JPM Global Macro Sustainable

Investment Objective

To achieve a return in excess of its cash benchmark by investing globally in a portfolio of Sustainable Securities, currencies and using derivatives where appropriate. Sustainable Securities are securities from issuers that the Investment Manager believes show effective governance and superior management of environmental and social issues

Latest Meeting Note

Meeting 27 Apr 2020

JP Morgan have been managing absolute return global macro strategies since 2012, and in August 2019 they launched their Global Macro Sustainable fund, after they undertook a 18-24m period of discussion with clients pre-launch to help ide... Read more

JP Morgan have been managing absolute return global macro strategies since 2012, and in August 2019 they launched their Global Macro Sustainable fund, after they undertook a 18-24m period of discussion with clients pre-launch to help identify what investors are looking for within a sustainable product. The fund is a liquid and sustainable solution designed to take advantage of market mispricings of macro trends, via a research-oriented process while ensuring the approach is risk-aware and exhibits an ESG tilt. The investment process is anchored round macroeconomic research, where the team look to establish and maintain a set of approximately nine themes that encompasses structural and cyclical trends in the global macroeconomic environment. From here, multi-asset strategies are devised to best monetise the top down themes. This bottom-up strategy selection draws on three pillars of sustainability; the integration of ESG risks into decision making, systematic exclusion based on client’s values, and positive positioning to sustainable securities. The team leverage internal and external ESG research and scoring, and integrate it into their macro investment approach in order to mitigate potential negative risk scenarios as a result of material ESG issues. For current holdings, the team engage with company management directly and through the JPMAM Investment Stewardship team, who oversee proxy voting across the platform. The exclusion list applied removes approximately 15% of the MSCI ACWI, with some sectors outright banned (controversial weapons) while other limits are based on the proportion of revenue derived from certain areas (eg alcohol, tobacco, gambling etc), and dependent on where it fits into the supply chain (producer, distributor, service provider). Within the exclusionary framework there are provisions for allowing investment in those identified to be actively transitioning to more sustainable production methods. Since the fund launched in late August 2019, AUM has grown significantly, with approximately €630m under management. The fund has a target annualised volatility of less than 8% and is committed to ensuring that the security-weighted ESG score for each asset class is above the median of a direct MSCI comparison, ultimately creating a total portfolio score above the combined medians.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.4 0.1 0.4 0.2 0.1 0.3 0.7 0.7 0.4 0.1 0.3 0.9 0.6
2018 0.3 0.0 0.9 1.0 0.6 0.9 0.2 0.2 0.8 0.3 0.9 0.6 0.6

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