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Osmosis Investment Management

PRI reporting framework 2020

You are in Direct - Listed Equity Incorporation » Outputs and outcomes

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.

Starting with the largest listed companies in the world by market capitalization (approx. 1645), Osmosis analyses the disclosing universe of public companies, i.e. the world’s largest public companies that disclose sufficiently on their energy consumption, waste creation and water consumption, in the public domain through their annual reports and sustainability reports.  Only companies which disclose on GHG Equivalent Emissions, water consumption and waste generation will be scored. These factors are combined and calculated into a Resource Efficiency Factor Score, i.e. for each stock within the universe of companies disclosing environmental and resource efficiency data a unique multi-factor score is calculated.

The Resource Efficiency Factor Scores are analysed within their sector and re-calculated in respect of each company upon publication it’s newly released environmental data. A company that either does not disclose sufficiently on the three resource consumption factors (energy, water and waste) or is within the financial & REITs sector, receives a zero factor score within the tight tracking error portfolios, and is currently excluded from the high active risk and style portfolios, which selection pool is reduced toa pool of ~695 companies.

Specify the percentage reduction (+/- 5%)

52 %

Select which of these effects followed your ESG integration.

12.2. Additional information.[Optional]


LEI 13. Examples of ESG issues that affected your investment view / performance

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

ESG factor and explanation

Energy:  Level of absolute greenhouse gas emissions from fossil fuel combustion, industrial processes and other sources owned or controlled by the company represented as CO2e.

ESG incorporation strategy applied Screening|Thematic|Integration

Impact on investment decision or performance

The impact on investment decision will be different depending on the type of strategy :

Osmosis specialises in the quantitative analysis of corporate disclosures of water and energy usage and waste production (resource metrics) relative to the economic value generated. Osmosis has created the Model of Resource Efficiency (“MoRE”), a proprietary model which exploits an informational advantage derived from such resource metrics. 

 The Resource Efficiency factor is currently integrated in portfolio construction in two distinctive approaches.  The first is a high expected return model whereby maximum Resource Efficiency is targeted in a benchmark agnostic fashion. The stocks are systematically selected from 33 industry sectors and stocks will be ranked by their MoRE Resource efficiency score within their relative sectors and stocks will only be selected which have a positive score

The second iteration seeks to isolate the Resource Efficiency factor exposure in risk constrained portfolios, where strategy seeks superior risk-adjusted returns by targeting maximum resource efficiency exposure whilst maintaining a tight tracking error to the MSCI World.

 

ESG factor and explanation

Water:  Costs generated by purchasing water directly for a company’s operations or from direct water supply companies.

ESG incorporation strategy applied Screening|Thematic|Integration

Impact on investment decision or performance

The impact on investment decision will be different depending on the type of strategy :

Osmosis specialises in the quantitative analysis of corporate disclosures of water and energy usage and waste production (resource metrics) relative to the economic value generated. Osmosis has created the Model of Resource Efficiency (“MoRE”), a proprietary model which exploits an informational advantage derived from such resource metrics. 

 The Resource Efficiency factor is currently integrated in portfolio construction in two distinctive approaches.  The first is a high expected return model whereby maximum Resource Efficiency is targeted in a benchmark agnostic fashion. The stocks are systematically selected from 33 industry sectors and stocks will be ranked by their MoRE Resource efficiency score within their relative sectors and stocks will only be selected which have a positive score

The second iteration seeks to isolate the Resource Efficiency factor exposure in risk constrained portfolios, where strategy seeks superior risk-adjusted returns by targeting maximum resource efficiency exposure whilst maintaining a tight tracking error to the MSCI World.

 

ESG factor and explanation

Waste:  Costs generated from the disposal of waste in normal business operations, classified as landfill, incinerated waste, recycled or nuclear waste.

ESG incorporation strategy applied Screening|Thematic|Integration

Impact on investment decision or performance

The impact on investment decision will be different depending on the type of strategy :

Osmosis specialises in the quantitative analysis of corporate disclosures of water and energy usage and waste production (resource metrics) relative to the economic value generated. Osmosis has created the Model of Resource Efficiency (“MoRE”), a proprietary model which exploits an informational advantage derived from such resource metrics. 

 The Resource Efficiency factor is currently integrated in portfolio construction in two distinctive approaches.  The first is a high expected return model whereby maximum Resource Efficiency is targeted in a benchmark agnostic fashion. The stocks are systematically selected from 33 industry sectors and stocks will be ranked by their MoRE Resource efficiency score within their relative sectors and stocks will only be selected which have a positive score

The second iteration seeks to isolate the Resource Efficiency factor exposure in risk constrained portfolios, where strategy seeks superior risk-adjusted returns by targeting maximum resource efficiency exposure whilst maintaining a tight tracking error to the MSCI World.

 

13.2. Additional information.[Optional]


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