State Street Global Advisors Integrates ESG as Factor in its Global Core Factors Fund

All existing assets under management in the Multi-Factor Global Equity Fund, totaling US$398 million , will be transferred to the new ESG Multi-Factor Global Equity Fund SICAV, including US$157 million from the Swedish pension fund for government employees, Kåpan Pensioner.

“In addition to our desire to be responsible investors, we are increasingly aware of the long-term outperformance of companies with strong ESG scores,” Marie Giertz, chief investment officer at Kåpan Pensioner said. “From a risk management perspective, we favour harnessing a multi-factor approach given the short-term, cyclical nature of markets. Our strong and long-term relationship with State Street Global Advisors has allowed us to explore this thinking, and benefit from the resulting product it has created.”

“Academic research increasingly demonstrates that environmental actions, social behaviors and governance practices can affect the long-term performance of a company,” said Ana Harris, head of Global Equity Beta Solutions Strategies at State Street Global Advisors. “Our investment philosophy is based on the premise that factors which are grounded in theory have been shown to deliver returns in excess of cap-weighted benchmarks over time. We achieve positive ESG exposure in the portfolio through explicitly integrating an ESG factor in each security’s composite score, as opposed to relying solely on negative or positive screening.”

The Global Core Factors ESG strategy uses a disciplined and systematic investment process to construct a portfolio of diversified exposures to value, size, low-volatility, quality, momentum, and ESG factors. It aims to achieve more meaningful exposure to ESG characteristics through explicit integration but also employs a screening process to exclude companies with severe ESG controversies, such as violation of the United Nations’ Global Compact Principles.