SRI Multifactor

Question 1

how much did social responsible ETFs in SRI?

Answer 1

Trebled to 12.5bn$

Question 2

40% of fund flows 2020 were what?

Answer 2

sustainable

Question 3

what cap does our sri capture

Answer 3

large and small cap

Question 4

What index are we following in SRI ETF

Answer 4

MSCI ACWI SRI Index

Question 5

What is the minimum ESG Rating in our ETF

Answer 5

A - ESG

Question 6

Name three areas excluded in the SRI ETF

Answer 6

Tobacco, thermal coal, nuclear weapons

Question 7

What % of issuers per sector are selected?

Answer 7

25%

Question 8

End of last year what was our PE Vs Benchmark

Answer 8

15.7 vs 17.9

Question 9

What are our ROE stats?

Answer 9

28.7 vs 24.6%

Question 10

What is our cap and what is a large company ?

Answer 10

1% Microsoft at 8%

Question 11

What does the quality focus do to our basket?

Answer 11

Makes it defensive and reduces risk. Beta of 0.89

Question 12

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

Answer 12

8.5 - 44% HIGHER THAN THE BROAD INDEX

Question 13

What is the emission score is what?

Answer 13

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

Question 14

why did we outperfrom the broader index?

Answer 14

Lower drawdowns in December, may and October

Question 15

What we were up vs msci acwi ?

Answer 15

14.4% vs 12.59%

Question 16

why were we under the msci sri index ??

Answer 16

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

Question 17

what factors helped and hurt?

Answer 17

Quality generally helped

Value hurt until factor rotation from September

Question 18

What does the sri have on morningstar?

Answer 18

5 globe star rating

Question 19

what are the number of holdings in msci all world?

Answer 19

3050

Question 20

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

Answer 20

31% of index weight

Question 21

give me two examples of how timing factos are difficult?

Answer 21

1. min vol 2011 high, min vol 2017 low

2. value bottom 2010, min vol highest 2018

Question 22

what can quality help with?

Answer 22

reducing volatility

Question 23

what does value help with ?

Answer 23

Helps to capture opportunities in undervalued companies

Question 24

what can momentum help us with?

Answer 24

avoiding value traps

Question 25

what does low vol help with ?

Answer 25

reducing downside risk in uneven markets

Question 26

What is the factor profile of quality

Answer 26

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

Question 27

what does the value factor rationale?

Answer 27

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

Question 28

how is factor defined?

Answer 28

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

Question 29

Lets define value?

Answer 29

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

Question 30

what is the factor performance profile of value?

Answer 30

1. pro cyclical | 2. low 15 yr correlations of excess hypothetical returns over msci acwii.

Question 31

What is the rationale for momentum ?

Answer 31

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

Question 32

how do we define momentum ?

Answer 32

companies that exhibit shorter term relative risk adjusted price strength

Question 33

How do we measure momentum

Answer 33

6 month risk adjusted price momentum | 12 month risk adjusted price momentum

Question 34

Factor performance profile

Answer 34

pro cyclical | low 15 year correlations of excess hypothetical returns

Question 35

what is the rationale for low vol?

Answer 35

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.

Question 36

how do we define low vol?

Answer 36

companies that demonstrate lower than average variability of returns

Question 37

how would you define the calculation of low vol factor?

Answer 37

historical beta based on 2 year weejly returns

Question 38

what is the factor performance profile show?

Answer 38

defensive | low 15 years correlations

Question 39

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

Answer 39

40%

Question 40

what is the cap weigting for the sri index?

Answer 40

1%

Question 41

what is the fee for our SRI ETF ?

Answer 41

40bps.

Question 42

what holding do we have avg?

Answer 42

230

Question 43

what is the ticker for our SRI ETF?

Answer 43

FLXG

Question 44

What is the rationale for Quality?

Answer 44

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

Question 45

how do we define quality?

Answer 45

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

Question 46

what is the factor profile quality

Answer 46

defensive

Question 47

does the SRI take into account sectors?

Answer 47

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