Website Disclosures Sections based on Articles 23 to 36 SFDR Delegated Regulation (EU) 2022/1288

To read the summary in German, Spanish and Italian click here.

Full name of the Article 8 (sub-) fund:
BRUMMER UMBRELLA ICAV - BRUMMER MULTI-STRATEGY UCITS

Legal entity identifier: 635400LSIB2KXQZMAD07

Date of review: 21 November 2022

Disclaimer: The present working document may be subject to further regulatory changes.

Sustainability-related disclosures

Summary

BMS AB allocates risk across separate investment strategies managed by Sub-Investment Managers within Brummer & Partners. The objective is to build a well-balanced portfolio that can perform well in most scenarios. BMS UCITS does not have as its objective sustainable investment but promotes the environmental and social characteristics described below:

Climate action (activities to combat climate change and its negative impacts);
Compliance with international norms and conventions on human rights, labour rights, the environment and anti-corruption; and
Consideration of the Sustainable Development Goals published by the United Nations (the "SDGs").

BMS AB performs strategy-dependent evaluation of the Sub-Investment Managers on the quality in the research as well as of the investment and risk management processes, including the integration of sustainability risks/opportunities and the consideration of principle adverse impacts, based on ongoing monitoring and close dialogue with each Sub-Investment Manager. The analysis is both quantitative and qualitative on bottom-up and top-down aspects of each strategy and includes evaluation of their performance on several ESG indicators.

The evaluation of new Sub-Investment Managers and their investment strategy in advance of the initial investment follow the description mentioned above. A pre-requisite for an allocation from BMS UCITS is that Brummer & Partners AB takes a minority share in the Sub-Investment Manager and has board representation (or similar function) and can perform risk control and sustainability related screenings. Also, the Sub-Investment Managers commit to comply with BMS AB’s responsible investment policy and to support BMS AB’s ambition to promote certain environmental and social characteristics.

In order to meet the environmental and social characteristics promoted by BMS UCITS, BMS AB has implemented certain investment governance tools, for example screening and monitoring of each Sub-Investment Managers’ portfolio, engagement with each Sub-Investment Manager, and by rating each portfolio and Sub-Investment Manager on their ESG performance in a proprietary ESG Rating Matrix. BMS AB also participates in collaborative engagement activities with investee, and potential investee, companies to further improve companies’ compliance with international norms on human rights, labour rights, the environment and anti-corruption, as well as actions relating to climate mitigation. Further, BMS AB supports the Sub-Investment Managers with ESG research and data to ensure alignment of sustainability efforts and activities, and to facilitate dialogue and engagement on the promoted characteristics.

BMS AB has formed a Sustainable Working Group (“SWG”) with representatives from the portfolio management team, the risk management team and the sustainability team. The SWG meet quarterly (at minimum) to discuss and evaluate the Sub-Investment Managers’ ESG performance, such as their sustainability risk management processes and documentation, results of ESG screenings and measurements, outcomes of ESG stress tests and outcomes of dialogues with Sub-Investment Managers. The result of the evaluation is documented in the ESG Rating Matrix. BMS AB has not designated a reference benchmark index to determine whether BMS UCITS is aligned with the environmental or social characteristics that it promotes.

To measure the attainment of climate action, BMS AB measures the Sub-Investment Managers’ investee companies’, and portfolio exposure to thermal coal and fossil fuels (shares of revenue derived from thermal coal and fossil fuels respectively) as well as their Weighted Average Carbon Intensity (WACI).

To measure the attainment of compliance with international norms and conventions on human rights, labour rights, the environment and anti-corruption, BMS AB measures the Sub-Investment Managers’ investee companies’ involvement in controversies in relation to these norms as well as any involvement in controversial weapons.

To measure the attainment of consideration of the SDGs, BMS AB measures the Sub-Investment Managers’ investee companies’ impact on the SDGs.

