derivatives for hedging and investment purposes and enter securities from the Investment Universe that:
into securities lending and borrowing transactions as well as
repurchase agreement transactions, as described under "Use of
Derivatives, Special Investment and Hedging Techniques" in
the Prospectus. - undergo high-risk controversies;
- are involved in controversial weapons business (e.g.,
cluster munitions or chemical weapons);
The Reference Currency of the Fund is the Euro.
- have significant operations in the tobacco or coal
industries (based on an assessment by the ESG Providers);
Description of the Index: - are not compliant with the Ten Principles of the UN
Global Compact (https://www.unglobalcompact.org/
what-is-gc/mission/principles);
General Description - are referenced in major Scandinavian institutions'
(such as Norges Bank) publicly available exclusion lists;
The iSTOXX(R) Europe Minimum Variance Index reflects the or
performance of a dynamic selection of the 300 most liquid
stocks from the STOXX(R) Europe 600 Index (the "Base Index") - for stocks that are involved in the electricity
which tracks the performance of 600 leading companies in production sub-sector, those that have more than 20% of
major European industries in 18 European countries. their production from coal-fired plants.
Constituents of the Index will be weighted according to an Securities that pass the Ethical Filter are then screened
optimization procedure performed by the Index Provider. As through a liquidity filter (the "Liquidity Filter") to
such, sector and company exposures in the Index will differ exclude the least liquid stocks.
from those of the Base Index.
Securities that pass the Liquidity Filter are screened
according to the Management Company's quantitative model,
based on machine learning techniques. The Management
Index Methodology Company's quantitative model aims to identify securities
which represent potential investment opportunities as
The Index composition will be reconstituted on a monthly opposed to potential investment risks. More precisely,
basis subject to certain provisions and composition the model uses machine learning techniques to integrate
restrictions. Only the 300 most liquid stocks (based on their and process a very large set of ESG and financial data
recent average daily volumes on their respective primary and to select the patterns that show a significant link
exchange) are eligible for inclusion in the Index. between ESG characteristics and financial performance for
the securities in the Investment Universe. The model does
this through quantitative statistical analysis which
includes an analysis of the previous results from the
The optimization procedure uses statistical inputs such as model compared to actual performance. The model uses this
estimates of the historical volatility of eligible stocks and comparison to refine continuously the quantitative
their degree of correlation statistical analysis techniques.
and seeks to minimize the expected volatility of the Index. The outcome of the machine learning process consists of a
The resulting Index composition must comply with the classification of eligible securities (i.e., securities
following constraints (at the time of reconstitution): from the Investment Universe that pass the Liquidity
Filter) into those that, on balance, represent an
"investment opportunity" (i.e., securities that, given
their ESG profile, have a positive outlook) and those
* the Index must be fully invested, that, on balance, represent an "investment risk" (i.e.,
securities that, given their ESG profile, have a negative
* the maximum exposure to a single stock shall not exceed 5% outlook). Securities that are classified as "investment
of the current value of the Index, risk" are excluded from the Investment Universe, with the
remaining securities (i.e., those classified as
* the maximum exposure to an industry sector shall not exceed "investment opportunity") being the "Eligible Universe".
20% of the current value of the Index,
* a proprietary method ensures that a significant number of
stocks are included in the Index. The Management Company analyses the historical
volatilities of the price of each security in the
Eligible Universe as well as the historical correlations
among them. It then selects and weights certain
No Fees are charged at the Index level when changes are made securities so that the resulting portfolio has minimum
to the composition of the Index. expected volatility while complying with the following
constraints (at the time of reconstitution):
- The portfolio must be fully invested, no short selling;
The Index will be calculated and published on a real time and
end-of-day basis by the Index Provider using the latest - The maximum exposure to a single stock issuer shall not
available prices and number of units of each Index exceed 4.5% of the current value of the portfolio;
constituent. The Index Provider may adjust the number of
units of each constituent due to corporate actions (such as - The maximum exposure to an industry sector shall not
stock splits, stock dividends, spin-offs and rights exceed 20% of the current value of the portfolio;
offerings) in accordance with its standard methodology for
the Base Index. - The maximum exposure to stock classified as REITS (Real
Estate Investment Trusts) or stocks issued by companies
which do not have their registered office in the European
Economic Area shall not exceed 20% of the current value
Capital gains and net income of the Fund will be capitalized of the portfolio;
and no dividend will be payable to Shareholders except for
the distributing Shares for which all or part of the capital - Total greenhouse gas emissions must be 40% lower than
and/or income may be distributed once or several times a year the emissions related to the Benchmark as defined above
as may be decided by the Board of Directors. Please refer to in the Investment Policy, (based on an assessment of the
the Prospectus for additional information. absolute value of the previous year's carbon emissions
data for each company);
- Potential greenhouse emissions from reserves must be
The recommended investment horizon is 5 years. 40% lower than the potential emissions related to the
Benchmark (based on an assessment which uses potential
emissions figures calculated using the previous year's
oil reserve data of each company, where applicable); and
- ESG rating must be at least 10% higher than the ESG
rating of the Benchmark (based on ESG ratings for each
company).
In certain market conditions, the composition of the
equities in the Eligible Universe may make it impossible
to perform the weighting optimisation while complying
exactly with the list of constraints above. In such
circumstances, the Management Company can rateably reduce
some of the constraints (for example, by gradually
reducing the 40% limits).
(MORE TO FOLLOW) Dow Jones Newswires
April 14, 2021 04:47 ET (08:47 GMT)