Sustainable, Responsible &/or ESG Policy:

The Fund is a Replicating Fund as it replicates as closely as possible the constituents of the Benchmark Index by holding all, or substantially all, of the assets comprising the Benchmark Index in similar proportions to their weightings in the Benchmark Index.

The Fund will have at least 90% exposure (directly or through depositary receipts) to assets that are included in the Benchmark Index. The Fund will generally hold assets directly but can use depositary receipts (such as American depositary receipts and global depositary receipts) to gain exposure such as when the direct asset cannot be held or is not available.  

The Fund may also invest in shares in companies which are reasonably expected to become part of the Benchmark Index in the near future or are an alternative to a constituent of the Benchmark Index and collective investment schemes, including those managed or operated by the Manager or an Associate as well as money market instruments (such as treasury bills), depositary receipts (such as American depositary receipts and global depositary receipts), cash and permitted deposits.

The Fund may only use derivatives for Efficient Portfolio Management purposes.

Multi-factor investing:

The Benchmark Index is designed to reflect the performance of a global and diversified regional basket of shares in companies where their weights are varied to achieve balanced risk exposure to the multiple factors with additional ESG considerations, as explained below.

In order to achieve the factor exposure, the Investment Manager has developed a proprietary scoring system which scores companies based on the below factors compared to their regional and sector peers:

• Value: companies that appear less expensive than comparable companies, providing better value for money associated with trading for less than their intrinsic value based on fundamentals 64 and therefore available at discounted price, expected to increase.
• Momentum: companies with strong recent performance, rapid growth in a short period of time is generally associated with the notion that the price will continue rise and generate additional value, often connected with positive stories which attract further investment.
• Quality: companies with positive characteristics such as positive income, high profitability and low leverage, generally indicating lower financial risk, more stable earnings and durable business models; and are reasonably expected to outperform companies with lower quality characteristics.
• Low volatility: companies with lower volatility, indicating that it is less likely that the price of shares will fluctuate significantly and frequently.

Each company in the Benchmark Index is scored on each of the above factors and these scores are combined into a single multi-factor score (“Multi-Factor Score”).

Environmental, Social and Governance ("ESG") considerations:

The Benchmark Index provider applies the following ESG criteria to the Benchmark Index:

1. Benchmark Index exclusions:

• Future World Protection List: the Benchmark Index excludes companies on the Investment Manager's Future World Protection List ("FWPL"). The FWPL consists of companies that the Investment Manager considers to be failing to meet minimum standards of globally accepted business practices, as set out in the FWPL methodology. These include:

• perennial violators of the United Nations Global Compact,
• certain companies involved in the manufacture and production of controversial weapons, and
• certain companies with involvement in mining and extraction of thermal coal, thermal coal power generation or oil sands which have not set out a clear plan aligned with the Paris Agreement to phase out thermal coal in accordance with specific criteria.

The FWPL methodology uses various assessment criteria, including revenue thresholds, to identify companies for incorporation on the list. Only companies that meet the criteria are excluded, consequently the Benchmark Index may hold companies involved in the above activities which do not fully meet the FWPL methodology criteria.

1. Multi-Factor Scores and ESG scoring system

In addition to the Multi-Factor Score, the Benchmark Index applies the Investment Manager’s proprietary ESG Scoring system, which is a rulesbased approach to scoring companies (“ESG Score”).

The ESG scoring system combines an environmental score, a social score and a governance score with adjustments made for a company’s overall level of transparency with regards to ESG issues. Higher scores indicate that more of the Investment Manager’s criteria for best practices have been met.  

Each company in the Parent Index is assigned an ESG Score and MultiFactor Score. Each company in the Parent Index is:

• tilted based on the ESG Score resulting in companies with higher ESG Scores receiving a higher weight compared to the Parent Index and vice versa; and
• tilted based on the Multi-factor Score resulting in companies with higher Multi-factor Score receiving a higher weight compared to the Parent Index and vice versa.

