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Ellerston Capital Limited

PRI reporting framework 2020

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

アクティブ運用している上場株式におけるESGの組み入れ

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%)
30 %
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%)
65 %
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%)
5 %
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。

ESG is incorporated into our investment process in two ways:

  1. Integration of ESG considerations in the investment process – research, analysis & investment decision making
  2. Portfolio screening – negative and positive as required by the client

Integration of ESG considerations in the investment process

Each of our investment teams has its own investment process for its particular strategy, which is determined by each Portfolio Manager. However, ESG is consistently integrated into each team’s analytical processes, with the purpose being to identify and consider material risks and opportunities related to the ESG factors.

Our teams have adopted a common “ESG Matrix” framework for integrating ESG issues into their company analysis, alongside fundamental considerations. The key features of the ESG Matrix are as follows:

1. Focus on measurable and/ or objective data to ensure assessments are consistent and unbiased, emphasising:

  • Environment: absolute levels and trends in factors including but not limited to carbon emissions, water consumption and waste production.
  • Social: ethical behaviour, staff turnover levels, operational health and safety performance, diversity and community engagement.
  • Governance: Governance structures and processes, Board of Director (“Board”) meeting attendance, Board skills and gender diversity, management remuneration structures (incentive alignment and hurdle levels), historic value creation / destruction of management and Board.

2. For each company, qualitatively assess and quantitatively rate each E, S and G aspect of the company in terms of:

  • Performance – rate as good, acceptable or poor, and
  • Materiality – rate as low, medium or high.

3. Add the scores for the individual E, S and G matrices into a single, overall company score. The worst scores are for companies with high materiality and poor performance. Conversely, the best scores are for companies with high materiality and good performance.

4. Include ESG aspects in ongoing company monitoring to detect improvements or deterioration of scores over time, and configure into our investment views accordingly.

 At a minimum, the output of the ESG matrix is considered alongside all other investment considerations as one component of the investment process for determining a company’s eligibility for a portfolio. Some Portfolio Managers take a further step and choose to incorporate the impact of ESG by increasing the discount rate and therefore reducing valuation estimates based on poor ESG assessments, while others go yet further and use a poor ESG score as a “knock-out”, which renders a company un-investable until the ESG profile improves. In some cases, our Portfolio Managers have added consideration of ESG themes from a “top-down” perspective to influence country and/or asset allocation.

Portfolio screening

Portfolio screening is a rigorous process which enables portfolio managers to explicitly exclude or include companies with specific business activities in the portfolios that we manage. Where our client mandates require, we use screening to determine the investment universe for that particular portfolio.

Negative screens determine companies that are to be excluded from a particular portfolio’s investment universe. The Global Industry Classification Standard (GICS) (MSCI) allocates every listed company to a particular broad economic Sector and then three Industry Groupings. Particular business activities are excluded by identifying the relevant GICS sector and Industry Groupings, and removing these and their constituent companies from the investment universe. Materiality thresholds (e.g. % of revenues from a particular activity) are used to safeguard that companies who fall outside of a sector but that are exposed to the particular activity are also excluded.

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]

The only team that uses a combined strategy (integration and themes) is the Asia ex Japan and India Equities team which also considers ESG themes from a "top-down" perspective to influence country and/or asset allocation.


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

Where our client mandates require, we use screening to determine the investment universe for that particular portfolio. The majority of our portfolios are screened to exclude coal and coal mining exposure.

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。

Screening criteria are agreed with clients at the beginning of the mandate. Any changes thereafter would result from discussions with the client. For institutional clients (the majority of of assets under management) the client is responsible for communication with their beneficiaries. For retail clients, details regarding screening and any changes would be communicated via the regular periodic fund reports (monthly).


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]


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。

          Our proprietary ESG matrix scores each company on ESG Performance and materiality and is reviewed as part of decision-making and monitoring.
        

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。

09.5. 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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