In terms of limitations of the data, BMS AB acknowledges that measurements that involve snap shot views using historical data and different reference time-frames, may limit accuracy and comparability. Further, BMS AB acknowledge that the third party’s methodologies affect the conclusion they make on for example involvement in controversies or exposure to certain sectors however, BMS AB always engage with the Sub-Investment Managers on any issues if identified in the screening to learn the Sub-Investment Manager’s view on the case, and may also engage with the third-party provider in case any differences in conclusions in their respective research and analysis processes need more clarification.

BMS AB’s Shareholder engagement policy outlines its active ownership activities including on voting for BMS UCITS and dialogue with investee companies by Sub-Investment Managers and by BMS AB itself. BMS AB is subscribing to proxy advisory research and voting recommendations that, among other things, take violations of international norms into account, and may inform voting decisions using this research. BMS AB encourages Sub-Investment Managers to be active in their own dialogue with investee companies on relevant ESG topics. Apart from engaging with Sub-Investment Managers, BMS AB also participates in collaborative engagement activities with investee, and potential investee, companies to further improve companies’ compliance with international norms on human rights, labour rights, the environment and anti-corruption, as well as on taking actions related to climate mitigation.

No sustainable investment objective

BMS UCITS promotes environmental or social characteristics, but does not have as its objective sustainable investment.

Environmental or social characteristics of the financial product

Brummer Multi-Strategy UCITS (“BMS UCITS”) promotes:

Climate action (activities to combat climate change and its negative impacts);
Compliance with international norms and conventions on human rights, labour rights, the environment and anti-corruption; and
Consideration of the Sustainable Development Goals published by the United Nations (the "SDGs").

Investment strategy

BMS AB allocates risk across separate investment strategies managed by Sub-Investment Managers within Brummer & Partners. The objective is to build a well-balanced portfolio that can perform well in most scenarios. This is achieved by allocating to investment strategies with low correlation to one another and where risk and return are primarily idiosyncratic (specific to that equity/company) and not market or factor driven. BMS AB seeks to limit any passive beta. Directional exposure should primarily come from trading-oriented strategies such as trend following or macro strategies.

Investment process
BMS AB continuously monitors the Sub-Investment Managers, the aggregated BMS UCITS risk and return profile as well as the overall market environment to form the basis of strategic and active tactical allocations.

Sub-Investment Manager level: Strategy-dependent evaluation of the quality in the research as well as of the investment and risk management processes, including the integration of sustainability risks/opportunities and the consideration of principle adverse impacts, based on ongoing monitoring and close dialogue with each Sub-Investment Manager. The analysis is both quantitative and qualitative on bottom-up and top-down aspects of each strategy and includes evaluation of their performance on several ESG indicators (BMS ESG Rating Matrix), please see below.

Market environment: Identification and analysis of contextual factors that can create tail- or headwinds for different investment strategies, which can tilt the allocation in different directions.

Multi-Strategy level: Quantitative and qualitative analysis of the overall portfolio to identify and measure main risk exposure and contributors, including sustainability risk exposure. The risk and opportunity set are then evaluated vis-à-vis predefined tolerance levels and view of overall market environment. BMS AB is also engaging with the Sub-Investment Managers to raise awareness of risks and work with them to support development of their respective investment processes and responsible investment practices. Tactical, incremental adjustments around longer-term strategic allocations are performed to achieve the investment objectives: to build a well-balanced portfolio that can deliver competitive and sustainable alpha-driven risk-adjusted returns over time with limited drawdowns.

The evaluation of new Sub-Investment Managers and their hedge fund strategy in advance of the initial investment follow the description mentioned above. A pre-requisite for an allocation from BMS UCITS is that Brummer & Partners AB takes a minority share in the Sub-Investment Manager and has board representation (or similar function) and can perform risk control and sustainability related screenings. Also, the Sub-Investment Managers commit to comply with BMS AB’s responsible investment policy and to support BMS AB’s ambition to promote certain environmental and social characteristics.

