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AMX – Systematica – Equity Factor

a sub-fund of Asset Management Exchange Master ICAV (the "Sub-Fund")

The Sub-Fund meets the classification of an Article 8 fund under Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on sustainability‐related disclosures in the financial services sector (“SFDR”). as it promotes environmental and social characteristics and limits investments to companies that follow good governance practices. 

 

Transparency of the promotion of environmental or social characteristics

 

Environmental and Social Characteristics promoted by the Sub-Fund

The Sub-Fund promotes environmental and social characteristics by overweighting companies which outperform their peers on emissions reduction, energy and water consumption reduction as well as companies that apply good corporate governance and employee related considerations. As a priority there is a greater focus on environmental issues.  Sustainability risk is automatically integrated in the investment process through a process outlined in the supplement in respect of the Sub-Fund.

No Sustainable Investment Objective

The Sub-Fund does not have as its objective sustainable investment.

 

Information on the methodologies used to assess, measure and monitor the environmental and social characteristics

 

Investment strategy

The following procedures are implemented in the investment process on a continuous basis:

a) Exclusions

The criterion of sustainability is defined by exclusion criteria in addition to ESG key performance indicators. The issuers of a security are excluded if the issuer produces, distributes or maintains outlawed weapons, such as landmines and cluster munition.

b) ESG integration

The aim of ESG integration is to improve the risk/return profile of the Sub-Fund by integrating sustainability aspects into the traditional investment analysis process. The assessment of an issuer’s sustainability is carried out by the Investment Manager using published information from the issuers.

All issuers of equities are subject to sustainability analysis before their securities are purchased or shorted. This includes key figures on climate change and other environmental issues, negative impacts on social and employee matters, human rights, as well as governance indicators such as the fight against corruption, the independence of the board and of the remuneration committee.

The Investment Manager’s research and investment team has formalised a systematic approach to the task of identifying companies that are “best in class” and “worst offenders” per industry at incorporating ESG factors into their governance and management. The focus is on selecting a small set of material measures in each industry, and ranking each company on their level and improvements along these dimensions. The Investment Manager licenses and applies the SASB Materiality Map® General Issue Categories in its investment approach.

The Investment Manager’s approach to investing is process based. It formulates hypotheses about market dynamics, tests them scientifically and then, if applicable, implements automated models to profit from those hypotheses. The Investment Manager has formulated hypotheses about the materiality of ESG considerations for risk mitigation and alpha in public equity markets. While there is no statistically significant impact of these factors on our automated investment process (based on a backtest of the strategy over the last 20 years), a pick-up in performance in 2018 and 2019 has been observed. Regardless of this positive up-tick in performance over the last two years, the Investment Manager integrates these ESG factors into the investment process in any event. This is because the Investment Manager believes in the fundamental materiality of these factors on companies’ operations and their long term success and sees growing interest for these considerations in the listed markets. The Investment Manager believes that the in integration of ESG considerations and climate change in the Sub-Fund’s investment process is a key element of the Sub-Fund’s strategy.

c) Engagement

Engagement is conducted through collaborative efforts, typically with other UN PRI signatories. As the Sub-Fund trades via derivative exposure to issuers, the sub-fund has no voting rights.

d) Sustainability indicators

The sustainability indicators used to measure the attainment of the environmental and social characteristics promoted by the Sub-Fund include:

  • key figures on climate change and other environmental issues, such as water and energy used; waste or GHG emissions like CO2, nitrous oxide, sulphur oxide and volatile compounds; and
  • management of other sustainability risks: in addition to climate and environmental figures, several key performance indicators are taken into account to measure negative impacts on social and employee matters such as employee training, injuries and fatalities, workforce diversity and human rights such as policies on child and forced labour or the fight against corruption.

 

Use of Derivatives

The Sub-Fund will, if possible, give preference to transactions with derivatives that serve to fulfil the environmental or social characteristics of the Sub-Fund as if these were cash stock transactions.

 

Benchmark

The Sub-Fund does not track or reference itself to an index.

 

Periodic reports

A description of the extent to which environmental and social characteristics are met by the Sub-Fund will be available as part of the periodic report. The Sub-Fund’s most recent periodic report does not include any information pursuant to SFDR.

This disclosure is accurate as of 10 March 2021.

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