SRI Multifactor Flashcards
how much did social responsible ETFs in SRI?
Trebled to 12.5bn$
40% of fund flows 2020 were what?
sustainable
what cap does our sri capture
large and small cap
What index are we following in SRI ETF
MSCI ACWI SRI Index
What is the minimum ESG Rating in our ETF
A - ESG
Name three areas excluded in the SRI ETF
Tobacco, thermal coal, nuclear weapons
What % of issuers per sector are selected?
25%
End of last year what was our PE Vs Benchmark
15.7 vs 17.9
What are our ROE stats?
28.7 vs 24.6%
What is our cap and what is a large company ?
1% Microsoft at 8%
What does the quality focus do to our basket?
Makes it defensive and reduces risk. Beta of 0.89
Nov 2020 what is the esg score of the sri etf?
8.5 - 44% HIGHER THAN THE BROAD INDEX
What is the emission score is what?
38% less than brnchmark . 82.9 tonnnes of co2 per $m
why did we outperfrom the broader index?
Lower drawdowns in December, may and October
What we were up vs msci acwi ?
14.4% vs 12.59%
why were we under the msci sri index ??
144bps (up 16.09%) due to underweight in microsoft. Microsoft was up 42%ytd
what factors helped and hurt?
Quality generally helped
Value hurt until factor rotation from September
What does the sri have on morningstar?
5 globe star rating
what are the number of holdings in msci all world?
3050
what do 2% of msci acwi make up in sri etf
31% of index weight
give me two examples of how timing factos are difficult?
- min vol 2011 high, min vol 2017 low
2. value bottom 2010, min vol highest 2018
what can quality help with?
reducing volatility
what does value help with ?
Helps to capture opportunities in undervalued companies
what can momentum help us with?
avoiding value traps
what does low vol help with ?
reducing downside risk in uneven markets
What is the factor profile of quality
- defensive
2. low 15 year correlations of excess hypotheircal returns over msci acqwi
what does the value factor rationale?
- helps avoid penalising non financial companies with depressed earnings but whose earnings are expected to bounce back
- blending trailing and forward P/E may provide a more comprehensive view of firms outlook
- comparing p/b ratios of financial firms may help evaluate different types of firms within sector
how is factor defined?
companies that appear to have low prices relative to their fundamental value
Lets define value?
1.ex financials
- Blended p/e (avg trailing and forward)
-dividend yield
2. financials
P/B
Dividend yield
what is the factor performance profile of value?
- pro cyclical
2. low 15 yr correlations of excess hypothetical returns over msci acwii.
What is the rationale for momentum ?
- stocks with strong or sharp recent performance tend to have excess price returns for short periods of time
- ranking stocks based on momentum may identify investment trends
- adjusting momentum by risk may help dampen the high volatility associated with momentum
- may help avoid value traps
how do we define momentum ?
companies that exhibit shorter term relative risk adjusted price strength
How do we measure momentum
6 month risk adjusted price momentum
12 month risk adjusted price momentum
Factor performance profile
pro cyclical
low 15 year correlations of excess hypothetical returns
what is the rationale for low vol?
- historically low vol stocks decline less than the market during market crises and market downturns
- defensive strategy has historically produced a premium to the market.
how do we define low vol?
companies that demonstrate lower than average variability of returns
how would you define the calculation of low vol factor?
historical beta based on 2 year weejly returns
what is the factor performance profile show?
defensive
low 15 years correlations
what % of companies do we take after the Z score on MSCI SRI Index?
40%
what is the cap weigting for the sri index?
1%
what is the fee for our SRI ETF ?
40bps.
what holding do we have avg?
230
what is the ticker for our SRI ETF?
FLXG
What is the rationale for Quality?
capture a comprehensive profile of a firms earnings quality by considering profits, debt quality and ability to generatre cash?
how do we define quality?
companies wih stable earnings grtowth , strenth of balance sheet and efficient use of assets
what is the factor profile quality
defensive
does the SRI take into account sectors?
yes the top 25% of issuers per sector are selected.
