Description

This fund is designed to replicate an index that selectively invests in North American mid- to large-cap equities. Its initial screening process removes companies demonstrating unsatisfactory environmental, social, and governance (ESG) performance from the broader Solactive GBS North America Large & mid-cap Index. The remaining eligible companies are then evaluated based on two criteria: a composite score derived from momentum, value, and quality factors, and their carbon intensity. Only those companies ranked in the bottom quartile for both these composite and carbon intensity measures are subsequently excluded. The constituents of the resulting index are weighted according to the inverse of their three-year historical volatility, applied both individually and at the sector level. Individual stock weightings are capped at 2%, while country exposure is limited to 30%. The index is rebalanced quarterly.