Responsible Investment

Calculation methodology for portion of AUM which are ESG integrated.

As at 30 June 2024, firmwide ESG-integrated AUM has risen to $66.5bn. This figure incorporates ongoing consideration of ESG factors within the investment analysis and decision-making process with the aim to improve risk-adjusted returns.

To provide a consistent framework around Man Group’s calculation of ESG-integrated AUM, we base our calculation on the Global Sustainable Investment Alliance (‘GSIA’) investment approach and definitions. Man Group’s ESG-integrated AUM is based on the GSIA’s current ‘ESG Integration’ investment approach, which, following an update in 2023, is defined as the ‘ongoing consideration of ESG factors within an investment analysis and decision-making process, with the aim to improve risk-adjusted returns’. In this context, the use of ESG factors for ESG integration may be less significant than other factors in the investment selection process. The ESG integration category is relevant and applicable to Man Group’s investment process and its use has been approved by our Responsible Investment Committee (‘RIC’).

Using the ESG Integration approach, our calculation methodology identifies all relevant funds and mandates for which explicit environment, social and governance criteria are used in asset selection (discretionary) or a dedicated environment, social and governance model is incorporated in the investment process (systematic). More specifically:

• For single manager/strategy funds: if ESG factors are materially integrated into the investment strategy (e.g., ESG factors impact security selection¹), then the entire assets of the fund will be accounted for as ESG AUM. In the case of Man Numeric, it will be relevant to the integration of Man Numeric’s proprietary ESG factor model.²
• For ESG multi-strategy funds and/or mandates (i.e., strategies which are marketed as ESG strategies): we include all the relevant AUM.
• For non-ESG multi-strategy funds and/or mandates: currently only the portion of a fund or mandate for which ESG is factored into the investment process is included.³
• For third party multi-strategy managers: we will seek to assess at the sub-strategy level for ESG-integrated AUM on the same basis. If we are unable to get transparency or single sleeve allocation are not disclosed, those strategies will be assumed to not include ESG content.

The identification of Man Group’s ESG-integrated AUM is undertaken by our Responsible Investment team, reviewed by the relevant investment teams, and subject to formal oversight by control functions. This rigorous process and the resulting ESG-integrated AUM figure is overseen by the RIC.

We have used this approach consistently since we started publishing Man Group’s ESG-integrated AUM. While we believe we have a prudent framework for the calculation, we continue to monitor the development of best practice methodologies.

1. For example: Article 8/ Article 9 Funds under the Sustainable Finance Disclosure Regulation or where the ESG factor is considered for every single security selection.
2. Which generally accounts for 5% or more in terms of weight compared to the other models.
3. For example, some of our multi-strategy/multi-asset portfolios may only incorporate ESG factors in certain sleeves or asset classes. For such strategies/portfolios, we only include the portion of the strategies/portfolios for which we integrate ESG factors into the investment process.