amLeague SRI & Low Carbon Mandates – Analysis by Cedrus AM

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amLeague SRI & Low Carbon Mandates – Analysis by Cedrus AM

amLeague is an online trading platform that allows asset managers to place orders on notional portfolios. The characteristics of the intervention conditions and the mandates were the same for all asset managers, as it is easier to compare the achievements of each of the asset management companies.

As SRI gains significance for institutional investors, amLeague creates Europe Equities SRI Mandate in 2013 and Global Low Carbon Mandate in 2015. Cedrus AM led the development such as making the specifications and the working group for the operational implementation of these mandates.

Market context - 1^st Quarter 2016

The first semester of 2016 has begun falling sharply pursuing the movement initiated earlier in December. Taking into consideration such an unfavorable market context, let’s have a closer look at the performances of the active managers in charge of responsible portfolios on amLeague platform.

amLeague Europe Equities SRI Mandate Performances

Global performances analysis

Performances from 12/31/2015 to 06/30/2016

At the beginning of a year severely affected by volatility, active managers were able to demonstrate their capability in the Europe Equities SRI mandate. Indeed, 56% of the participating asset managers outperformed the benchmark in S1 2016 and the mandate’s average displays a relative performance of +0.6% compared to the STOXX Europe 600 NR.

ESG indicators analysis – 30st June 2016

ESG scores are provided by Sustainalytics.

The overall ESG rating as well as the rating on all three pillars are higher than those of the STOXX Europe 600 NR, not weighted by capitalization among all managers.

Besides, the asset managers participating on the Europe Equity SRI mandate have improved their emission reduction rating by two points on average (from 82 to 84.1) over the period.

Click here to read the full analysis of the Europe SRI Equities mandate by Cedrus AM

amLeague Global Low Carbon Mandate Performances

Risks and returns overview (period: 31/12/15-30/06/16)

6 months after the beginning of the mandate, results dispersion still increase. In the 2016 volatile equity market, only 6 fund managers beat the MSCI World on a year to date basis. These managers generally have a defensive equity beta and produced the large part of their outperformance in bear markets, missing some part of the rebound (11 February 2016). A clear tendency emerges within the mandate which hosts a large variety of management styles (on average, global alphas are modestly correlated: 0,36): in bear (bull) markets, it seems that it is easier (harder) for the managers to beat the index.

Extra-financial indicators analysis (period: 31/12/15-30/06/16)

We notice the high dispersion among the mandate in terms of extra-financials metrics.

These results bring the following issue: where should we put the “cursor” between financials and extra-financials claims? If the final answer is an investor related issue, we notice that beating the MSCI World index with better extra-financial indicators seems to be a realistic option, at least on the short term. On the long term, a dynamic allocation between these fund managers will be necessary in order to create steady outperformance, both on the financial and on the extra-financial side.

Click here to read the full analysis of the Global Low Carbon mandate by Cedrus AM