Fisher Investments Luxembourg Strategy Disclosures

Fisher Investments Luxembourg makes available to its private clients certain strategies that promote an environmental or social characteristic. Further information about these strategies can be found below.

Environmental and/or Social Characteristics of the All World ESG Strategy

The investment objective of the All World ESG strategy (the “Strategy”) is to outperform the MSCI All Countries World Index (the “Benchmark”) by investing primarily in global market securities. The Strategy seeks to achieve its investment objective through a top-down investment process based on applying capital markets technology to the analysis of a wide range of economic, political and sentiment drivers to formulate forecasts and develop portfolio themes.

Because Fisher Investments Luxembourg, Sàrl (“Fisher Investments Luxembourg”) delegates its portfolio management services to its parent company, Fisher Asset Management, LLC, trading as Fisher Investments (“Fisher Investments”), subject to Fisher Investments Luxembourg’s oversight, the Strategy is managed by Fisher Investments. Fisher Investments considers environmental, social and governance (“ESG”) factors throughout the investment and portfolio construction process. ESG factors are among the many drivers considered by Fisher Investments when developing country, sector and thematic (i.e. industry, size or style) preferences. The preferences represent the categories of stocks that Fisher Investments believes are most likely to outperform. Governmental influence on public companies, environmental regulation, social policy, market reforms impacting private property, labour, and human rights are among ESG factors considered when determining country and sector/industry allocations and shaping an initial prospect list of Strategy positions.

Fisher Investments performs fundamental research on prospective investments to identify securities with strategic attributes (i.e. competitive advantages) consistent with its top-down views and with competitive advantages relative to their defined peer group. Examples of strategic attributes include new product offerings and pipeline, market share, customer opportunities and concentration, geographic expansion opportunities, and the ability to innovate. The fundamental research process performed by Fisher Investments involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends (i.e. opportunities in the ESG space) and avoid those with underappreciated risks. These factors include, but are not limited to, shareholder concentration, corporate stewardship, environmental opportunities and liabilities, and human or labour rights controversies. Examples of ESG trends include, but are not limited to, industry shifts towards environmental or sustainability objectives, and changing investor preferences for companies with stronger or weaker ESG profiles.

Fisher Investments then seeks to narrow the security selection universe by applying comprehensive and robust ESG screens without compromising its broader market outlook and themes. The ESG screens are intended to prevent the Strategy from including companies with significant exposure to categories such as, but not limited to, tobacco, gambling, alcohol, thermal coal, adult entertainment, small arms, animal testing for non-pharmaceutical reasons without meeting certain animal testing norms and genetically modified organisms (GMOs). In addition, the ESG screens exclude companies with any ties to cluster munitions or landmines, or that derive any revenue from nuclear or bio-chemical weapons. The ESG screens also are intended to prevent the Strategy from including companies that fail compliance with the U.N. Global Compact principles, companies embroiled in very severe environmental, social, governance or child labour controversies, and companies that violate the International Labour Organization’s fundamental principles.

Methodologies Used to Assess, Measure and Monitor the ESG Impact of the Sustainable Investments Selected

Assess

ESG factors of portfolio holdings are continuously monitored and issues are elevated to Fisher Investments’ Investment Policy Committee (“IPC”) when appropriate.

Fisher Investments’ Capital Markets Research Analysts monitor how ESG factors may affect high-level portfolio themes. Fisher Investments monitors key social policies driving wealth creation and economic growth, including, but not limited to, infrastructure investment, tax policy, free trade, property, human, and labour rights, and government reform.

Political factors affecting these social policies are integral to the top-down analysis, allowing Fisher Investments to be cognizant of the regulatory risk surrounding the ESG environment. Additionally, research analysts monitor thematic opportunities such as advancing energy efficiency (e.g., within Industrials and Technology companies) and thematic risks such as those related to nuclear power, resource extraction (e.g., labor strikes and resource nationalization) and litigation tied to environmental impact.

Fisher Investments’ Securities Analysts monitor existing holdings as part of the ongoing research process and elevate meaningful deterioration or improvements of various ESG factors at the company level. Each Fisher Investments Capital Markets and Securities Analyst has access to a suite of tools from MSCI ESG Research. These specialized tools assist in identifying opportunities, risks and controversies at the company level.

The MSCI ESG Research tools help screen out companies typically based on underlying business involvements. These mechanical screens eliminate securities generating revenue in specific areas that do not meet Fisher Investments’ ESG policy requirements (such as those related to labour, gambling, weapons, alcohol, tobacco, etc.) or those flagged by various controversies (child labour, UN Global Compact, countries of controversy, etc.).

Measure

Fisher Investments uses ESG data from external service providers, including, but not limited to:

  • MSCI ESG Ratings
  • MSCI Business Involvement Screening
  • MSCI Global Norms & Controversies
  • MSCI Sustainable Impact Metrics & Carbon Metrics
  • MSCI Sustainable Impact Metrics
  • Morningstar Sustainalytics Fund Globe Ratings
  • MSCI Barra Risk Metrics
  • Bloomberg
  • ISS
  • FactSet

Monitor

Fisher Investments’ responsible investment activities are integrated into several of Fisher Investments’ teams, including its ESG Research Specialists, the IPC’s ESG Point-Person, the ESG Program Manager, the Investor Responsibility and Engagement team, the Research team and the Client Guidelines and Assurance (CGA) team. Fisher Investments’ formal Responsible Investments Committee oversees Fisher Investments’ ESG activities and keeps abreast of ESG industry developments.