Whilst there is interaction between the ESG Score and Multi-Factor Score, the tilting based on the Multi-Factor Score is more significant, as the Benchmark Index is primarily a factor-based strategy with integrated ESG criteria. This may result in instances where some companies have higher Multi-Factor Scores but lower ESG Scores and vice versa. However, on average, the Benchmark Index aims to have a 5% improvement over the total aggregate ESG score compared to the Parent Index.

“Parent Index” is defined in the Benchmark Index methodology. The Parent Index is a representation of the broader investment universe before ESG criteria and factors characteristics are taken into consideration by the Benchmark Index provider.

Where data for a given company is unavailable or only partly available across elements of the ESG Score or Multi-Factor Score, the company may be allocated a neutral ESG Score or Multi-Factor Score. Where a company is allocated a neutral score, no tilting will be applied.

1. Greenhouse Gas emissions intensity reduction pathway

“GHG Emissions Intensity” means the weighted average of the greenhouse gas emissions intensity of companies in the Benchmark Index, as calculated in accordance with the Benchmark Index methodology.  

The Benchmark Index aims to reduce its overall GHG Emissions Intensity in line with a reduction pathway of 7% per year on average, measured from the Benchmark Index inception date of April 2021 (“Index Base Date”). It also aims to keep its GHG Emissions Intensity at least 50% lower than the Parent Index.

An automated optimisation process is applied to the Benchmark Index to achieve these GHG Emissions Intensity reductions, within the Benchmark Index construction constraints (as described in the Benchmark Index methodology). This process includes all companies in the Benchmark Index (provided that such data is available). The Fund's assets are weighted so that the resulting portfolio's GHG Emissions Intensity reduce in line with whichever aim (set out above) results in the largest GHG Emissions Intensity reduction.

Whilst the Benchmark Index may have exposure to companies with higher GHG Emissions Intensity, the Benchmark Index aims to have, on each rebalance date, the lower of: (i) an annual average 7% reduction in GHG Emissions Intensity from the Index Base Date; or (ii) at least a 50% reduction in overall GHG Emissions compared to the Parent Index.

This optimisation process uses data from a range of different types of greenhouse gas emissions. In particular, this includes:

• Scope 1: direct emissions from company-owned resources, like fuel combustion in vehicles; and
• Scope 2: indirect emissions from purchased energy, such as electricity for buildings.

The Benchmark Index does not include other indirect greenhouse gas emissions, such as those from a company's supply chain or product use (Scope 3) as part of the optimisation process. The inclusion of scope 3 emissions may provide a more complete analysis of the Benchmark Index’s Greenhouse Gas Emissions.

Fund exclusions

In addition to the exclusions applied to the Benchmark Index (as set out above), the Fund may exclude companies that are on the Investment Manager's Climate Impact Pledge divestment list, within the anticipated tracking error.

The Climate Impact Pledge divestment list includes companies, which after a certain period of engagement continue to not perform well against the Investment Manager's climate assessment, are unresponsive to engagement recommendations, and/or keep falling behind in meeting the Investment Manager's minimum standards. If the anticipated tracking error percentage is exceeded, exposure to such companies held in the Fund will be reduced where possible, rather than fully excluded.

Subject to market conditions the Investment Manager may, within a reasonable timeframe, disinvest from companies which are subsequently incorporated into the Climate Impact Pledge divestment list.

Process:

The Fund is a Replicating Fund as it replicates as closely as possible the constituents of the Benchmark Index by holding all, or substantially all, of the assets comprising the Benchmark Index in similar proportions to their weightings in the Benchmark Index.

Research is an integral part of our portfolio management process and is performed on an ongoing basis to capture all elements that could affect the risk profile of benchmark indices. It is, therefore, most effective if it is carried out by the same professionals who are involved in managing portfolios as they have a thorough knowledge of index products and market conditions.

We also conduct ad hoc research for clients who wish to achieve a non-conventional index exposure and request professional opinions about associated practical portfolio management issues.

Moreover, we have long-standing relationships with major index providers. We provide guidance regarding index composition and construction, participate in index consultations, and serve on many advisory committees with the aim of improving the quality and investability of indices.

