For institutional investors in Sweden

Status under the EU Sustainable Finance Disclosure Regulation (SFDR) – US Sustainable Equity Fund

Janus Henderson Fund – US Sustainable Equity

The Fund is categorised as one which meets the provisions set out in Article 9 of SFDR as a product which promotes environmental and/or social characteristics.

A. Summary

The Investment Manager uses a number of sources/methods to consider the mandatory indicators for principal adverse impacts on sustainability factors (“PAIs”) under the EU Sustainable Finance Disclosure Regulation (SFDR), to determine that its sustainable investments do not cause significant harm to relevant environmental or social objectives. Depending on the indicator, the Investment Manager uses one or more of the following approaches:

  1. Each underlying investment’s activities and reported metrics are screened against significant harm criteria defined by JHI referring to the relevant mandatory PAIs set out under SFDR, dependant on the company’s performance relative to pre-set house level exclusionary criteria (which may be quantitative or qualitative in nature).
  2. Operational ESG assessment - company specific ESG issues are identified and their overall level of exposure to material impacts and risks are assessed against ongoing remediation of those risks.

Please see below for further details on the approach adopted for each mandatory adverse impact indicator.

Screens are applied to avoid investing in issuers if the Investment Manager considers they have failed to align with the OECD Guidelines for Multinational Enterprises, or failed to comply with the UN Global Compact Principles (which cover matters including, human rights, labour, corruption, and environmental pollution).

The Fund’s investment objective aims to provide capital growth over the long term by investing in US companies that contribute to the development of a sustainable economy across environmental and social themes such as cleaner energy, water management and sustainable transport. The Fund does not use a reference benchmark to meets its sustainable investment objective.

This Fund seeks capital growth through investment in the US equity market and specifically through exposure to US companies, whose products and services have a positive impact on the environment or society, thereby contributing to the development of a sustainable global economy. Investors should read this section in conjunction with the Fund’s investment strategy (as set out in the section ‘Funds’ of the Prospectus).

The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system, or otherwise integrated within the investment selection and monitoring process utilising third-party data provider(s) and internal proprietary research on an ongoing basis.

Periodic desk reviews are undertaken to identify that sufficient research has been undertaken and documented to evidence that issuers have been correctly mapped to the Investment Manager’s sustainable investment themes, including any relevant revenue thresholds.

The companies in which investments are made are assessed by the Investment Manager to follow good governance practices.

The good governance practices of investee companies are assessed prior to making an investment and periodically thereafter in accordance with the Sustainability Risk Policy (“Policy”).

In addition, the Investment Manager is a signatory to the UN Principles for Responsible Investment (UNPRI).

A minimum of 90% of the investments of the financial product are expected to meet the sustainable investment objective of the financial product. Although the Investment Manager does not target a specific allocation, it is expected that there will be a minimum of 25% invested in sustainable investments with an environmental objective and 25% in sustainable investments with a social objective.

The remaining investments, marked as “not sustainable” below, may include cash or cash equivalents in addition to instruments held for the purposes of efficient portfolio management, e.g. temporary holdings of index derivatives.

All investments of the financial product that are used to meet the environmental and/or social characteristics promoted by the financial product are direct investments.

  1. The Investment Manager uses selection criteria to ensure that the Fund invests only in companies that derive at least 50% of their current or future expected revenues from goods and services within the Investment Manager’s sustainable development themes, as set out below: Efficiency
  • Cleaner energy
  • Water management
  • Environmental services
  • Sustainable transport
  • Sustainable property & finance
  • Safety
  • Quality of life
  • Knowledge & technology
  • Health
  1. Carbon - Carbon Intensity Scope 1&2
  2. Carbon - Carbon Footprint Scope 1&2
  3. Overall UNGC Compliance Status
  4. ESG Exclusionary screens - see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions

Details of how the sustainable investments do not cause significant harm to any environmental or social sustainable investment objectives, and the policy to assess good governance practices of the investee companies, are included below.

The Fund’s investment universe is determined by the application of positive screening criteria based on the sustainable investment themes of the Investment Manager noted previously. The Investment Manager uses a proprietary methodology to ensure that companies the Fund invests in derive at least 50% of their current or future expected revenues from goods and services aligned with these sustainability themes and as noted above, has a process in place to determine that its sustainable investments don’t significantly harm other relevant environmental or social objectives.

The Investment Manager aims to maintain a carbon footprint and carbon intensity that is at least 20% below the S&P 500.

In addition, the Investment Manager applies screens to exclude direct investment in corporate issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 5% of their revenue from production of alcohol, fossil fuel extraction and refining, non-medical animal testing, armaments, fossil fuel power generation, fur, gambling, chemicals of concern, genetic engineering, pornography, intensive farming, tobacco, nuclear power, and meat and dairy production. The Fund also applies the Firmwide Exclusions Policy, which includes controversial weapons, as detailed under paragraph 10.15 of the section entitled “Investment Restrictions” in the Prospectus. The Investment Manager anticipates that the negative screening will decrease the Fund’s investment universe by at least 20%.

The Investment Manager may include positions in the Fund that, based on third-party data or screens, appear to fail the above criteria, the above exclusionary criteria where the Investment Manager believes that the third-party data is insufficient or inaccurate.

The Fund makes use of both internal resources and external research and data providers. Internal resources comprise specialist sustainability analysts within the investment team and Janus Henderson’s central ESG research team. JHI’s principle external ESG data provider is MSCI, however, the investment manager also uses several other ESG research providers including Sustainalytics, ISS, and Vigeo EIRIS.

Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research. This ensures consistent data and methodologies are used given an ESG measure per security type and hence can be compared correctly in the portfolio construction process.

The proportion of data for a Financial Product that is estimated constantly evolving.

Some data used to support binding criteria as received from external providers may be estimated data. For positions not covered by the external data provider, proprietary research may be used. This could range from proprietary research alignment against the external data vendor to written confirmation from the issuing entity that it aligns to the binding criteria. The appropriateness of the evidence provided is assessed by an independent body at JHI.

Data coverage is directly driven by the coverage of the underlying ESG Data Provider.

JHI’s internal data structure provides sufficient flexibility to incorporate proprietary evidence or adapt evaluations to future requirements.

JHI is aware of data gaps in ESG Research for non-traditional asset classes compared to mainstream asset classes such as equities and debt instruments.

The JHI Sustainability Risk Policy sets out the firmwide ESG Integration Principles, Sustainable Investment Principles and Baseline Exclusions applied to investee companies. These exclusions are based on classifications provided by third-party data ESG data providers. This classification is subject to an investment research override in cases where sufficient evidence exists that the third-party field is not accurate or appropriate.