Fisher Investments’ IPC and Research Analysts review ESG risks and opportunities that may impact the Strategy, including identifying and prioritising principal adverse sustainability impacts. Fisher Investments’ ESG Research Specialists are responsible for staying on top of current and developing ESG trends and liaising with Fisher Investments’ ESG data providers to verify the accuracy and comprehensiveness of the data Fisher Investments uses in its decision-making. In addition, Fisher Investments’ ESG Research Specialists work with the broader Research and CGA teams to ensure mechanical screens are applied appropriately and to identify securities with potential ESG concerns using MSCI ESG Research tools.

Information about the Benchmark

Assessment of the Benchmark in the context of the Strategy’s environmental and/or social characteristics

The Benchmark used for Strategy is a mainstream index and does not take account of ESG factors and is therefore not consistent with the environmental and/or social characteristics promoted by the Strategy.

Information on where the methodology of the Benchmark may be obtained

Further details of the Benchmark (including information on its constituents, weightings, full calculation methodology, criteria for rebalancing, calculation process and leverage effect) can be navigated to from the following link: https://www.msci.com/index-methodology.

Periodic Reporting and Taxonomy Disclosures

Below is a description of the extent to which environmental and social characteristics were met in the Strategy during the period from, and including, 1 January 2021 to, and including, 31 December 2021 (the “Reference Period”):

  • Fisher Investments considered ESG factors throughout the investment and portfolio construction process. ESG factors were among the many drivers considered by Fisher Investments when developing country, sector and thematic preferences. Environmental regulation, social policy, economic and market reforms, labour, and human rights are among ESG factors considered when determining country and sector/ industry allocations and shaping an initial prospect list of Strategy positions.
  • Fisher Investments performed fundamental research on prospective investments to identify securities with strategic attributes consistent with Fisher Investments’ top-down views and with competitive advantages relative to their defined peer group. The fundamental research process involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends and avoid those with underappreciated risks.
  • Fisher Investments narrowed the security selection universe by applying comprehensive and robust ESG screens ensuring that no company with the following characteristics were included in the Strategy. More specifically, screens applied to the Strategy over the Reference Period included, but were not limited to, screens meant to exclude securities issued by:
    • Companies with:
      • 5% or greater revenue from tobacco
      • 5% or greater revenue from gambling
      • 5% or greater revenue from alcohol
      • 5% or greater revenue from adult entertainment
      • 5% or greater revenue from genetically modified organisms
      • 5% or greater revenue from civilian firearms
      • 5% or greater revenue from conventional weapons
      • 30% or greater revenue from thermal coal production
      • 30% or greater power production from thermal coal
    • Companies with:
      • Any ties to cluster munitions
      • Any ties to landmines
      • Any ties to depleted uranium weapons production
      • Any revenue from nuclear weapons
      • Any revenue from bio-chemical weapons
    • Companies that:
      • Fail compliance with the U.N. Global Compact principles
      • Conduct animal testing for non-pharmaceutical purposes without meeting certain animal testing norms
      • Violate the International Labour Organization’s fundamental principles
      • Are embroiled in very severe environmental, social, governance or child labor controversies

During the Reference Period, the Strategy may have included investments in sustainable economic activities, however presently we have not set a minimum proportion of the Strategy that must include investments that contribute to environmentally sustainable economic activities in accordance with the EU Regulation on the Establishment of a Framework to Facilitate Sustainable Investment (Regulation EU/2020/852) (the “Taxonomy Regulation”). An investment included in the Strategy would be considered as environmentally sustainable where its economic activity (i) contributes significantly to one or more of the environmental objectives included in the Taxonomy Regulation (which includes (a) climate change mitigation, (b) climate change adaptation, (c) the sustainable use and protection of water and marine resources, (d) the transition to a circular economy, (e) pollution prevention and control and (f) the protection and restoration of biodiversity and ecosystems), (ii) does not significantly harm any of the environmental objectives included in the Taxonomy Regulation, (iii) is carried out in compliance with minimum safeguards (as prescribed in the Taxonomy Regulation) and (iv) complies with technical screening criteria established by the European Commission.

Therefore, for the purpose of the Taxonomy Regulation, it should be noted that during the Reference Period, the Strategy may not have included investments that take into account the EU criteria for environmentally sustainable economic activities and the “do no significant harm” principle applies only to those investments included in the Strategy that take into account the EU criteria for environmentally sustainable economic activities.

Environmental and/or Social Characteristics of the Fixed Income Broad Market ESG Strategy

The investment objective of the Fixed Income Broad Market ESG strategy (the “Strategy”) is to outperform the ICE BofA Euro Broad Market Index (the “Benchmark”) by investing primarily in euro-denominated fixed income instruments. The Strategy seeks to achieve its investment objective through a top-down investment process based on applying capital markets technology to the analysis of a wide range of economic, political and sentiment drivers to formulate forecasts and develop portfolio themes.

