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Green Fixed Income + ESG Equities > SRI Multifactor > Flashcards

SRI Multifactor Flashcards

1
Q

how much did social responsible ETFs in SRI?

A

Trebled to 12.5bn$

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2
Q

40% of fund flows 2020 were what?

A

sustainable

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3
Q

what cap does our sri capture

A

large and small cap

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4
Q

What index are we following in SRI ETF

A

MSCI ACWI SRI Index

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5
Q

What is the minimum ESG Rating in our ETF

A

A - ESG

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6
Q

Name three areas excluded in the SRI ETF

A

Tobacco, thermal coal, nuclear weapons

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7
Q

What % of issuers per sector are selected?

A

25%

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8
Q

End of last year what was our PE Vs Benchmark

A

15.7 vs 17.9

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9
Q

What are our ROE stats?

A

28.7 vs 24.6%

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10
Q

What is our cap and what is a large company ?

A

1% Microsoft at 8%

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11
Q

What does the quality focus do to our basket?

A

Makes it defensive and reduces risk. Beta of 0.89

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12
Q

Nov 2020 what is the esg score of the sri etf?

A

8.5 - 44% HIGHER THAN THE BROAD INDEX

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13
Q

What is the emission score is what?

A

38% less than brnchmark . 82.9 tonnnes of co2 per $m

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14
Q

why did we outperfrom the broader index?

A

Lower drawdowns in December, may and October

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15
Q

What we were up vs msci acwi ?

A

14.4% vs 12.59%

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16
Q

why were we under the msci sri index ??

A

144bps (up 16.09%) due to underweight in microsoft. Microsoft was up 42%ytd

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17
Q

what factors helped and hurt?

A

Quality generally helped

Value hurt until factor rotation from September

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18
Q

What does the sri have on morningstar?

A

5 globe star rating

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19
Q

what are the number of holdings in msci all world?

A

3050

20
Q

what do 2% of msci acwi make up in sri etf

A

31% of index weight

21
Q

give me two examples of how timing factos are difficult?

A
  1. min vol 2011 high, min vol 2017 low

2. value bottom 2010, min vol highest 2018

22
Q

what can quality help with?

A

reducing volatility

23
Q

what does value help with ?

A

Helps to capture opportunities in undervalued companies

24
Q

what can momentum help us with?

A

avoiding value traps

25
Q

what does low vol help with ?

A

reducing downside risk in uneven markets

26
Q

What is the factor profile of quality

A
  1. defensive

2. low 15 year correlations of excess hypotheircal returns over msci acqwi

27
Q

what does the value factor rationale?

A
  1. helps avoid penalising non financial companies with depressed earnings but whose earnings are expected to bounce back
  2. blending trailing and forward P/E may provide a more comprehensive view of firms outlook
  3. comparing p/b ratios of financial firms may help evaluate different types of firms within sector
28
Q

how is factor defined?

A

companies that appear to have low prices relative to their fundamental value

29
Q

Lets define value?

A

1.ex financials
- Blended p/e (avg trailing and forward)
-dividend yield
2. financials
P/B
Dividend yield

30
Q

what is the factor performance profile of value?

A
  1. pro cyclical

2. low 15 yr correlations of excess hypothetical returns over msci acwii.

31
Q

What is the rationale for momentum ?

A
  1. stocks with strong or sharp recent performance tend to have excess price returns for short periods of time
  2. ranking stocks based on momentum may identify investment trends
  3. adjusting momentum by risk may help dampen the high volatility associated with momentum
  4. may help avoid value traps
32
Q

how do we define momentum ?

A

companies that exhibit shorter term relative risk adjusted price strength

33
Q

How do we measure momentum

A

6 month risk adjusted price momentum

12 month risk adjusted price momentum

34
Q

Factor performance profile

A

pro cyclical

low 15 year correlations of excess hypothetical returns

35
Q

what is the rationale for low vol?

A
  1. historically low vol stocks decline less than the market during market crises and market downturns
  2. defensive strategy has historically produced a premium to the market.
36
Q

how do we define low vol?

A

companies that demonstrate lower than average variability of returns

37
Q

how would you define the calculation of low vol factor?

A

historical beta based on 2 year weejly returns

38
Q

what is the factor performance profile show?

A

defensive

low 15 years correlations

39
Q

what % of companies do we take after the Z score on MSCI SRI Index?

A

40%

40
Q

what is the cap weigting for the sri index?

A

1%

41
Q

what is the fee for our SRI ETF ?

A

40bps.

42
Q

what holding do we have avg?

A

230

43
Q

what is the ticker for our SRI ETF?

A

FLXG

44
Q

What is the rationale for Quality?

A

capture a comprehensive profile of a firms earnings quality by considering profits, debt quality and ability to generatre cash?

45
Q

how do we define quality?

A

companies wih stable earnings grtowth , strenth of balance sheet and efficient use of assets

46
Q

what is the factor profile quality

A

defensive

47
Q

does the SRI take into account sectors?

A

yes the top 25% of issuers per sector are selected.

Green Fixed Income + ESG Equities (4 decks)

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