This page provides sustainability-related information about the Abrax Investment Fund SPC (the “Fund“), an open-ended segregated portfolio company incorporated with limited liability under the laws of the Cayman Islands, pursuant to Article 10 of the Sustainable Finance Disclosure Regulation (the “SFDR“).
AUM Asset Management Ltd (the “Investment Manager”) has been appointed as investment manager to the Fund.
The SFDR is a European regulation introduced to improve transparency in the market for sustainable investment products, to prevent greenwashing and to increase transparency around sustainability claims made by financial market participants.
| Name: Abrax Investment Fund SPC | Legal entity identifier: 549300X4OZYAB8RJ4L69 |
| Does this financial product have a sustainable investment objective? | |
| ☐ Yes | ☒ No |
| ☐ It will make a minimum of sustainable investments with an environmental objective: ____% ☐ in economic activities that qualify as environmentally sustainable under the EU Taxonomy ☐ in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy ☐ It will make a minimum of sustainable investments with a social objective: % | ☐ It promotes Environmental/Social (E/S) characteristics and while it does not have as its objective a sustainable investment, it will have a minimum proportion of 0 % of sustainable investments ☐ with an environmental objective in economic activities that qualify as environmentally sustainable under the EU Taxonomy ☐ with an environmental objective in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy ☐ with a social objective ☒ It promotes E/S characteristics, but will not make any sustainable investments. |
A. Summary
The Fund promotes environmental and social characteristics in accordance with Article 8 of the SFDR.
In its implementation of the Fund’s Environmental, Social and Governance (ESG) strategy, the Investment Manager favours issuers with good ESG profiles, as captured by its ESG methodology.
The Fund’s environmental or social characteristics are assessed both quantitatively and qualitatively, by means of sustainability indicators as well as of the Investment Manager’s research process to determine a company’s profile on ESG issues. This includes the use of third-party ESG ratings and/or scores. As part of its investment decision making process, the Fund’s ESG strategy also uses other criteria for the selection of underlying assets, namely the exclusion of certain controversial activities and sectors, as far as practicable and in line with the Investment Objectives of the Fund.
B. No sustainable investment objective
The Fund promotes environmental or social characteristics but does not have as its objective a sustainable investment.
What are the objectives of the sustainable investments that the financial product partially intends to make and how does the sustainable investment contribute to such objectives?
The Fund promotes environmental or social characteristics but does not have as its objective a sustainable investment.
How do the sustainable investments that the financial product partially intends to make, not cause significant harm to any environmental or social sustainable investment objective?
The Fund promotes environmental or social characteristics but does not have as its objective a sustainable investment.
How have the indicators for adverse impacts on sustainability factors been taken into account?
The Fund promotes environmental or social characteristics but does not take into account indicators for adverse impacts on sustainability factors.
Are the sustainable investments aligned with the OECD Guidelines for Multinational Enterprises and the UN Guiding Principles on Business and Human Rights?
The Fund promotes environmental or social characteristics but does not have as its objective a sustainable investment.
C. Environmental or social characteristics of the financial product
What are the environmental or social characteristics promoted by this financial product?
The Fund promotes positive impact by investing directly in Companies which promote climate change mitigation, climate change adaptation, and/or social impact.
The promotion of a positive impact in these areas results in the Fund promoting various environmental and/or social characteristics.
D. Investment strategy
What investment strategy does this financial product follow and how is the strategy implemented in the investment process on a continuous basis?
The Fund implements a merger arbitrage strategy that seeks to exploit opportunities arising from late- stage M&A situations by managing a portfolio of equities and using leverage to maximise returns. The strategy seeks to generate absolute returns through in-depth research, judicious selection of deals, active trading and disciplined risk management. No investments are made in special situations/pre- merger arbitrage situations, which carry a higher degree of uncertainty and volatility. The Fund complies with the investment restrictions detailed in its offering documentation, which may be obtained from the Investment Manager. If, however, in exceptional circumstances, these restrictions are exceeded, the Investment Manager shall, as soon as practicable and taking into account the interests of investors, take all such steps necessary to comply with restrictions as detailed in the offering documentation.