Because Fisher Investments Luxembourg, Sàrl (“Fisher Investments Luxembourg”) delegates its portfolio management services to its parent company, Fisher Asset Management, LLC, trading as Fisher Investments (“Fisher Investments”), subject to Fisher Investments Luxembourg’s oversight, the Strategy is managed by Fisher Investments. Fisher Investments utilizes a top-down fixed income investment process based on the application of proprietary research tools to the analysis of a wide range of economic, political and sentiment drivers to formulate forecasts and develop portfolio themes. Fisher Investments manages the Strategy on an ongoing, forward-looking basis, considering environmental, social, and governance (“ESG”) factors, assessing short- and long-term interest rates, credit spreads and corporate solvency in real time to forecast future trends.

When implementing the Strategy in a portfolio, Fisher Investments commonly selects pooled investment instruments (”Funds”), such as ETFs, with ESG characteristics (e.g., restrictions) that approximate those used by Fisher Investments in equity strategies utilized in a portfolio. Using Funds means Fisher Investments relies on the Fund’s provider and such Fund’s ESG characteristics. While Fisher Investments attempts to select Funds that have ESG characteristics that approximate those used by Fisher Investments in its equity strategies, such ESG characteristics may still be significantly different than the ESG characteristics employed by Fisher Investments. In cases where Funds are not used in portfolios that implement the Strategy, the selection of individual securities is described as follows.

Fisher Investments considers ESG factors throughout the investment and portfolio construction process. ESG factors are among the many drivers considered by Fisher Investments when developing country, sector and thematic preferences. Governmental influence on public companies, environmental regulation, social policy, market reforms impacting private property, labour, and human rights are among the ESG factors considered when determining country and sector/industry allocations and shaping an initial prospect list of Strategy positions. Fisher Investments performs fundamental research on prospective investments to identify securities with strategic attributes consistent with the firm’s top-down views and with competitive advantages relative to their defined peer group. The fundamental research process involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends and avoid those with underappreciated risks. These factors include, but are not limited to, shareholder concentration, corporate stewardship, environmental opportunities and liabilities, and human or labour rights controversies.

Fisher Investments then seeks to narrow the security selection universe by applying comprehensive and robust ESG screens without compromising its broader market outlook and themes. The ESG screens are intended to prevent the Strategy from including companies with significant exposure to categories such as, but not limited to, tobacco, gambling, alcohol, thermal coal, adult entertainment, small arms, animal testing for non-pharmaceutical reasons without meeting certain animal testing norms and genetically modified organisms (GMOs). In addition, the ESG screens exclude companies with any ties to cluster munitions or landmines, or that derive any revenue from nuclear or bio-chemical weapons. The ESG screens also are intended to prevent the Strategy from including companies that fail compliance with the U.N. Global Compact principles, companies embroiled in very severe environmental, social, governance or child labour controversies, and companies that violate the International Labour Organization’s fundamental principles.

Fisher Investments analyses the Benchmark’s components and assigns expected risk and return. Fisher Investments then optimizes the Strategy to its market outlook by adjusting characteristics such as bond type, yield to maturity, credit spreads, duration, credit quality, and time to maturity. There are many types of bonds, and all carry different performance and risk characteristics. Corporate, securitized, quasi-government and sovereign bonds are the most common, and the Strategy’s exposure to each category is dependent on the construction of the Benchmark and Fisher Investments’ market outlook. The Strategy may include fixed income securities across a range of maturities, duration and quality, including issues with below investment grade ratings (i.e., junk bonds). Fisher Investments may use either individual bonds or fixed income ETFs to obtain the desired fixed income allocation and diversification.

Methodologies Used to Assess, Measure and Monitor the ESG Impact of the Sustainable Investments Selected When Using Funds to Implement the Strategy

When implementing the Strategy in a portfolio, Fisher Investments commonly selects Funds, such as ETFs, with ESG characteristics (e.g., restrictions) that approximate those used by Fisher Investments in equity strategies utilized in a portfolio. The methodologies used to assess, measure and monitor such Funds are described below.

Assess

When initially selecting Funds to be included in a portfolio pursuant to the Strategy, Fisher Investments’ Analysts start by conducting analysis in two areas: 1) comparing fixed income attributes of prospective Funds against comparable Funds to an attempt to select the best suited Funds representing the specific sectors of the bond market and the bond characteristics (i.e., yield, duration, credit rating and spread) targeted by Fisher Investments’ Investment Policy Committee (“IPC”); and 2) reviewing the ESG characteristics of the prospective Fund by comparing external ESG screening results versus Fisher Investments’ in-house ESG screens.

Specifically when looking at a Fund, Fisher Investments Analysts seek to understand and assess the following information:

  • The ESG criteria of the Fund compared to Fisher Investments’ in-house ESG criteria
  • The benchmark index that the Fund seeks to tracks
  • How well the Fund has tracked its benchmark index (i.e., the historical tracking error)
  • How the benchmark index of the Fund aligns with Fisher Investments’ strategic decisions within the Strategy
  • The size and liquidity of the Fund versus other comparable Funds
  • The tradability of the Fund at local custodians, in the appropriate local markets
  • The risk versus reward attribution (yield, duration, credit rating) of the Fund compared to any other Funds in the portfolio and the Strategy’s Benchmark

Measure

Due to the nature of using Funds in the Strategy, Fisher Investments relies on the Funds’ providers’ selection process and ESG disclosures for measuring ESG data. This data is publicly available from the Funds’ providers’ website.