The majority of research is carried out in-house and is a function specific to the asset class. We receive research from external sources, including from major investment bank index research teams, however, L&G does not place any reliance on research by a third party.

Resources, Affiliations & Corporate Strategies:

As of December 2024, there are c.100 L&G - Asset Management (L&G) employees with roles dedicated to ESG, some of which are outlined in more detail below.

 Responsible Investment and Investment Stewardship team

• Amelia Tan was appointed Head of Responsible Investment & Stewardship for Legal and General’s Asset Management division in January 2025, having joined in 2022 as Head of Responsible Investment Strategy. In this role, she is responsible for engagement with publicly listed investee companies globally across all of the firm’s assets under management as well as responsible investment processes and products of the public market’s investment teams. She coordinates the strategy for responsible investing in the Asset Management division and is responsible for regulatory and policy engagement regarding environmental, social, governance and responsible investment matters.
• The Investment Stewardship team is responsible for developing and carrying out L&G’s investment stewardship and active ownership activities. The team comprises subject matter experts across our global investment stewardship themes and is organised in a matrix of thematic and sector coverage.
• There are 24 people in our global Investment Stewardship team (as at 31 December 2024). The team includes those located in the US, Japan and Singapore, the latter two led by Aina Fukuda and Trista Chen, respectively.
• The Responsible Investing Strategy team, comprising three colleagues, works with investment teams to integrate responsible investing insights into investment process across asset classes and investment styles. Additionally, the team also looks to innovate on responsible investing products and solutions, with the focus on positioning and ensuring that we are market-leading, credible and consistent.

 Climate Solutions team

• Nick Stansbury, Head of Climate Solutions, leads our energy transition approach and is one of our most prominent spokespeople on this topic.
• The Climate Solutions team, which has a total of eight team members, has created a bespoke, detailed and investor-focused model to facilitate construction of fully independent energy scenarios. The framework uses in excess of 10 million data variables to model the energy system. The model, L&G’s Destination@Risk, is now helping to inform our long-term investment decisions and develop dynamic pathways for the energy system.

 ESG Distribution

• Laura Brown, Head of Public Markets Distribution, is supported by two further colleagues who are dedicated to ESG and supporting clients in meeting their sustainability and responsible investing objectives.

 Real Assets

• L&G’s Real Assets teamhas 11 dedicated ESG experts working across the range of private credit and real estate strategies that we manage. This team is led Shuen Chan, Head of Responsible Investment and Sustainability.

 Product Development and Strategy

• Rachel Ahlquistis focused on developing and shaping the strategic direction of the pooled product range with respect to Responsible Investment features. This includes specific focus on product launch or amendment work with more advanced ESG features.

 Global Research and Engagement Group (GREGs)

Further to those with roles dedicated to ESG, our Global Research and Engagement Groups (GREGs) bring together representatives from the Investment and Investment Stewardship teams across regions and asset classes. The GREGs enable L&G to connect top-down macro and thematic views with bottom-up analysis of corporate and sector fundamentals to understand the materiality of sustainability risks and opportunities and prioritise them accordingly. Combining the capabilities of the Investment and Investment Stewardship teams also enables L&G to scale and coordinate our engagement efforts with companies at board and executive management levels, across all asset class and investment styles. C.40 research analysts contribute to our GREGs, researching into structural industry changes and risks, and identifying key themes and engagement topics across nine sectors.

 Please see L&G Attachment 1 - ESG Memberships and Collaboration for details on list of related affiliations and memberships.

Please find the team organisation chart below.

See also: L&G ESG Memberships & Collaborations.docx

Dialshifter

This fund is helping to ‘shift the dial from brown to green’ by…

...balancing exposures to Value, Quality, Low Volatility and Size factors and accounting for risks and opportunities associated with climate change.

SDR Labelling:

Unlabelled - promotes sustainable characteristics (has CFD)

SDR Literature:

• Consumer Facing Disclosure