II 全球机构情报
道富环球 · 2026/09/04

可持续固定收益解决方案

前往官网原文 ↗
自动质量提示本研报仍可阅读,但 AI 分析或译文低于优选质量阈值,已进入改进队列。重要判断请同时核对官网原文。
完整研报正文
完整中文译文

可持续固定收益解决方案

来自机构投资者的案例研究:可持续固定收益解决方案

2 道富投资管理公司在帮助机构投资者将可持续性要求融入其投资方面拥有丰富的经验。新技术和大数据为投资者创造了巨大机遇,同时也颠覆了传统的投资组合管理方法。我们理解客户会全面地看待其可持续投资目标以及相应的投资组合,我们希望能在固定收益、股票及其他领域按需实现可持续投资标准的整合。在此,我们分享近年来为机构客户开发和管理的可持续固定收益解决方案的见解和案例。案例中使用的数据来源、指标和阈值均根据投资者的独特需求而定。我们力求为客户提供满足其当前可持续投资需求和未来雄心的投资解决方案和定制能力。

执行摘要

3 目录 07 固定收益案例研究 08 案例研究 1:为欧洲养老基金定制的气候债券策略 10 案例研究 2:为北欧养老基金定制的采用前瞻性指标的气候债券策略 11 案例研究 3:美元投资级和高收益定制低碳债券策略 12 案例研究 4:新兴市场公司定制气候债券指数策略

4 达成正确的解决方案

在投资主张中纳入与气候相关的目标时,投资者雄心和目标的多样性是实施者面临的常见挑战。投资者需要一套灵活多样的解决方案,可根据其要求进行定制,并有可能进行调整以纳入未来的新信息和需求。资产管理人是否能够开发灵活定制的解决方案,对于满足投资者面临的各类独特需求和风险至关重要。

道富投资管理公司的可持续投资能力和解决方案源于我们与客户合作的承诺。我们的投资专长、深入研究、专有工具和稳健的报告有助于为客户提供实现目标和充满信心地投资所需的信息。虽然一些投资者强烈倾向于将其被动投资组合与第三方指数进行基准比较(无论是使用现成的可持续性指数,还是将可持续性目标融入指数设计的定制指数版本),但其他投资者则更倾向于我们所谓的“定制投资组合解决方案”。在定制投资组合解决方案中,目标通过明确的限制和指标直接落实到投资组合构建过程中,同时仍以标准指数或非可持续性指数作为基准。我们采用迭代的、咨询式的流程与客户合作,以确保所有相关目标和投资顾虑都得到充分考虑。该流程包括我们专业可持续投资数据团队、交易、投资组合管理、投资策略师和风险管理的意见。

5 解决方案概览 无论投资者寻求的是股票还是固定收益解决方案,每种方法都有一定的权衡需要考虑。根据我们与全球资深投资者合作的丰富经验,投资者选择定制投资组合解决方案的最常见原因在于其定制目标的灵活性,以及能够将多种数据源直接纳入投资流程,同时相对于参考基准实现较低跟踪误差波动性的能力。图 1 解决方案特点 图 2 道富投资管理中央可持续因子数据库中的数据提供商 第三方指数(标准) 第三方指数(定制) 定制投资组合解决方案 1 相对指数的跟踪误差 2 低 低 中/高 随时间变化的灵活性 低 中 高 可持续数据的多样性 低 低 高 实施速度 高 中 中 可持续数据的再平衡频率 刚性 刚性 灵活 指数标签资格(例如:欧盟巴黎对齐基准) 是 是 否 来源:道富投资管理。2026 年 6 月。阴影强度与各因素(见第一列)相关,旨在代表机构投资者在寻求指数化策略并纳入可持续目标时通常偏好的选项。阴影越深,越常被偏好;阴影越浅,越少被偏好。一般气候/碳 治理 争议与业务参与 主权 瑞士证券交易所ESG评级 MSCI ESG评级 穆迪 Refinitiv Net Purpose Sustainalytics ESG风险评级 Sustainable Fitch 气候债券倡议组织 FTSE LCE ISS Climate LGX DataHub MSCI Climate S&P Trucost ISS治理 MSCI治理 MSCI BISR MSCI争议 Sustainalytics产品参与 Sustainalytics全球契约 Sustainalytics争议性武器雷达 LSEG MSCI ESG政府评级 S&P Trucost Sustainalytics国家风险评级 来源:道富投资管理,2026 年 6 月。