Monitor

When monitoring Funds used in the Strategy, Fisher Investments evaluates both the ESG and the non-ESG attributes of the Funds. Fisher Investments monitors a Fund in two primary ways: 1) by ensuring the fixed income attributes of a Fund provides the yield, duration, spread and credit rating characteristics targeted (on an ongoing, monthly basis); and 2) by comparing the ESG characteristics of the Fund (screens) versus Fisher Investments’ ESG screens applied to equity strategies (on a periodic, ad-hoc basis). If those ESG characteristics no longer approximate those used by Fisher Investments in its equity strategies, the Fund may be replaced with a Fund whose ESG characteristics more closely approximate those used in equity strategies.  

Methodologies Used to Assess, Measure and Monitor the ESG Impact of the Sustainable Investments Selected When Using Individual Securities That Are Not Funds to Implement the Strategy

When determined to be appropriate, Fisher Investments may use individual securities that are not Funds to implement the Strategy in a portfolio. The methodologies used to assess, measure and monitor such individual securities are described below.

Assess

ESG factors of portfolio holdings are continuously monitored and issues are elevated to Fisher Investments’ IPC when appropriate.

Fisher Investments’ Capital Markets and Fixed Income Research Analysts monitor how ESG factors may affect high-level portfolio themes. Fisher Investments monitors key social policies driving wealth creation and economic growth, including, but not limited to, infrastructure investment, tax policy, free trade, property, human, and labour rights, and government reform.

Political factors affecting these social policies are integral to the top-down analysis, allowing Fisher Investments to be cognizant of the regulatory risk surrounding the ESG environment. Additionally, research analysts monitor thematic opportunities such as advancing energy efficiency (e.g., within Industrials and Technology companies) and thematic risks such as those related to nuclear power, resource extraction (e.g., labor strikes and resource nationalization) and litigation tied to environmental impact.

Fisher Investments’ Securities and Fixed Income Analysts monitor existing holdings as part of the ongoing research process and elevate meaningful deterioration or improvements of various ESG factors at the company level. Each Fisher Investments Capital Markets and Securities Analyst has access to a suite of tools from MSCI ESG Research. These specialized tools assist in identifying opportunities, risks and controversies at the company level.

The MSCI ESG Research tools help screen out companies typically based on underlying business involvements. These mechanical screens eliminate securities generating revenue in specific areas that do not meet Fisher Investments’ ESG policy requirements (such as those related to labour, gambling, weapons, alcohol, tobacco, etc.) or those flagged by various controversies (child labour, UN Global Compact, countries of controversy, etc.).

Measure

Fisher Investments uses ESG data from external service providers, including, but not limited to:

  • MSCI ESG Ratings
  • MSCI Business Involvement Screening
  • MSCI Global Norms & Controversies
  • MSCI Sustainable Impact Metrics & Carbon Metrics
  • MSCI Sustainable Impact Metrics
  • Morningstar Sustainalytics Fund Globe Ratings
  • MSCI Barra Risk Metrics
  • Bloomberg
  • ISS
  • FactSet

Monitor

Fisher Investments’ responsible investment activities are integrated into several of Fisher Investments’ teams, including its Fixed Income analysts, the ESG Research Specialists, the IPC’s ESG Point-Person, the ESG Program Manager, the Investor Responsibility and Engagement team, the Research team and the Client Guidelines and Assurance (CGA) team. Fisher Investments’ formal Responsible Investments Committee oversees Fisher Investments’ ESG activities and keeps abreast of ESG industry developments.

Fisher Investments’ IPC, Fixed Income and Research Analysts review ESG risks and opportunities that may impact the Strategy, including identifying and prioritising principal adverse sustainability impacts. Fisher Investments’ ESG Research Specialists are responsible for staying on top of current and developing ESG trends and liaising with Fisher Investments’ ESG data providers to verify the accuracy and comprehensiveness of the data Fisher Investments uses in its decision-making. In addition, Fisher Investments’ ESG Research Specialists work with the broader Research and CGA teams to ensure mechanical screens are applied appropriately and to identify securities with potential ESG concerns using MSCI ESG Research tools.

Information about the Benchmark

Assessment of the Benchmark in the context of the Strategy’s environmental and/or social characteristics

The Benchmark used for Strategy is a mainstream index and does not take account of ESG factors and is therefore not consistent with the environmental and/or social characteristics promoted by the Strategy.

Information on where the methodology of the Benchmark may be obtained

Further details of the Benchmark (including information on its constituents, weightings, full calculation methodology, criteria for rebalancing, calculation process and leverage effect) can be navigated to from the following link: https://www.theice.com/market-data/indices/fixed-income-indices.

Periodic Reporting and Taxonomy Disclosures

Below is a description of the extent to which environmental and social characteristics were met in the Strategy during the period from, and including, 1 January 2021 to, and including, 31 December 2021 (the “Reference Period”). The below description describes what the Strategy did during the Reference Period with respect to individual securities included in the Strategy. To the extent a portfolio that implements the Strategy utilizes Funds instead of individual securities, while the first two bulleted paragraphs below apply, the third bulleted paragraph below regarding ESG screens does not apply. Instead, Fisher Investments relied on the applicable Fund’s provider and such Fund’s ESG characteristics for further promoting environmental and social characteristics in the Strategy.