In order to meet the environmental and social characteristics promoted by BMS UCITS, BMS AB has implemented certain investment governance tools, for example screening and monitoring of each Sub-Investment Managers’ portfolio, engagement with each Sub-Investment Manager, and by rating each portfolio and Sub-Investment Manager on their ESG performance in a proprietary ESG Rating Matrix. BMS AB also participates in collaborative engagement activities with investee, and potential investee, companies to further improve companies’ compliance with international norms and good governance on human rights, labour rights, the environment and anti-corruption, as well as actions relating to climate mitigation. Further, BMS AB supports the Sub-Investment Managers with ESG research and data to ensure alignment of sustainability efforts and activities, and to facilitate dialogue and engagement on the promoted characteristics.

Sub-Investment Strategies

Long/Short Equity
A long/short equity strategy uses fundamental analysis to take long and short positions on equity securities likely to appreciate or depreciate, respectively. BMS UCITS primarily allocates to market-neutral and sector-focused long/short equity strategies to ensure diversification and that risk and return are primarily idiosyncratic (specific to that equity/company) and not market or factor-driven.

Systematic Macro
A systematic macro strategy applies proprietary algorithmic models to a diverse range of liquid asset classes. The underlying factors driving market prices are analysed through, typically, econometric models that look at a broad set of macroeconomic or other fundamental data (including ESG related data). Rules-based trading systems are developed around the understanding of how fundamentals and markets interact, and position-taking is typically relative-value and cross-sectional based.

Systematic Trend
A systematic trend strategy applies proprietary algorithmic models with different characteristics to analyse markets (including new markets such as renewable energy markets) and take, typically, directional positions. A diversified set of trend-following approaches constitutes the main part of the strategies, using for example different mathematical techniques and historical look-back periods to analyse mainly price trends and fluctuations.

Proportion of investments

BMS UCITS allocates to investment strategies managed by Sub-Investment Managers in the Brummer & Partners group, covering different types of asset classes, methodologies and investment universes. BMS UCITS therefore has exposure to a wide range of asset classes in a great number of financial markets. As a multi-strategy investment vehicle, the planned asset allocation changes over time depending on the constituent Sub-Investment Managers and their portfolio exposures.

The direct investments made by the Sub-Investment Managers in equities, corporate bonds (or indirect investments in applicable derivative instruments such as call or put options, certificates or swaps where we can identify a company) should be aligned with and not obstruct the environmental and social characteristics that BMS UCITS strives to promote, or should be managed in accordance with the binding criteria described above. Some of these investments may also be considered to be sustainable, although BMS UCITS does not claim to make any sustainable investments intentionally. As such, no minimum proportion of sustainable investments is expressed.

Other investments, both direct and indirect, made by Sub-Investment Managers may not be aligned with the environmental and social characteristics that BMS UCITS strives to promote. The reason for this is that some investments cannot be screened for relevant ESG factors, for example interest rates, foreign exchange rates, cash, commodity derivatives and index based derivatives. BMS UCITS’ exposure to such investments depends on the Sub-Investment Managers’ investment decisions to deliver on BMS UCITS objective to generate sustainable, long-term, competitive risk-adjusted positive returns.

The screening, monitoring and promotion of environmental and social characteristics are only relevant for direct investments made into equities, corporate bonds (or indirect investments in applicable derivative instruments such as call or put options, certificates or swaps where we can identify a company), the aligned category. In certain cases, monitoring such as for example Weighted Average Carbon Intensity (WACI) and other principle adverse impact indicators are also relevant for sovereign issuers of bonds.