6 专有的系统性股票倾斜贝塔策略和系统性公司债券倾斜贝塔策略只是我们提供的气候主题指数和智能贝塔投资解决方案中的部分示例。下表展示了我们近年来为客户构建和管理的多种气候主题投资解决方案。在某些情况下,我们直接与指数提供商合作构建定制化的第三方指数,而其他案例则侧重于定制化的投资组合解决方案,这些解决方案采用了灵活、优化的结构,并利用了我们多来源的可持续数据框架。下表概述了本文中收录的案例研究。这些示例仅供说明之用。图3:定制化气候主题投资解决方案的固定收益案例研究示例 案例研究1 案例研究2 案例研究3 案例研究4 基准 ICE全球公司债 彭博美国公司债1% 指数 彭博美国公司债指数和彭博美国高收益指数 JPM CEMBI 方法 定制投资组合解决方案 定制投资组合解决方案 定制投资组合解决方案 定制第三方指数 碳减排同比 碳减排 前瞻性气候指标 产品参与筛查(筛查项数)(>5)(>5)(>5) 争议性筛查 可持续性评分提升 其他 绿色债券 绿色债券 客户排除清单 绿色债券 客户排除清单 客户排除清单 国家排除政策 同比 = 同比 资料来源:道富投资管理,2026年6月。

7 可持续固定收益解决方案案例研究

8 案例研究 1 为欧洲养老基金定制的气候债券策略

一家机构投资者希望将其全球公司债券投资组合从主动型转为被动型,同时维持其ICE全球公司定制债券指数及定制行业敞口。他们寻求在投资策略中纳入一套全面且有针对性的可持续和气候主题目标,同时保持相对于战略基准的低跟踪误差。

采用系统化公司债券倾斜贝塔策略框架的改良版本,并通过以下关键定制进行调整,以符合客户目标:

  • 气候30%:到31年12月实现碳减排2024,,此后持续实施7.6%年同比减排路径。
  • 绿色债券:将绿色债券的配置比例提高至基准权重200%以上。
  • 排除标准:客户每季度提供排除清单,并由道富投资管理公司的专有数据分析及负面筛选框架加以补充,利用观点(POV)中的产品涉入和争议因素,识别并排除高碳及争议公司。
  • 风险评级:投资组合的可持续性风险评级必须等于或高于基准。
  • 灵活性:当投资者需要时,能够调整限制、目标和输入项。
  • 超配/低配限制:客户要求相对于基准的ICE子行业2超配/低配限制为3%,以及相对于基准的发行人最大超配1%限制。

背景 解决方案 实施 结果

我们成功启动了该策略,于€650年11月获得初始投资2022,百万美元,该策略基于定制版的系统化公司债券倾斜贝塔策略,并使用特定数据源与客户自身的风险监督、研究和报告所用数据源保持一致。我们一直与投资者合作,逐步纳入碳减排路径,如下图所示(见下页图4)。

9 来源:道富投资管理公司。截至30年6月2026。上述估算基于道富所做的某些假设和分析。不保证这些估算能够实现。

图4 投资组合加权平均碳强度减排路径

预测路径 实际投资组合加权平均碳强度(每百万美元收入的CO2当量排放)

0 300 200 250 150 100 50 2020 2025 2030 2035 2040 2045 2050 30 6月2026 111.06

10 案例研究 2 为北欧养老金定制气候债券策略,采用前瞻性指标 一家机构投资者希望将其现有的美国公司债指数化策略(基准为彭博美国公司债 1% 指数)与一个稳健的可持续投资框架相结合,该框架将前瞻性和回溯性指标纳入系统化公司债倾斜贝塔策略的定制版本中。自 2023, 年第 4 季度起,我们与该投资者合作,在其现有基准为彭博美国公司债指数且发行人上限为 1% 的投资组合上,除核心排除清单外,还进行了应用气候投资框架的模拟。在 2024, 年第 1 季度,我们进一步推进该框架,纳入前瞻性指标。最终实施基于系统化公司债倾斜贝塔策略的定制版本,通过专有优化引擎整合前瞻性气候相关指标。策略设计的主要特点包括: 1 气候 — 50% 范围 1 和 2 碳强度较基准降低,自 2030 年起每年同比减少 7.6%% — 最小化化石燃料储量和棕色收入 — 隐含温升目标 ≤2°C — 碳风险评级评估 2 排除项 筛选因素包括: — 争议事件(违反联合国全球契约原则和极端ESG争议) — 业务参与(民用枪械、争议性武器、动力煤、北极油气、油砂、烟草) 3 绿色债券 该策略的绿色债券配置权重为基准权重的 2 倍。为使标准指数化策略符合新的定制气候框架,需要在 5 天内进行约 30% 的换手率,使现有授权与升级后的气候框架保持一致,确保最佳执行,最小化交易成本,并保持在 50 basis points 的跟踪误差容忍度范围内。背景 解决方案 实施 成果 我们能够识别并响应客户对气候整合的需求,并在适当的时间提供我们改进的气候框架。2024, 年 4 月,系统化公司债倾斜贝塔策略成功使北欧养老金的投资方法与可持续框架保持一致,同时实现其财务目标。通过纳入前瞻性指标和严格的筛选标准,该策略符合客户对可持续投资的承诺以及缓解气候相关风险的愿望。绿色债券的使用进一步增强了投资组合对预期更具气候韧性并有助于低碳经济资产的敞口。