What are the binding elements of the investment strategy used to select the investments to attain each of the environmental or social characteristics promoted by this financial product?
The binding elements of the investment strategy used to select the investments to attain each of the environmental or social characteristics promoted by the Fund are (1) the Investment Manager’s exclusion policy and (2) the application of the GS Sustain ESG ranking framework.
The Investment Manager applies exclusionary screening similar to the World Bank Group’s International Finance Corporation Exclusion List. The Investment Manager excludes the following types of companies from investment by the Fund:
a) companies involved in any way (>0% of turnover) in the production or distribution of weapons banned under the Convention on the Prohibition of the Use, Stockpiling, Production and Transfer of Anti-Personnel Mines and on their Destruction (the “Ottawa Treaty”), the Convention on the Prohibition of Cluster Munitions (“Oslo Convention”) and B- and C-Weapons pursuant to the United Nations Biological Weapons and Chemical Weapons Conventions (to the extent that such information is publically available);
b) companies that derive more than 50% of their turnover from the production of tobacco (to the extent that such information is publically available); and
c) companies, involved in any way (>0% of turnover) with pornography, prostitution and non-conventional weapons (to the extent that such information is publically available).
What is the policy to assess good governance practices of the investee companies?
The Investment Manager’s ESG Policy and SFDR Exclusion Policy.
Is there a commitment to reduce by a minimum rate the scope of investments considered prior to the application of the strategy? (Including an indication of the rate)
No.
Does this financial product consider principal adverse impacts on sustainability factors?
☐ Yes
☒ No
E. Proportion of investments
What is the planned asset allocation for this financial product?
The Fund will hold a minimum of 50% investments that are aligned with the environmental or social characteristics promoted by the Fund.
The Fund may hold a maximum of 50% investments that are not aligned with the environmental or social characteristics promoted by the Fund and are not sustainable investments, and which fall into the “Other” section of the Fund (further details of which are set out below).
Please note that while the Investment Manager aims to achieve the asset allocation targets outlined above, these figures may fluctuate during the investment period and ultimately, as with any investment target, may not be attained.
How does the use of derivatives attain the environmental or social characteristics promoted by the financial product?
The Fund may invest via CFDs as per the Fund’s mandate. Essentially the Fund is investing directly in the target Companies, as it would if it had to use cash/equities. Options are mainly used for hedging purposes, and these are not used to promote environmental or social characteristics.
What is the minimum share of investments with an environmental objective aligned with the EU Taxonomy? (including what the minimum share of transitional and enabling activities is)
The Fund does not have as its objective to invest in investments aligned with the EU Taxonomy.
What is the minimum share of sustainable investments with an environmental objective that are not aligned with the EU Taxonomy?
The Fund does not have as its objective to invest in investments classified as Sustainable Investments under SFDR.
What is the minimum share of sustainable investments with a social objective?
The Fund does not have as its objective to invest in investments classified as Sustainable Investments under SFDR.
What investments are included under “#2 Other”, what is their purpose and are there any minimum environmental or social safeguards?
“Other” includes the remaining investments of the Fund which are neither aligned with the environmental or social characteristics, nor are qualified as sustainable investments.
Investments which may fall in the “Other” category include, but are not limited to, cash, cash equivalents, treasuries and derivatives.
Such “Other” investments are held for a number of reasons that the Investment Manager believes will be beneficial to the Fund, such as, but not limited to, risk management, and/or to ensure adequate liquidity and hedging.
The Fund’s holdings of “Other” investments do not have minimum environmental or social safeguards.
F. Monitoring of environmental or social characteristics
What sustainability indicators are used to measure the attainment of the environmental or social characteristics promoted by this financial product?
The Investment Manager applies GS Sustain to measure the attainment of each of the environmental or social characteristics promoted by the Fund.
GS Sustain screens each company across a range of environmental, social and governance factors and applies a scoring methodology to each individual company. Potential investee companies are ranked in the range of 0-100% based on GS Sustain screening data.
The Investment Manager views companies in the bottom third of rankings as less favourable and thus reduces their weighting, or will consider selling the position, in the overall portfolio. Conversely, companies in the top third of ESG rankings would typically have an upwards adjustment in the portfolio subject to the restrictions set out in the Private Placement Memorandum, the Supplement and the internal policies and procedures of the Investment Manager.
