Description

The fund incorporates environmental, social and governance (ESG) considerations to a multifactor investment approach. It starts by narrowing down the Scientific Beta Canada Universe (reference equity universe) through “Carbon Filtering”—a process of removing the most carbon intensive stocks within each sector in an effort to significantly reduce the weighted average carbon intensity level of the index relative to the cap-weighted reference universe. This also identifies companies that meet the fund’s pre-determined ESG standards. Remaining securities are then filtered out based on six investment factors: size (selecting midcap stocks only), valuation, momentum, volatility, profitability, and investment. A proprietary diversification-based weighting scheme is then applied to each of the six filtered groups. The index is rebalanced on a quarterly basis.