11 案例研究 3 美元投资级和高收益定制低碳债券策略 一家瑞士养老基金希望将其内部和外部管理的各类资产组合与一致的可持续性和气候主题框架保持一致,同时保持相对于战略基准(包括彭博美国公司债券指数和彭博美国高收益指数)的低跟踪误差。研究始于一系列重点研讨会和会议,涉及情景测试以及广泛的可能指标,包括: • 与标准基准相比的政策风险价值(VaR)改善3 • 与标准基准相比的技术风险价值改善4 • 与标准基准相比的物理风险价值改善5 • 与标准基准相比的低碳转型得分改善 经过广泛审议和情景测试,客户选择了一种基于道富低碳公司债券框架变体的细致配置策略,具体针对以下因素: 1 气候 40% 与基准相比的碳强度降低。 2 排除清单 客户特定的定制排除清单。 背景 解决方案 实施 结果 客户选择道富投资管理公司作为首选管理人,认可其在定制投资解决方案框架方面的灵活性、在管理气候主题解决方案方面的经验,以及其高效且增值的指数化固定收益方法。

12 案例研究 4 新兴市场公司定制气候债券指数策略 客户希望将其新兴市场公司债券策略从主动型转为指数型,同时在指数构建中纳入系统性公司债券倾斜贝塔策略框架的定制版本。利用我们的专有数据和优化模型,我们进行了深入分析,以探索数据覆盖率以及跟踪误差与期望的可持续目标之间的各种权衡。这些情景对于帮助客户就其投资策略做出明智决策至关重要。一旦确定了首选框架,指数提供商(摩根大通)便将其纳入指数,该指数可以系统地提供给客户和投资组合经理。以摩根大通CEMBI广泛多元化基准作为母指数,并根据以下参数进行定制: 1 气候 50% 相对于基准的碳减排。 2 争议与业务参与筛选 客户每季度更新其排除清单,包括争议性武器、民用枪支、油砂、页岩气、动力煤和烟草。道富投资管理还使用我们POV中的数据源和阈值,对这些可持续因素进行二次筛查。 3 国家政策 避免投资于违反投资者国家政策的公司和政府,国有企业的最低持股比例为 50%。 背景 解决方案 实施 我们与客户密切合作,将投资组合从原有敞口过渡到新的定制气候策略,该策略于 2023 年 6 月成立,初始规模为 €650 百万。通过我们持续的增值分层抽样方法,包括利用新公司发行和公司行动参与的优势,我们得以将跟踪误差波动率进一步降低至约 12 basis points,如图 5 所示。

13 来源:道富投资管理,FactSet。截至 30 年 10 月 2024 日。图 5 新兴市场公司定制气候债券指数策略的跟踪误差 基点 0 60 50 40 30 20 10 6月 2023 7月 8月 9月 10月 11月 12月 1月 2月 3月 4月 5月 7月 8月 9月 6月 10月 2024

14 联系我们 道富投资管理公司的可持续投资 道富的多源数据架构,加上我们在可持续投资领域的自身见解,为数据应用提供了灵活性。示例中使用的数据来源和指标差异很大,且取决于投资者的独特需求。我们是一家具有全球规模的指数型和系统化投资管理公司,在指数投资(包括机构指数和ETF)、现金、以及部分主动和多元资产策略方面实力雄厚——并由一系列可持续投资能力作为支撑。为客户提供一系列投资解决方案和定制能力,以满足其可持续投资需求,是我们可持续投资战略的关键支柱。可持续投资是我们业务的核心支柱,也是公司的重要战略举措,我们已将丰富的经验、资源和专业知识融入面向客户的可持续投资解决方案中。我们持续为整个组织的可持续投资和资产管理工作团队增加资源,并与广泛的合作伙伴协作,帮助我们始终站在可持续投资的前沿,并不断完善最佳实践框架。无论客户是关注风险管理、应对新法规、进行符合其价值观的投资,还是寻求提升长期业绩,我们的能力都能支持客户实现其可持续投资目标。如需了解更多关于我们的可持续对齐策略如何帮助您实现投资目标的信息,请联系您的道富投资管理公司代表,或发送电子邮件至:InstitutionalEMEA@statestreet.com