The GS Sustain ranking scores for each environmental or social characteristics promoted by the Fund allows the Investment Manager to measure the attainment of each of the relevant characteristics in respect of each individual company.
Through its use of GS Sustain, the Investment Manager applies the below sustainability indicators to measure the attainment of each of the environmental or social characteristics promoted by the Fund:
- GHG Emissions & Energy, including:
- Total CO2 Emissions
- Scope 1 CO2 Emissions
- Carbon Embedded Reserves
- Air Pollutants (non-GHG), including:
- VOC Emissions Reduction Policy
- VOC Emissions (i.e. volatile organic compounds (VOC) emissions)
- Water, including:
- Water Recycling %
- Water Efficiency Targets
- Waste
- Waste Recycling %
- Waste Reduction Initiatives
- Biodiversity, including:
- Biodiversity Impact Reduction Policy
- Diversity
- Female Employees
- Diversity and Opportunity Targets
- Safety, including:
- Employee Health and Safety
- Total Injury Rate – (i.e. total injuries and fatalities including no-lost-time injuries per one million hours worked)
- Supply Chain Management, including
- Materials Sourcing Policy
- Environmental criteria (ISO 14000, energy consumption) in the selection process of its suppliers or sourcing partners
- ESG Accountability
- Audited CSR Report
- ESG linked compensation incentives for management
How are the environmental or social characteristics and the sustainability indicators monitored throughout the lifecycle of the financial product and the related internal/external control mechanism?
The ESG ratings / scores are monitored on an ongoing basis.
The Investment Manager conducts reviews to ensure ongoing compliance with the policies and analyses the investments exposure at a portfolio level for possible adverse impact. The Investment Manager is responsible for the correct execution of the ESG due diligence activities.
G. Methodologies
What is the methodology to measure the attainment of the environmental or social characteristics promoted by the financial product using the sustainability indicators?
The Fund measures the attainment of the environmental or social characteristics by using on an ongoing basis the sustainability indicators mentioned under the section “F. Monitoring of environmental or social characteristics”.
The Fund relies on the following criteria:
ESG Ratings / Scores
The ESG rating methodology is described under the section “D. Investment Strategy”.
H. Data sources and processing
What are the data sources used to attain each of the environmental or social characteristics including the measures taken to ensure data quality, how data is processed and the proportion of data that is estimated?
- Data sources
The primary source of ESG research is derived from third-party ESG scoring data providers and independent research portals like MSCI, Morningstar Sustainalytics and Goldman Sachs Marquee.
- Data processing
Data is processed internally by the Investment Manager’s research analyst/s and portfolio manager/s, supplemented by external data providers.
- Estimated data
Though data availability presents a challenge due to limited company disclosures, the proportion of data that is estimated is minor and can vary by metric. The Investment Manager’s primary source of data, by industry, is derived from the Investment Manager’s research analyst/s and portfolio manager/s, supplemented by external data providers.
I. Limitations to methodologies and data
What are the limitations to the methodologies and data sources? (Including how such limitations do not affect the attainment of the environmental or social characteristics and the actions taken to address such limitations)
- Limitation to the methodology
Inherent limitations to the methodology exist. In addition to analyst and portfolio manager analysis and engagement discussions, the methodology is built on and supported by external data points that are developed within the limitation of the data sources and company provided information.
- Limitation to the data sources
The major challenge is the data availability for certain ESG factors – for which the Investment Manager may seek to engage directly with the companies to address the lack of disclosure or seek from third- party ESG vendors.
J. Due diligence
What is the due diligence carried out on the underlying assets and what are the internal and external controls in place?
The Fund carries out due diligence on the underlying assets in the investment process on a regular basis as described under the section “F. Monitoring of environmental or social characteristics”.
K. Engagement policies
Is engagement part of the environmental or social investment strategy?
☐ Yes
☒ No
If so, what are the engagement policies? (Including any management procedures applicable to sustainability-related controversies in investee companies)
n/a
L. Designated reference benchmark
☐ Yes
☒ No