Due to the nature of the multi-strategy product allocating to Sub-Investment Managers with different investment strategies, the share of aligned assets and other assets, will fluctuate over time. Therefore no particular minimum proportion of investment categorized as aligned assets can be pre-determined hence, the minimum proportion could, in theory, be 0 percent. However, as aligned assets can only include equities and corporate bonds (or applicable derivative instruments such as call or put options, certificates or swaps where we can identify a company), the aligned asset share could, in theory, be 100 percent. In order to be conservative and not risk sharing misleading information, BMS AB has stated the share of aligned assets to be 0 to 50 percent. In September 2022, it was approximately 23 percent. As previously stated, BMS UCITS does not seek to invest in sustainable investments hence, the minimum proportion of such investments is also 0 percent.

Monitoring of environmental or social characteristics

BMS UCITS promotes:

Climate action (activities to combat climate change and its negative impacts);
Compliance with international norms and conventions on human rights, labour rights, the environment and anti-corruption; and
Consideration of the Sustainable Development Goals published by the United Nations (the "SDGs").

To measure the attainment of consideration of the SDGs, BMS AB measures the Sub-Investment Managers’ investee companies’ impact on the SDGs.

These measurements are aggregated and assessed on BMS UCITS’ and each Sub-Investment Manager’s portfolio level.

In order to meet the environmental and social characteristics promoted by BMS UCITS, BMS AB has implemented certain investment governance tools, for example screening the Sub-Investment Managers’ portfolios to ensure compliance with investment restrictions, the measurements of the attainment of the promoted characteristics described above, as well as engagement with the Sub-Investment Managers on relevant ESG topics, such as the promoted environmental and social characteristics. BMS AB has formed a Sustainable Working Group (“SWG”) with representatives from the portfolio management team, the risk management team and the sustainability team. The SWG meet quarterly (at minimum) to discuss and evaluate the Sub-Investment Managers’ ESG performance, such as their sustainability risk management processes and documentation, results of ESG screenings and measurements, outcomes of ESG stress tests, and outcomes of dialogues with Sub-Investment Managers. The result of the evaluation is documented in the ESG Rating Matrix and feeds into BMS AB’s analysis and allocation decisions.

Apart from engaging with Sub-Investment Managers, BMS AB also participates in collaborative engagement activities with investee, and potential investee, companies to further improve companies’ compliance with international norms on human rights, labour rights, the environment and anti-corruption, as well as actions relating to climate mitigation. Further, BMS AB supports the Sub-Investment Managers with ESG research and data to ensure alignment of sustainability efforts and activities, and to facilitate dialogue and engagement on the promoted characteristics.

Methodologies for environmental or social characteristics

BMS AB has engaged a specialised third party sustainability research and ESG data provider to supply the ESG data and research that BMS AB needs to measure the attainment of the promoted characteristics. The research subscribed to includes norm based research, controversial weapons research, energy and extractives data, carbon emissions data, and SDG Impact data and. The research indicates severity of involvement in a controversy or in controversial weapons according to a traffic light system and provides information on what norm or convention has been violated, or an absolute or interval percentage on revenue share from products or services provided in relation to emissions or extractives, for example. The research and data are inserted in a database and mapped against the Sub-Investment Managers’ portfolios and aggregated on a BMS UCITS portfolio level. BMS UCITS exposure is then expressed as share of investments, in relation to the Net Asset Value (“NAV”), that is as a percentage exposure to for example controversial weapons or a norm based violation, if there is any. Carbon emissions however, are aggregated using carbon intensity (carbon emissions expressed in relation to a company’s revenue) and is measured as a weighted average across the long and short books respectively, resulting in two figures (+ and -) as well as an aggregated net number. Results can then be compared and analysed over time. Also, SDG impact ratings are calculated for both the long and the short books, as well as aggregated and are used in the dialogues with Sub-Investment Managers to raise awareness and for educational purposes.