15 尾注 1 一种被动投资解决方案,通常以第三方指数为基准,但根据可持续投资目标在基金/组合层面应用指导方针、限制和目标。 2 该指数是用于标准绩效和报告目的的基准。 3 根据所有排放源(范围1, 2, 3)计算的公司总体下行政策风险敞口,以公司市值的百分比表示,假设全球特定的温度目标,并使用NGFS有序情景下REMIND模型的碳价格。 4 公司的上行技术机会敞口,以公司市值的百分比表示,上限为100%,假设全球特定的温度目标,并使用NGFS有序情景下REMIND模型计算的碳价格。 5 公司的预期下行或上行潜力,以公司市值的百分比表示,假设极端寒冷、极端炎热、极端降水、强降雪、极端风、沿海洪水、河流洪水、热带气旋、河流低流量和野火的趋势沿着特定温度目标REMIND有序情景继续。

完整英文原文

Case Studies from Institutional Investors Sustainable Fixed Income Solutions

2 State Street Investment Management has extensive experience helping institutional investors integrate sustainability requirements into their investments. New technology and big data are creating tremendous opportunities for investors while also disrupting conventional approaches to portfolio management. We understand that our clients view their sustainable investing objectives, and in turn their portfolios, holistically and we look to enable the integration of sustainable investing criteria, where desired, across fixed income, equity and beyond. Here we share insights and examples of sustainable fixed income solutions developed and managed for institutional clients in recent years. The data sources, metrics and thresholds used in the examples are driven by the unique needs of the investor. We look to provide clients with investment solutions and customization capabilities that meet both their sustainable investing needs today and their future ambitions. Executive Summary

3 Contents 07 Fixed Income Case Studies 08 Case Study 1: A Customized Climate Bond Strategy for a European Pension Fund 10 Case Study 2: A Customized Climate Bond Strategy with Forward-Looking Metrics for a Nordic Pension Fund 11 Case Study 3: A USD Investment Grade and High Yield Custom Low-Carbon Bond Strategy 12 Case Study 4: An Emerging Market Corporate Custom Climate Bond Index Strategy

4 Reaching the Right Solution Diversity of investor ambition and objectives is a common challenge implementers face when it comes to investing propositions that integrate climate-related objectives. Investors need a flexible range of solutions that can be tailored to their requirements with the possibility to adapt to incorporate new information and needs in the future. The ability of an asset manager to develop flexible and tailored solutions is crucial to meeting the variety of unique needs and risks investors face. State Street Investment Management’s sustainable investing capabilities and solutions are driven by our commitment to partnering with our clients. Our investment expertise, deep research, proprietary tools and robust reporting help give our clients the information they need to achieve their goals and invest with confidence. While some investors have strong preferences for benchmarking their passive portfolio to a third- party index (either via an off-the-shelf sustainability index or customized version of an index with sustainability objectives integrated into its design), others prefer what we call a Custom Portfolio Solution. In a Custom Portfolio Solution the objectives are directly implemented into the portfolio construction process via explicit restrictions and targets, while remaining benchmarked against a standard or non-sustainability index. We employ an iterative, consultative process to partner with clients and help ensure all relevant objectives and investment concerns are taken into consideration. The process includes inputs from our specialized sustainable investing data team, trading, portfolio management, investment strategists and risk management.