  • Fisher Investments considered ESG factors throughout the investment and portfolio construction process. ESG factors were among the many drivers considered by Fisher Investments when developing country, sector and thematic preferences. Environmental regulation, social policy, economic and market reforms, labour, and human rights are among the ESG factors considered when determining country and sector/industry allocations and shaping an initial prospect list of Strategy positions.
  • Fisher Investments performed fundamental research on prospective investments to identify securities with strategic attributes consistent with Fisher Investments’ top-down views and with competitive advantages relative to their defined peer group. The fundamental research process involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends and avoid those with underappreciated risks.
  • Fisher Investments narrowed the security selection universe by applying comprehensive and robust ESG screens ensuring that no company with the following characteristics were included in the Strategy. More specifically, screens applied to the Strategy over the Reference Period included, but were not limited to, screens meant to exclude securities issued by:
    • Companies with:
      • 5% or greater revenue from tobacco
      • 5% or greater revenue from gambling
      • 5% or greater revenue from alcohol
      • 5% or greater revenue from adult entertainment
      • 5% or greater revenue from genetically modified organisms
      • 5% or greater revenue from civilian firearms
      • 5% or greater revenue from conventional weapons
      • 30% or greater revenue from thermal coal production
      • 30% or greater power production from thermal coal
    • Companies with:
      • Any ties to cluster munitions
      • Any ties to landmines
      • Any ties to depleted uranium weapons production
      • Any revenue from nuclear weapons
      • Any revenue from bio-chemical weapons
    • Companies that:
      • Fail compliance with the U.N. Global Compact principles
      • Conduct animal testing for non-pharmaceutical purposes without meeting certain animal testing norms
      • Violate the International Labour Organization’s fundamental principles
      • Are embroiled in very severe environmental, social, governance or child labor controversies

During the Reference Period, the Strategy may have included investments in sustainable economic activities, however presently we have not set a minimum proportion of the Strategy that must include investments that contribute to environmentally sustainable economic activities in accordance with the EU Regulation on the Establishment of a Framework to Facilitate Sustainable Investment (Regulation EU/2020/852) (the “Taxonomy Regulation”). An investment included in the Strategy would be considered as environmentally sustainable where its economic activity (i) contributes significantly to one or more of the environmental objectives included in the Taxonomy Regulation (which includes (a) climate change mitigation, (b) climate change adaptation, (c) the sustainable use and protection of water and marine resources, (d) the transition to a circular economy, (e) pollution prevention and control and (f) the protection and restoration of biodiversity and ecosystems), (ii) does not significantly harm any of the environmental objectives included in the Taxonomy Regulation, (iii) is carried out in compliance with minimum safeguards (as prescribed in the Taxonomy Regulation) and (iv) complies with technical screening criteria established by the European Commission.

Therefore, for the purpose of the Taxonomy Regulation, it should be noted that during the Reference Period, the Strategy may not have included investments that take into account the EU criteria for environmentally sustainable economic activities and the “do no significant harm” principle applies only to those investments included in the Strategy that take into account the EU criteria for environmentally sustainable economic activities.

Environmental and/or Social Characteristics of the Global ESG Strategy

The investment objective of the Global ESG strategy (the “Strategy”) is to outperform the MSCI World Index (the “Benchmark”) by investing primarily in global market securities. The Strategy seeks to achieve its investment objective through a top-down investment process based on applying capital markets technology to the analysis of a wide range of economic, political and sentiment drivers to formulate forecasts and develop portfolio themes.

Because Fisher Investments Luxembourg, Sàrl (“Fisher Investments Luxembourg”) delegates its portfolio management services to its parent company, Fisher Asset Management, LLC, trading as Fisher Investments (“Fisher Investments”), subject to Fisher Investments Luxembourg’s oversight, the Strategy is managed by Fisher Investments. Fisher Investments considers environmental, social and governance (“ESG”) factors throughout the investment and portfolio construction process. ESG factors are among the many drivers considered by Fisher Investments when developing country, sector and thematic (i.e. industry, size or style) preferences. The preferences represent the categories of stocks that Fisher Investments believes are most likely to outperform. Governmental influence on public companies, environmental regulation, social policy, market reforms impacting private property, labour, and human rights are among ESG factors considered when determining country and sector/industry allocations and shaping an initial prospect list of Strategy positions.

Fisher Investments performs fundamental research on prospective investments to identify securities with strategic attributes (i.e. competitive advantages) consistent with its top-down views and with competitive advantages relative to their defined peer group. Examples of strategic attributes include new product offerings and pipeline, market share, customer opportunities and concentration, geographic expansion opportunities, and the ability to innovate. The fundamental research process performed by Fisher Investments involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends (i.e. opportunities in the ESG space) and avoid those with underappreciated risks. These factors include, but are not limited to, shareholder concentration, corporate stewardship, environmental opportunities and liabilities, and human or labour rights controversies. Examples of ESG trends include, but are not limited to, industry shifts towards environmental or sustainability objectives, and changing investor preferences for companies with stronger or weaker ESG profiles.

Fisher Investments then seeks to narrow the security selection universe by applying comprehensive and robust ESG screens without compromising its broader market outlook and themes. The ESG screens are intended to prevent the Strategy from including companies with significant exposure to categories such as, but not limited to, tobacco, gambling, alcohol, thermal coal, adult entertainment, small arms, animal testing for non-pharmaceutical reasons without meeting certain animal testing norms and genetically modified organisms (GMOs). In addition, the ESG screens exclude companies with any ties to cluster munitions or landmines, or that derive any revenue from nuclear or bio-chemical weapons. The ESG screens also are intended to prevent the Strategy from including companies that fail compliance with the U.N. Global Compact principles, companies embroiled in very severe environmental, social, governance or child labour controversies, and companies that violate the International Labour Organization’s fundamental principles.