BMS AB uses the output from the process described above as follows:

Climate action
BMS AB requires the Sub-Investment Managers to avoid investing a portfolio's assets in issuers that generate more than 5 percent of their revenue from the production of thermal coal, or derive more than 30 percent of their revenue from energy production based on coal. BMS AB provides investment restrictions lists to the Sub-Investment Managers to help them implement this requirement and screens their portfolios to ensure compliance. Further, BMS AB measures the Weighted Average Carbon Intensity (WACI) and general fossil fuel exposures of the issuers of equities and corporate bonds in each portfolio on a quarterly basis. BMS AB engages with Sub-Investment Managers on the results of the measurements and conducts an informed dialogue to raise awareness and share insights and to collaborate on interpreting the numbers from an alternative, absolute return, multi-strategy perspective. As it relates to thermal coal, a portfolio may be invested in an issuer that exceeds the thresholds above, if the Sub-Investment Manager determines that the relevant company is making (or will do so in the future), a significant contribution to the transition towards renewable energy sources. Apart from the restriction lists and the engagement with Sub-Investment Managers on the results of the screenings and measurements, BMS AB participates in thematic collaborative engagement activities with investee and potential investee companies on climate action activities, such as for example net-zero initiatives and alignment with the Paris Agreement.

Compliance with international norms and conventions on human rights, labour rights, the environment and anti-corruption
BMS AB measures, on a quarterly basis at minimum, the exposure of each portfolio to companies involved in a violation of such international norms and conventions. The Sustainability and Risk teams of the Investment Manager review all flagged companies and engage with the relevant Sub-Investment Manager in relation to a Portfolio’s holdings in any such companies. If a Portfolio has exposure to a particular company in violation of such rights, the Investment Manager may request the Sub-Investment Manager to divest the Portfolio's holding in such company unless the Sub-Investment Manager provides rationale for the continued holding of the current position of the Portfolio and an action plan in compliance with the Sub-Investment Manager's policies and procedures.

To further promote compliance with the international norms and conventions mentioned above, BMS AB participates in collaborative engagement activities with companies that allegedly or verifiably are involved in violations of international norms, whether these companies are in a portfolio or not.
Another tool used by BMS AB to promote international norms and conventions on human rights is to also require Sub-Investment Managers to avoid investments in controversial weapons such as cluster bombs, anti-personnel mines, biological and chemical weapons, and nuclear weapons. BMS AB provides investment restrictions lists to the Sub-Investment Managers to help them implement this investment restriction and performs screening to ensure compliance. In case an exposure to controversial weapons would be identified, BMS AB may require the Sub-Investment Manager to exit the position in such company.

Consideration of the Sustainable Development Goals
BMS AB has asked the Sub-Investment Managers to identify which SDGs that are relevant for their respective investment strategy. Sub-Investment Managers are expected to be aware of the SDGs’ part in the sustainability mega-trend. Awareness of the SDGs and the role they play may help identify investment opportunities both for long books but also for short books as some companies fail to adapt to a more sustainable future. The sustainability and risk teams measures, on a quarterly basis, each portfolio's exposure to companies which positively or negatively impact on the SDGs and the results are taken into account in the ongoing dialogue between BMS AB and each Sub-Investment Managers.

Data sources and processing

BMS AB subscribes to ESG data and research from a specialised third party sustainability research and ESG data provider and uses their data for screenings and measurements of the Sub-Investment Managers’ portfolios. The research and data includes norm based research and norm based engagement, controversial weapons research, energy and extractives data sets, SDG impact ratings, carbon emissions data and involvement in controversial business areas such as alcohol, tobacco, gambling and military equipment (sector based screening). The sector based screening as well as the energy and extractives screening is based on revenue and involvement type thresholds and definitions. The data subscribed to also includes EU taxonomy alignment and principle adverse impacts data. Apart from the ESG data and research acquired by BMS AB, the Sub-Investment Managers may also choose their own data sources as needed for their own analysis and investment decision making processes.

