May, 2021
The Fund aims to provide a superior risk adjusted return (total return divided by total risk (before fees, expenses and taxes) greater than the return of the MSCI ACWI ex Australia Index Net Dividend Withholding Tax (AUD) (the “Index”) on a rolling six to eight year basis.
■ Investment process - The Investment Manager will seek to achieve the investment objectives by screening the Index using proprietary screening and reweighting methodology with the goal of creating a portfolio with reduced exposure to what the Investment Manager believes to be undercompensated sources of risk in the equity market. Specifically, the Investment Manager will evaluate all stocks in the Index according to proprietary measures of sustainable earnings growth and distress risk, as well as stock Volatility, and speculation risk. Some stocks will be eliminated from the starting universe by virtue of not passing one or more of these fundamental screens. The screening process is complemented by a reweighting methodology called PowerRank™ that seeks to address concentration risk by diversifying the portfolio’s positions away from, in part, the ‘mega cap’ names in the index. Finally, the Investment Manager will use individual equities’ individual ESG score (a proprietary measure of ESG integration) to adjust the stocks final weight, or to eliminate stocks from the portfolio. The weight on any individual stock in the portfolio is therefore a function of how the stock fares in the fundamental screening process, the effect of the PowerRank process, and where available, the stock’s ESG score.
■ Labour, environmental, social and ethical considerations - We may take certain labour standards or environmental, social or ethical considerations into account when applying the Fund’s ESG investment criteria in the process of making investment decisions. ESG refers to the three main areas of concern developed as central factors in measuring the sustainability, ethical impact, and corporate governance of a company or business. Within these areas are a broad set of concerns increasingly included in the non-financial factors that figure in the valuation of equity and other investments. The Investment Manager may use individual equities’ individual ESG score (a proprietary measure of ESG integration) to up-weight, down-weight, or eliminate stocks from the portfolio.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Fact-Sheet-AXA-IM-ACWI-Sustainability-Equity-Fund-4.pdfMarch, 2021
The Fund aims to provide a superior risk adjusted return (total return divided by total risk (before fees, expenses and taxes) greater than the return of the MSCI ACWI ex Australia Index Net Dividend Withholding Tax (AUD) (the “Index”) on a rolling six to eight-year basis.
■ Investment process
- The Investment Manager will seek to achieve the investment objectives by screening the Index using proprietary screening and reweighting methodology with the goal of creating a portfolio with reduced exposure to what the Investment Manager believes to be undercompensated sources of risk in the equity market. Specifically, the Investment Manager will evaluate all stocks in the Index according to proprietary measures of sustainable earnings growth and distress risk, as well as stock Volatility, and speculation risk. Some stocks will be eliminated from the starting universe by virtue of not passing one or more of these fundamental screens. The screening process is complemented by a reweighting methodology called PowerRank™ that seeks to address concentration risk by diversifying the portfolio’s positions away from, in part, the ‘mega cap’ names in the index. Finally, the Investment Manager will use individual equities’ individual ESG score (a proprietary measure of ESG integration) to adjust the stocks final weight, or to eliminate stocks from the portfolio. The weight on any individual stock in the portfolio is therefore a function of how the stock fares in the fundamental screening process, the effect of the PowerRank process, and where available, the stock’s ESG score.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Fact-Sheet-AXA-IM-ACWI-Sustainability-Equity-Fund-3.pdfFebruary, 2021
The Fund aims to provide a superior risk adjusted return (total return divided by total risk (before fees, expenses and taxes) greater than the return of the MSCI ACWI ex Australia Index Net Dividend Withholding Tax (AUD) (the “Index”) on a rolling six to eight year basis.
■ Investment process
- The Investment Manager will seek to achieve the investment objectives by screening the Index using proprietary screening and reweighting methodology with the goal of creating a portfolio with reduced exposure to what the Investment Manager believes to be undercompensated sources of risk in the equity market. Specifically, the Investment Manager will evaluate all stocks in the Index according to proprietary measures of sustainable earnings growth and distress risk, as well as stock Volatility, and speculation risk. Some stocks will be eliminated from the starting universe by virtue of not passing one or more of these fundamental screens. The screening process is complemented by a reweighting methodology called PowerRank™ that seeks to address concentration risk by diversifying the portfolio’s positions away from, in part, the ‘mega cap’ names in the index. Finally, the Investment Manager will use individual equities’ individual ESG score (a proprietary measure of ESG integration) to adjust the stocks final weight, or to eliminate stocks from the portfolio. The weight on any individual stock in the portfolio is therefore a function of how the stock fares in the fundamental screening process, the effect of the PowerRank process, and where available, the stock’s ESG score.