Methodologies Used to Assess, Measure and Monitor the ESG Impact of the Sustainable Investments Selected

Assess

ESG factors of portfolio holdings are continuously monitored and issues are elevated to Fisher Investments’ Investment Policy Committee (“IPC”) when appropriate.

Fisher Investments’ Capital Markets Research Analysts monitor how ESG factors may affect high-level portfolio themes. Fisher Investments monitors key social policies driving wealth creation and economic growth, including, but not limited to, infrastructure investment, tax policy, free trade, property, human, and labour rights, and government reform.

Political factors affecting these social policies are integral to the top-down analysis, allowing Fisher Investments to be cognizant of the regulatory risk surrounding the ESG environment. Additionally, research analysts monitor thematic opportunities such as advancing energy efficiency (e.g., within Industrials and Technology companies) and thematic risks such as those related to nuclear power, resource extraction (e.g., labor strikes and resource nationalization) and litigation tied to environmental impact.

Fisher Investments’ Securities Analysts monitor existing holdings as part of the ongoing research process and elevate meaningful deterioration or improvements of various ESG factors at the company level. Each Fisher Investments Capital Markets and Securities Analyst has access to a suite of tools from MSCI ESG Research. These specialized tools assist in identifying opportunities, risks and controversies at the company level.

The MSCI ESG Research tools help screen out companies typically based on underlying business involvements. These mechanical screens eliminate securities generating revenue in specific areas that do not meet Fisher Investments’ ESG policy requirements (such as those related to labour, gambling, weapons, alcohol, tobacco, etc.) or those flagged by various controversies (child labour, UN Global Compact, countries of controversy, etc.).

Measure

Fisher Investments uses ESG data from external service providers, including, but not limited to:

  • MSCI ESG Ratings
  • MSCI Business Involvement Screening
  • MSCI Global Norms & Controversies
  • MSCI Sustainable Impact Metrics & Carbon Metrics
  • MSCI Sustainable Impact Metrics
  • Morningstar Sustainalytics Fund Globe Ratings
  • MSCI Barra Risk Metrics
  • Bloomberg
  • ISS
  • FactSet

Monitor

Fisher Investments’ responsible investment activities are integrated into several of Fisher Investments’ teams, including its ESG Research Specialists, the IPC’s ESG Point-Person, the ESG Program Manager, the Investor Responsibility and Engagement team, the Research team and the Client Guidelines and Assurance (CGA) team. Fisher Investments’ formal Responsible Investments Committee oversees Fisher Investments’ ESG activities and keeps abreast of ESG industry developments.

Fisher Investments’ IPC and Research Analysts review ESG risks and opportunities that may impact the Strategy, including identifying and prioritising principal adverse sustainability impacts. Fisher Investments’ ESG Research Specialists are responsible for staying on top of current and developing ESG trends and liaising with Fisher Investments’ ESG data providers to verify the accuracy and comprehensiveness of the data Fisher Investments uses in its decision-making. In addition, Fisher Investments’ ESG Research Specialists work with the broader Research and CGA teams to ensure mechanical screens are applied appropriately and to identify securities with potential ESG concerns using MSCI ESG Research tools.

Information about the Benchmark

Assessment of the Benchmark in the context of the Strategy’s environmental and/or social characteristics

The Benchmark used for Strategy is a mainstream index and does not take account of ESG factors and is therefore not consistent with the environmental and/or social characteristics promoted by the Strategy.

Information on where the methodology of the Benchmark may be obtained

Further details of the Benchmark (including information on its constituents, weightings, full calculation methodology, criteria for rebalancing, calculation process and leverage effect) can be navigated to from the following link: https://www.msci.com/index-methodology.

Periodic Reporting and Taxonomy Disclosures

Below is a description of the extent to which environmental and social characteristics were met in the Strategy during the period from, and including, 1 January 2021 to, and including, 31 December 2021 (the “Reference Period”):

  • Fisher Investments considered ESG factors throughout the investment and portfolio construction process. ESG factors were among the many drivers considered by Fisher Investments when developing country, sector and thematic preferences. Environmental regulation, social policy, economic and market reforms, labour, and human rights are among ESG factors considered when determining country and sector/ industry allocations and shaping an initial prospect list of Strategy positions.
  • Fisher Investments performed fundamental research on prospective investments to identify securities with strategic attributes consistent with Fisher Investments’ top-down views and with competitive advantages relative to their defined peer group. The fundamental research process involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends and avoid those with underappreciated risks.
  • Fisher Investments narrowed the security selection universe by applying comprehensive and robust ESG screens ensuring that no company with the following characteristics were included in the Strategy. More specifically, screens applied to the Strategy over the Reference Period included, but were not limited to, screens meant to exclude securities issued by:
    • Companies with:
      • 5% or greater revenue from tobacco
      • 5% or greater revenue from gambling
      • 5% or greater revenue from alcohol
      • 5% or greater revenue from adult entertainment
      • 5% or greater revenue from genetically modified organisms
      • 5% or greater revenue from civilian firearms
      • 5% or greater revenue from conventional weapons
      • 30% or greater revenue from thermal coal production
      • 30% or greater power production from thermal coal
    • Companies with:
      • Any ties to cluster munitions
      • Any ties to landmines
      • Any ties to depleted uranium weapons production
      • Any revenue from nuclear weapons
      • Any revenue from bio-chemical weapons
    • Companies that:
      • Fail compliance with the U.N. Global Compact principles
      • Conduct animal testing for non-pharmaceutical purposes without meeting certain animal testing norms
      • Violate the International Labour Organization’s fundamental principles
      • Are embroiled in very severe environmental, social, governance or child labor controversies

