JPMorgan Global Macro Sustainable Fund

Product Name

JPMorgan Global Macro Sustainable Fund

Issuer

J.P. Morgan Asset Management

Category

Investment

Type

Fund or Trust

Target

Retail, Wholesale, Institutional

Certified Since

2021

Asset Classes

Diversified / Multi-asset

Markets

Australia

Investment Approaches

ESG Integration, Best in class screening

It Includes:

  • Riaa icons 12 Healthcare and medical products
  • Riaa icons 10 Renewable energy and energy efficiency
  • Riaa icons 15 Social and sustainable infrastructure
  • Riaa icons 13 Sustainable transport

It has some level of screening for:

  • Riaa icons 42 Gambling
  • Riaa icons 50 Nuclear power
  • Riaa icons 99 Pornography

It fully excludes:

  • Riaa icons 52 Human rights abuses
  • Riaa icons 38 Labour rights violations

Overview

The Fund seeks to exploit the inefficiencies in markets presented by the mispricing of macro trends and changes such as the business cycle, government and central bank policy and demographic shifts through a portfolio of sustainable investments. As our approach is macro driven, sustainability elements can become part of our top-down macro themes representing positive change where they present significant disruption and investment opportunity. For example, our climate change theme is reflecting the response we are seeing by governments, companies and individuals to the global climate crisis by placing more emphasis on sustainable outcomes and aiding the transition to a lower-carbon economy. We apply an ESG filter to asset selection and allocation and we integrate ESG considerations into our assessment of single securities pre-trade and on an ongoing basis where we look to identify opportunities/emphasize securities with strong ESG characteristics and/or companies that offer sustainably-linked products and services as part of their business. We also apply exclusion criteria to asset selection and allocation - these are value-based, for example excluding tobacco or alcohol, and norms-based, which is excluding companies in breach of business norms such as the UN Global Compact. We also apply our exclusions to long derivative exposures. As part of our approach, we also wanted to help ensure that our exclusions would not preclude us from investing in certain industries and select companies that are seeking to transform to more sustainable outcomes. Therefore, within our exclusionary framework, we have developed certain inclusion criteria that bring back into the opportunity set companies that are leaders in transition within an area that is undergoing significant change: power generation.


Description


Please see response to Question 18 on why this product is responsible.  Please see below for details on thresholds applied to screens. We fully exclude some industries and apply maximum revenue percentage thresholds to others, which can vary depending on whether the company is a producer, distributor or service provider. 

 
Controversial weapons (including nuclear weapons): Producers 0%, Distributors 0%, Services 0%
Military equipment and components: Producers 5%, Distributors 5%, Services 50%
Alcohol: Producers 5%, Distributors 5%, Services 50%
Tobacco: Producers 0%, Distributors 5%, Services 50%
Cannabis: Producers 5%, Distributors 5%, Services 50%
Pornography: Producers 0%, Distributors 5%, Services -
Gambling: Producers 5%, Distributors 5%, Services 50%
Fossil fuels (conventional oil & gas, coal, including thermal1): Producers 5%, Distributors 5%, Services 50%
Unconventional oil and gas (Shale O&G, arctic O&G, oil sands): Producers 0%, Distributors -, Services 50%2
Power generation (fossil fuels)3: Producers 5%, Distributors 5%, Services 50%
Power generation (nuclear sources): Producers 30%
 
We also exclude companies in breach of business norms i.e. UN Global Compact, Sustainable Development Goals/OECD for Multinational Enterprises4

We define producers, distributors and services as:

Producers: The company is engaged in the production of products or services in the sector.
Distributors: The company is engaged in wholesale or retail distribution of products or services in the sector.
Services: The company is engaged in the licensing, marketing, promotion and/or supply of key raw materials and other products used specifically for delivering products or services in the sector.
 
Treatment of index derivatives 
We exclude long exposure to indices via derivatives where more than 30% of the exposure of the underlying index is captured by our exclusion criteria. When we do implement long exposure to indices via permitted derivatives (which meet the aforementioned 30% rule), the aggregate long equity exposure to the underlying excluded companies cannot exceed 5% equity delta (net equity exposure).
 
For example, if we invest at the same time in long S&P call options and long Eurostoxx futures – indices which each currently have less than 30% of their underlying exposure in excluded areas – then the combined exposure from those indices to excluded companies cannot exceed 5% equity delta in aggregate. We only permit netting of long and short exposures in the case of option hedging, when both are on the same underlying index.  
 
Source: JPMAM, MSCI, as at 31 July 2021. 1Thermal coal will move to 0% by 2025 in line with
Febelfin guidelines.
2 Services exclusion only applies to Oil Sands. 3Inclusion policy applies, see following page. Exclusion and inclusion policy subject to change at manager’s discretion. 4Based on ISS-ESG assessment, exclude all companies with a Red flag signalling breach of business norms.

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