■ Labour, environmental, social and ethical considerations
- We may take certain labour standards or environmental, social or ethical considerations into account when applying the Fund’s ESG investment criteria in the process of making investment decisions. ESG refers to the three main areas of concern developed as central factors in measuring the sustainability, ethical impact, and corporate governance of a company or business. Within these areas are a broad set of concerns increasingly included in the non-financial factors that figure in the valuation of equity and other investments. The Investment Manager may use individual equities’ individual ESG score (a proprietary measure of ESG integration) to up-weight, down-weight, or eliminate stocks from the portfolio.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Fact-Sheet-AXA-IM-ACWI-Sustainability-Equity-Fund-2.pdfJanuary, 2021
The Fund returned 1.81% in January 2021, compared with a return for the Benchmark of -0.21%, with global equities recording a relatively subdued start to the year against a backdrop of economic uncertainty.
• Sector returns were mixed in January, with the Energy sector moving higher as oil prices climbed across the month, while the Consumer Staples sector lagged. Information Technology was the top relative contributor for the Fund, owing to positive selection in US IT. Financials also contributed positively to performance on a relative basis, driven by positive selection in Hong Kong Financials. There were no relative sector detractors for the month.
• Most regions were flat for the month, with the notable exceptions of the US, which moved lower, and a positive result in China. For the Fund, the largest relative contributor at a country level was the US, driven by positive selection in US IT, as mentioned, as well as positive selection in US Communication Services. Italy was also a notable relative contributor, mostly as a result of positive selection in Italian Consumer Discretionary. France was the largest relative detractor, primarily due to weak selection in French Consumer Discretionary.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of the Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments, and its systematic quantitative approach allows Arrowstreet to react quickly through market volatility
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Fact-Sheet-AXA-IM-ACWI-Sustainability-Equity-Fund-1.pdfDecember, 2020
Portfolio Highlights
What helped performance during the quarter:
- The Fund's below-benchmark exposure to the retail industry contributed positively to performance.
- An above-benchmark weight in European wind energy company Orsted contributed positively to performance as increased political pressure for cleaner energy has boosted renewable energy stocks.
What hurt performance during the quarter:
- A key detractor from performance was the strategy's focus on less volatile stocks. This is in line with strategy expectations in an environment in which investors' appetite for risk sharply increased. Defensive strategies typically struggle to keep pace in these kinds of conditions.
- The Fund's exposure to stocks with high quality earnings also went unrewarded this quarter as quality fared less well than in recent months. The rotation from high quality, low risk companies to low quality, high risk firms seen during the quarter (triggered by the announcement of viable COVID-19 vaccines) was the largest since the recovery from the financial crisis low in March 2009.
Portfolio Positioning and Outlook
The Fund maintains its exposure to stocks with low volatility and high quality earnings, which we believe leads to above-benchmark returns with less volatility over a full market cycle. Currently, given its exposure to defensive sectors, low volatility investing is under pressure in a cyclically-led rebound. However, the road to recovery will take time and low volatility should be a safe haven in the event of any re-opening setbacks or if the speed of recovery disappoints.
ticker: ETL0171AU
release_schedule: Unsure
commentary_block: Array
factsheet_url:
Latest Factsheet -> Portfolio Highlights section (maybe need to use OCR)
https://www.axa-im.com.au/sustainable-equity-strategy
fund_features:
The Investment Manager will seek to achieve the investment objectives by screening the Index using proprietary screening and reweighting methodology with the goal of creating a portfolio with reduced exposure to what the Investment Manager believes to be undercompensated sources of risk in the equity market. Specifically, the Investment Manager will evaluate all stocks in the Index according to proprietary measures of sustainable earnings growth and distress risk, as well as stock Volatility, and speculation risk.
- We may take certain labour standards or environmental, social or ethical considerations into account when applying the Fund’s ESG investment criteria in the process of making investment decisions.
- ESG refers to the three main areas of concern developed as central factors in measuring the sustainability, ethical impact, and corporate governance of a company or business. Within these areas are a broad set of concerns increasingly included in the non-financial factors that figure in the valuation of equity and other investments.
manager_contact_details: Array
asset_class: Foreign Equity
asset_category: Large Blend - Quantitative
peer_benchmark: Foreign Equity - Large Quantitative Index
broad_market_index: Developed -World Index
structure: Managed Fund