During the Reference Period, the Strategy may have included investments in sustainable economic activities, however presently we have not set a minimum proportion of the Strategy that must include investments that contribute to environmentally sustainable economic activities in accordance with the EU Regulation on the Establishment of a Framework to Facilitate Sustainable Investment (Regulation EU/2020/852) (the “Taxonomy Regulation”). An investment included in the Strategy would be considered as environmentally sustainable where its economic activity (i) contributes significantly to one or more of the environmental objectives included in the Taxonomy Regulation (which includes (a) climate change mitigation, (b) climate change adaptation, (c) the sustainable use and protection of water and marine resources, (d) the transition to a circular economy, (e) pollution prevention and control and (f) the protection and restoration of biodiversity and ecosystems), (ii) does not significantly harm any of the environmental objectives included in the Taxonomy Regulation, (iii) is carried out in compliance with minimum safeguards (as prescribed in the Taxonomy Regulation) and (iv) complies with technical screening criteria established by the European Commission.

Therefore, for the purpose of the Taxonomy Regulation, it should be noted that during the Reference Period, the Strategy may not have included investments that take into account the EU criteria for environmentally sustainable economic activities and the “do no significant harm” principle applies only to those investments included in the Strategy that take into account the EU criteria for environmentally sustainable economic activities.

Environmental and/or Social Characteristics of the Global SRI/VBI Strategy

The investment objective of the Global SRI/VBI strategy (the “Strategy”) is to outperform the MSCI World Index (the “Benchmark”) by investing primarily in global market securities. The Strategy seeks to achieve its investment objective through a top-down investment process based on applying capital markets technology to the analysis of a wide range of economic, political and sentiment drivers to formulate forecasts and develop portfolio themes.

Because Fisher Investments Luxembourg, Sàrl (“Fisher Investments Luxembourg”) delegates its portfolio management services to its parent company, Fisher Asset Management, LLC, trading as Fisher Investments (“Fisher Investments”), subject to Fisher Investments Luxembourg’s oversight, the Strategy is managed by Fisher Investments. Fisher Investments considers environmental, social and governance (“ESG”) factors throughout the investment and portfolio construction process. ESG factors are among the many drivers considered by Fisher Investments when developing country, sector and thematic (i.e. industry, size or style) preferences. The preferences represent the categories of stocks that Fisher Investments believes are most likely to outperform. Governmental influence on public companies, environmental regulation, social policy, market reforms impacting private property, labour, and human rights are among ESG factors considered when determining country and sector/industry allocations and shaping an initial prospect list of Strategy positions.

Fisher Investments performs fundamental research on prospective investments to identify securities with strategic attributes (i.e. competitive advantages) consistent with its top-down views and with competitive advantages relative to their defined peer group. Examples of strategic attributes include new product offerings and pipeline, market share, customer opportunities and concentration, geographic expansion opportunities, and the ability to innovate. The fundamental research process performed by Fisher Investments involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends (i.e. opportunities in the ESG space) and avoid those with underappreciated risks. These factors include, but are not limited to, shareholder concentration, corporate stewardship, environmental opportunities and liabilities, and human or labour rights controversies. Examples of ESG trends include, but are not limited to, industry shifts towards environmental or sustainability objectives, and changing investor preferences for companies with stronger or weaker ESG profiles.

Fisher Investments then seeks to narrow the security selection universe by applying Socially Responsible Investing (“SRI”) and ESG screens without compromising its broader market outlook and themes. The SRI/ESG screens are intended to prevent the Strategy from including companies with significant exposure to categories such as, but not limited to, tobacco, gambling, alcohol, adult entertainment, and small arms. In addition, the SRI/ESG screens exclude companies with any ties to cluster munitions, landmines or embryonic stem cells, or that derive significant revenue from nuclear or bio-chemical weapons. 

Methodologies Used to Assess, Measure and Monitor the ESG Impact of the Sustainable Investments Selected

Assess

ESG factors of portfolio holdings are continuously monitored and issues are elevated to Fisher Investments’ Investment Policy Committee (“IPC”) when appropriate.

Fisher Investments’ Capital Markets Research Analysts monitor how ESG factors may affect high-level portfolio themes. Fisher Investments monitors key social policies driving wealth creation and economic growth, including, but not limited to, infrastructure investment, tax policy, free trade, property, human, and labour rights, and government reform.

Political factors affecting these social policies are integral to the top-down analysis, allowing Fisher Investments to be cognizant of the regulatory risk surrounding the ESG environment. Additionally, research analysts monitor thematic opportunities such as advancing energy efficiency (e.g., within Industrials and Technology companies) and thematic risks such as those related to nuclear power, resource extraction (e.g., labor strikes and resource nationalization) and litigation tied to environmental impact.

Fisher Investments’ Securities Analysts monitor existing holdings as part of the ongoing research process and elevate meaningful deterioration or improvements of various ESG factors at the company level. Each Fisher Investments Capital Markets and Securities Analyst has access to a suite of tools from MSCI ESG Research. These specialized tools assist in identifying opportunities, risks and controversies at the company level.