BMS AB has selected a provider that is well renowned, has global presence, and who is responsive to feedback as well as supportive when BMS AB questions data outliers or coverage issues. The third party specialist has documented its research methodologies and the methodologies used to calculate exposures or impacts and they are available to BMS AB upon request. However, as companies' disclosure of the data required to calculate principle adverse impacts and EU taxonomy alignment is limited, a substantial (but not quantifiable in terms of proportion as it depends on the portfolio construction at any given point in time) amount of the data is estimated. The same challenges exist also for carbon emissions data, SDG impact data and sector based data that requires information on company revenue shares and product sales that are relatively limited in relation to any company’s general business exposure (please see Limitations to methodologies and data for detailed examples). As companies’ disclosures and transparency improve, and more ESG data becomes verifiably audited and reviewed by companies themselves, the data availability should improve over time and the need for estimates will hopefully be reduced. Estimates are however not typically an issue for norm based research and controversial weapons research that is based on information in public reports and in public statements and communication.

The data acquired is integrated in a proprietary SQL data-base, and used in proprietary analysis and calculation models. The output may be exported in excel or to Microsoft Power BI.

Limitations to methodologies and data

To assess company involvement in different activities and to estimate revenue shares as accurately as possible, the third-party provider strives to obtain information directly from companies and issuers. Sources of data include annual reports, regulatory filings, sustainability reports, press releases, investor presentations, company websites, and other company disclosures. External information such as government sources, industry databases and reputable newspapers, are cross-referenced to complement company disclosures. While part of the data, such as some principal adverse impact data, can be mapped back to sovereign issuers, BMS AB acknowledges that the vast majority of the data covers companies. This is a significant limitation, as the Sub-Investment Managers invest in many different asset classes and markets and not only to equities and corporate bonds.

In terms of limitations of the data and the use of the data, BMS AB acknowledges that measurements that involve snap shots, such as the principal adverse impact indicators disclosed in BMS AB’s principal adverse impact statement, can have different reference time-frames, and are measured as the average of the four (4) quarters of the calendar year in terms of portfolio exposure. Due to point in time assessments of, for example, previous fiscal year revenues on an individual issuer, or statements made from such an issuer that has been subject to further qualitative analysis from the third-party provider, the calculation of the principal adverse impact indicators therefore results in a non-quantifiable margin of error. Similarly, for revenue-based exposures or metrics that use specific thresholds, a company’s reported revenue shares may not be detailed or granular enough to identify for example contribution to the SDGs or exposure to coal, and therefore may not be included in the data used by BMS AB to screen the Sub-Investment Managers portfolios or to measure their exposures or impacts. Lack of granularity in the data sources used in combination with using historical data published in, for example, annual reports means that there is both a significant time lag in snap shot metrics as well as challenges to data quality to the extent that estimates of revenue exposures are the only available pieces of information.

Carbon data is slightly different. Historically, company disclosure have been voluntary and the data provider has developed proprietary methodologies to capture outliers and in cases of non-disclosed data to use estimates. Estimates facilitate portfolio level assessments, but limits accuracy of company level assessments. Carbon emissions data quality is essential to the calculation of weighted average carbon intensity (WACI), and the use of estimates on companies’ intensity or emissions may affect aggregated portfolio level data.

Limitations to norm based research and controversial weapons research are related to the differences in methodologies rather than lack of or quality of data as they use publicly known alleged or verified incidents or controversies, such as violation of labour rights reported in the media or supply of key equipment and services to a cluster munitions weapons programme. Different research providers have different methodologies for collecting this type of information and also for how that information is assessed and rated. BMS AB’s research provider’s methodology includes reaching out to companies to get their view on the issue, any action plans or other plans in relation to the controversy or any other relevant information. Also, the involvement is graded according to a pre-defined scale which facilitates comparability of different controversies. For example, a company with a seemingly low or almost irrelevant revenue share from the production or sale of key components of controversial weapons, can be defined to be involved in controversial weapons to the same grade as a company that identifies as a defense industry company. Limitations may occur however when comparing one research provider’s rating with another’s as they use different methodologies which may result in different conclusion on whether a company is in violation or degree of involvement in a controversy.

