Status under the EU Sustainable Finance Disclosure Regulation (SFDR) – Global Equity Market Neutral Fund

B. No Sustainable Investment Objective

This financial product promotes environmental or social characteristics but does not have as its objective sustainable investment.

C. Environmental or social characteristics of the financial product

The Fund promotes support for the UNGC Principles (which cover matters including human rights, labour, corruption, and environmental pollution). The Fund also seeks to avoid investments in certain activities with the potential to cause harm to human health and wellbeing by applying binding exclusions. The Fund does not use a reference benchmark to attain its environmental or social characteristics.

D. Investment Strategy

This Fund seeks a positive absolute return through global equity markets and specifically through a market neutral fund. 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 Managers order management system utilising third-party data provider(s) on an ongoing basis.

The companies in which investments 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”).

The Policy sets minimum standards against which investee companies will be assessed and monitored by the Investment Manager prior to making an investment and on an ongoing basis. Such standards may include, but are not limited to: sound management structures, employee relations, remuneration of staff and tax compliance.

The Policy can be found incorporated within Janus Henderson’s “ESG Investment Policy” in the “About Us – Environmental, Social and Governance (ESG)” section of the website at www.janushenderson.com.

In addition, the Investment Manager is a signatory to the UN Principles for Responsible Investment (UNPRI). As a signatory, the good governance practices of investee companies are also assessed by having regard to the UNPRI principles prior to making an investment and periodically thereafter.

E. Proportion of investments

A minimum of 10% of the deployed capital of the financial product (i.e. gross exposure) is used to meet the environmental or social characteristics promoted by the financial product. Generally, the expected range would be between 10- 50% of the deployed capital, as the long investment allocation that promotes sustainable characteristics will vary across economic and stock market cycles. Other assets may include cash or cash equivalents, instruments held for the purposes of efficient portfolio management e.g. temporary holdings of index derivatives, or short equity positions. No minimum environmental or social safeguards are applied to such investments.

Investments of the financial product that are used to meet the environmental and/or social characteristics promoted by the financial product are both direct and indirect investments in the form of single-name derivatives, typically 50% direct, 50% indirect. At times the weighting to indirect investments could be as much as 100%. Figures quoted are on the basis of Fund exposure.

F. Monitoring of environmental or social characteristics

The sustainability indicators used to measure the attainment of each of the environmental or social characteristics promoted by this financial product are:

• Overall UNGC Compliance Status of the long book
• ESG exclusionary screens applied to the long book – see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions.

The Front Office Controls & Governance team provide ongoing assurance that investment products are managed in line with documented sustainability commitments. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. Investment Compliance implement exclusionary screening and monitor this on an ongoing basis in addition to elements of manual oversight where relevant.

G. Methodologies for environmental or social characteristics

The Investment Manager applies screens to its long positions to exclude direct investment in issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil sands extraction, arctic oil and gas, thermal coal extraction or power generation. Issuers are also excluded if they are deemed to have failed to comply with the UN Global Compact Principles (which cover matters including human rights, labour, corruption, and environmental pollution).

The Fund also applies the Firmwide Exclusions Policy [link], which includes controversial weapons, as detailed in Appendix 2: of the Prospectus.

The Investment Manager also applies screens to exclude ESG laggards.

Furthermore, the Investment Manager carries out its review from an ESG perspective (i.e. ‘extra-financial analysis’) on at least 90% of the long positions.

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

H. Data sources and processing

The Fund has chosen MSCI’s ESG Manager as its primary data source for ESG (Environmental, Social and Governance) research.

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.

JHI has built a centralised proprietary research alignment process; The central research alignment process aligns data at three different levels.

1. Entity Level,
2. Position Level, and
3. Fund Level.

The research alignment and mapping capability is critical to JHI's ESG (Environmental, Social and Governance) methodology, as we recognize a security could inherit the ESG information from the issuing legal entity, however, some ESG risks will be instrument specific.

JHI applies a series of Data Quality rules to ensure the integrity of the data being ingested into the central research alignment solution. JHI data that is not aligned correctly to the definition as provided by the data vendor is not ingested into the central cloud-based data warehouse and exceptions are raised. These exceptions are monitored and remediated by a central support team. Remediation includes challenging the data provider or internal operations supporting internally managed Systems of Records. Where appropriate the Data Owner responsible and accountable for the data is notified through the internal Data Governance process to resolve outstanding exceptions.

JHI receives weekly automated data feeds from external ESG Data vendors, which are ingested into a cloud-based data warehouse. Once the data is ingested and Data Quality checks have been performed the raw data is mapped to JHI’s internal taxonomy structure. This ensures that all ESG data from the data warehouse is made available consistently across all downstream JHI applications supporting the different stages in the investment process.

The proportion of data for a Financial Product that is estimated constantly evolving. The proportion of estimated data is expected to be low for this product.

Positions allocated may be estimated or reported data received from the external data vendor. 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.

I. Limitations to methodologies and data

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

JHI is aware of data gaps in ESG Research for small cap and Resources stocks.

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

J. Due diligence

As detailed in the above ‘Methodologies for Environmental and Social Characteristics’ section, the Investment Manager applies screens to its long positions to exclude direct investment in issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil sands extraction, arctic oil and gas, thermal coal extraction or power generation. Issuers are also excluded if they are deemed to have failed to comply with the UN Global Compact Principles (which cover matters including human rights, labour, corruption, and environmental pollution).

The Fund also applies the Firmwide Exclusions Policy [Link], which includes controversial weapons, as detailed in Appendix 2: of the Prospectus.

The Investment Manager also applies screens to exclude ESG laggards.

Furthermore, the Investment Manager carries out its review from an ESG perspective (i.e. ‘extra-financial analysis’) on at least 90% of the long positions.

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

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.

Each Investment desk completes their own due diligence processes ahead of making any investment decisions within their Article 8 funds, using internal and external tools and research. The Front Office Controls & Governance team provide ongoing assurance that investment products are managed in line with documented sustainability commitments. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. Investment Compliance implement exclusionary screening and monitor this on an ongoing basis in addition to elements of manual oversight where relevant.

K. Engagement Policies

In addition to the binding elements of the investment strategy described above, stewardship forms an integral and natural part of Janus Henderson’s long-term, active approach to investment management. Details of JHI’s approach to Engagement can be found in the ‘ESG Investment Policy’ published under the ‘ESG Resource Library’ on the Janus Henderson website.

The Firm supports a number of stewardship codes and broader initiatives around the world and is a signatory to the UK stewardship code.

Above and beyond the expectation that investment teams incorporate ESG considerations in issuer engagement as appropriate to individual circumstances, investment teams are also asked to pro-actively engage on core sustainability themes (as detailed in the ESG Investment Policy).

Janus Henderson has a Proxy Voting Committee, which is responsible for establishing positions on major voting issues and creating guidelines overseeing the voting process. The Committee is comprised of representatives of investments portfolio management, corporate governance, accounting, legal and compliance. Additionally, the Proxy Voting Committee is responsible for monitoring and resolving possible conflicts of interest with respect to proxy voting.

L. Designated Reference Benchmark

No index has been designated as a reference benchmark to meet the environmental or social characteristics promoted by this Article 8 Financial Product.

M. Principal adverse impacts (PAI)

This product does not consider PAIS

'Where the translated version of this disclosure text differs from the English version, the original English version prevails'