式の割合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。

          The portfolio manager primarily responsible for LSV's ESG research periodically shares results with the entire investment and research team.
        

09.6. 補足情報 [任意]


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


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