The MSCI ESG Research tools help screen out companies typically based on underlying business involvements. These mechanical screens eliminate securities generating revenue in specific areas that do not meet Fisher Investments’ SRI/ESG policy requirements (such as those related to gambling, weapons, alcohol, tobacco, etc.)

Measure

Fisher Investments uses ESG data from external service providers, including, but not limited to:

  • MSCI ESG Ratings
  • MSCI Business Involvement Screening
  • MSCI Global Norms & Controversies
  • MSCI Sustainable Impact Metrics & Carbon Metrics
  • MSCI Sustainable Impact Metrics
  • Morningstar Sustainalytics Fund Globe Ratings
  • MSCI Barra Risk Metrics
  • Bloomberg
  • ISS
  • FactSet

Monitor

Fisher Investments’ responsible investment activities are integrated into several of Fisher Investments’ teams, including its ESG Research Specialists, the IPC’s ESG Point-Person, the ESG Program Manager, the Investor Responsibility and Engagement team, the Research team and the Client Guidelines and Assurance (CGA) team. Fisher Investments’ formal Responsible Investments Committee oversees Fisher Investments’ ESG activities and keeps abreast of ESG industry developments.

Fisher Investments’ IPC and Research Analysts review ESG risks and opportunities that may impact the Strategy, including identifying and prioritising principal adverse sustainability impacts. Fisher Investments’ ESG Research Specialists are responsible for staying on top of current and developing ESG trends and liaising with Fisher Investments’ ESG data providers to verify the accuracy and comprehensiveness of the data Fisher Investments uses in its decision-making. In addition, Fisher Investments’ ESG Research Specialists work with the broader Research and CGA teams to ensure mechanical screens are applied appropriately and to identify securities with potential ESG concerns using MSCI ESG Research tools.

Information about the Benchmark

Assessment of the Benchmark in the context of the Strategy’s environmental and/or social characteristics

The Benchmark used for Strategy is a mainstream index and does not take account of ESG factors and is therefore not consistent with the environmental and/or social characteristics promoted by the Strategy.

Information on where the methodology of the Benchmark may be obtained

Further details of the Benchmark (including information on its constituents, weightings, full calculation methodology, criteria for rebalancing, calculation process and leverage effect) can be navigated to from the following link: https://www.msci.com/index-methodology.

Periodic Reporting and Taxonomy Disclosures

Below is a description of the extent to which environmental and social characteristics were met in the Strategy during the period from, and including, 1 January 2021 to, and including, 31 December 2021 (the “Reference Period”):

  • Fisher Investments considered ESG factors throughout the investment and portfolio construction process. ESG factors were among the many drivers considered by Fisher Investments when developing country, sector and thematic preferences. Environmental regulation, social policy, economic and market reforms, labour, and human rights are among ESG factors considered when determining country and sector/ industry allocations and shaping an initial prospect list of Strategy positions.
  • Fisher Investments performed fundamental research on prospective investments to identify securities with strategic attributes consistent with Fisher Investments’ top-down views and with competitive advantages relative to their defined peer group. The fundamental research process involves reviewing and evaluating a range of ESG factors prior to purchasing a security, seeking to identify securities benefitting from ESG trends and avoid those with underappreciated risks.
  • Fisher Investments narrowed the security selection universe by applying SRI/ESG screens ensuring that no company with the following characteristics were included in the Strategy. More specifically, screens applied to the Strategy over the Reference Period included, but were not limited to, screens meant to exclude securities issued by:
    • Companies with:
      • 5% or greater revenue from tobacco
      • 5% or greater revenue from gambling
      • 5% or greater revenue from alcohol
      • 5% or greater revenue from adult entertainment
      • Any ties to embryonic stem cells
      • 5% or greater revenue from civilian firearms
      • 5% or greater revenue from conventional weapons
    • Companies with:
      • Any ties to cluster munitions
      • Any ties to landmines
      • 5% or greater revenue from nuclear weapons
      • 5% or greater revenue from bio-chemical weapons

During the Reference Period, the Strategy may have included investments in sustainable economic activities, however presently we have not set a minimum proportion of the Strategy that must include investments that contribute to environmentally sustainable economic activities in accordance with the EU Regulation on the Establishment of a Framework to Facilitate Sustainable Investment (Regulation EU/2020/852) (the “Taxonomy Regulation”). An investment included in the Strategy would be considered as environmentally sustainable where its economic activity (i) contributes significantly to one or more of the environmental objectives included in the Taxonomy Regulation (which includes (a) climate change mitigation, (b) climate change adaptation, (c) the sustainable use and protection of water and marine resources, (d) the transition to a circular economy, (e) pollution prevention and control and (f) the protection and restoration of biodiversity and ecosystems), (ii) does not significantly harm any of the environmental objectives included in the Taxonomy Regulation, (iii) is carried out in compliance with minimum safeguards (as prescribed in the Taxonomy Regulation) and (iv) complies with technical screening criteria established by the European Commission.

Therefore, for the purpose of the Taxonomy Regulation, it should be noted that during the Reference Period, the Strategy may not have included investments that take into account the EU criteria for environmentally sustainable economic activities and the “do no significant harm” principle applies only to those investments included in the Strategy that take into account the EU criteria for environmentally sustainable economic activities.