While the limitations above are relevant to the management of the BMS UCITS, BMS AB believes that it receives sufficient data, as outlined above, in order to manage the BMS UCITS in a manner which is aligned with the environmental and social characteristics promoted by the BMS UCITS.

Due diligence

BMS AB allocates to Sub-Investment Managers and their investment strategies and therefore performs due diligence both in the search for new Sub-Investment Managers, and as part of the ongoing monitoring that supports the monthly allocation decisions to existing Sub-Investment Managers.

When deciding on whether to allocate to a Sub-Investment Manager, BMS AB will evaluate the policies and internal documented processes that the Sub-Investment Manager has in place and will analyse the Sub-Investment Manager’s approach to integrating sustainability risks and opportunities into the investment process, and the management of Principle Adverse Impacts in respect of the relevant portfolio. The Investment Manager also supports the Sub-Investment Managers with ESG research and data to ensure alignment of sustainability efforts and activities, and to facilitate dialogue and engagement on the promoted characteristics outlined in previous sections. In many cases, Sub-Investment Managers draft and implement the required sustainability related documentation during the onboarding process.

The due diligence or ongoing monitoring of existing Sub-Investment Managers strives to ensure compliance with their respective Responsible Investment policies as well as BMS AB's own Responsible Investment policy. The sustainability and risk teams therefore perform quarterly (at minimum) screenings and measurements of each portfolio. This screening covers exposure to companies in violation of international norms, thermal coal and fossil fuels in general, and controversial weapons as described in previous sections. The screening process also includes other key areas that required to either promote certain environmental or social characteristics, such as WACI and SDG impact ratings, or such measurements that relate to management of Principal Adverse Impacts or the EU Taxonomy alignment, as well as ethical screening for information purposes and investor communication. The results are then subject to dialogue and engagement with each Sub-Investment Manager. As each Sub-Investment Manager is a member of the Brummer & Partners group, Brummer & Partners is represented on the board of directors (or equivalent body) of each Sub-Investment Manager and accordingly, has the ability to influence board agenda items with respect to sustainability risk and other ESG considerations that may be identified.

BMS AB's evaluation of (i) the Sub-Investment Managers’ policies and processes for the integration of sustainability risks and opportunities in investment decisions; (ii) the results of the screening described above; and (iii) the attentiveness of the Sub-Investment Managers and their willingness to engage and improve on sustainability matters, are all included in a proprietary BMS ESG Rating Matrix which is maintained by the Sustainability Working Group (“SWG”) which includes representatives of the portfolio management team, the risk management team and the sustainability team. In the event that BMS AB is not satisfied with the results of the evaluation of a Sub-Investment Manager or its investment strategy, BMS AB may take this into account as part of its ongoing allocation process and may require the Sub-Investment Manager to take appropriate measures as a result of sustainability risk considerations.

Engagement policies

BMS AB’s Shareholder engagement policy outlines its active ownership activities including on voting for BMS UCITS and dialogue with investee companies by Sub-Investment Managers and by BMS AB itself. BMS AB subscribes to proxy advisory research and voting recommendations that, among other things, take violations of international norms into account, and may inform voting decisions using this research. BMS AB also encourages Sub-Investment Managers to be active owners and engage with investee companies on relevant ESG topics. Apart from engaging with Sub-Investment Managers, BMS AB also participates in collaborative engagement activities with investee, and potential investee, companies to further improve companies’ compliance with international norms on human rights, labour rights, the environment and anti-corruption, as well as on taking actions related to climate mitigation.

BMS AB’s Shareholder engagement policy is available here: https://www.brummer.se/en/funds/brummer-multi-strategy-ucits/sustainability/

Designated reference benchmark

No specific index is designated as a reference benchmark to determine whether BMS UCITS is aligned with the environmental or social characteristics that it promotes.