5 An Overview of Solutions Whether an investor is seeking an equity or fixed income solution, each approach has certain trade-offs to consider. In our extensive experience working with sophisticated investors from around the world, the most common reasons why investors opt for the Custom Portfolio Solution is the flexibility to customize objectives and the ability to incorporate multiple data sources directly into the investment process while still achieving a low tracking-error volatility to the reference benchmark. Figure 1 Solution Characteristics Figure 2 Data Providers in State Street Investment Management’s Centralized Sustainability Factor Database Third-Party Index (Standard) Third-Party Index (Custom) Custom Portfolio Solution 1 Tracking Error vs Index 2 Low Low Medium / High Flexibility to Change Over Time Low Medium High Variety of Sustainability Data Low Low High Speed of Implementation High Medium Medium Rebalance Frequency of Sustainability Data Rigid Rigid Flexible Index Label Elegibile (e.g. EU PAB) Yes Yes No Source: State Street Investment Management. June 2026. Shading intensity relates to each factor (shown in the first column) and seeks to represent the option typically preferred by institutional investors seeking an index-like strategy while incorporating sustainability objectives. The more intense the shading, the more the option is commonly preferred; while the lighter the shading the less it is commonly preferred. General Climate/Carbon Governance Controversies & Business Involvement Sovereign ISS ESG MSCI ESG Ratings Moody’s Refinitiv Net Purpose Sustainalytics ESG Risk Ratings Sustainable Fitch Climate Bonds Initiative FTSE LCE ISS Climate LGX DataHub MSCI Climate S&P Trucost ISS Governance MSCI Governance MSCI BISR MSCI Controversies Sustainalytics Product Involvement Sustainalytics Global Compact Sustainalytics Controversial Weapons Radar LSEG MSCI ESG Government Ratings S&P Trucost Sustainalytics Country Risk Rating Source: State Street Investment Management, June 2026.

6 The proprietary Systematic Equity Tilted Beta Strategy and the Systematic Corporate Bond Tilted Beta Strategy are just some examples of the climate-thematic indexing and smart beta investment solutions which we offer. The table below showcases a range of climate-thematic investment solutions that we have built and managed for clients in recent years. In some instances we worked directly with an index provider to build a custom third-party index, while other case studies focus on bespoke custom portfolio solutions that apply a flexible, optimized structure utilising our multi-source sustainability data framework. The table below provides a summary of the case studies included in this paper. These are examples provided for illustrative purposes. Figure 3 Fixed Income Case Study Examples of Customized Climate-Thematic Investment Solutions Case Study 1 Case Study 2 Case Study 3 Case Study 4 Benchmark ICE Global Corporate Bloomberg US Corporate Bond 1% Index Bloomberg US Corporate Bond Index and the Bloomberg US High Yield Index JPM CEMBI Approach Custom Portfolio Solution Custom Portfolio Solution Custom Portfolio Solution Custom Third-Party Index Carbon Reduction YoY Carbon Reduction Forward-Looking Climate Metrics Product Involvement Screening (#of screens) (>5) (>5) (>5) Controversy Screening Sustainability Score Enhancement Other Green Bonds Green Bonds Client Exclusion List Green Bonds Client Exclusion List Client Exclusion List Country Exclusion Policy YoY = Year-on-Year Source: State Street Investment Management, June 2026.

7 Sustainable Fixed Income Solutions Case Studies

8 Case Study 1 A Customized Climate Bond Strategy for a European Pension Fund An institutional investor wished to move from an active to a passive global corporate bond portfolio while maintaining their ICE Global Corporate Custom Bond Index with tailored sector exposures. They sought to integrate a comprehensive and targeted set of sustainable and climate-themed objectives into the investment strategy, while maintaining a low tracking error against the strategic benchmark. Using a modified version of the Systematic Corporate Bond Tilted Beta Strategy Framework this was then adjusted with the following key customizations to align with the client objectives: • Climate 30% carbon reduction by 31 December 2024, with a then ongoing 7.6% year-on- year decarbonization pathway. • Green Bonds Increase allocation to Green Bonds by more than 200% that of the weight in the benchmark. • Exclusions Exclusion list provided by the client quarterly and complemented by State Street Investment Management’s proprietary data analytics and a negative screening framework, using a selection of Product Involvement and Controversy Factors from the Point of View (POV) to identify and exclude high carbon and controversial companies from the investment universe. • Risk Rating The portfolio’s sustainability risk rating must be equal to or greater than that of the benchmark. • Flexibility Ability to adjust restrictions, targets and inputs as and when required by the investor. • Overweight/Underweight Constraints The client required ICE sub-sector level 2 relative to benchmark limits of 3% overweight/underweight as well as an issuer max 1% overweight constraint versus the benchmark. Background Solution Implementation Outcome We successfully launched the strategy with an initial €650 million investment in November 2022, based on a tailored version of the Systematic Corporate Bond Tilted Beta Strategy using specific data sources to align with the client’s own data sources used for risk oversight, research and reporting purposes. We have been working with the investor to gradually incorporate the carbon reduction glide path as illustrated in figure 4 overleaf.

9 Source: State Street Investment Management. As of 30 June 2026. The above estimates are based on certain assumptions and analysis made by State Street. There is no guarantee that the estimates will be achieved. Figure 4 Portfolio Weighted Average Carbon Intensity Reduction Glidepath Projected Path Actual Portfolio Weighted Average Carbon Intensity ( CO 2 e Emissions per $m Revenue) 0 300 200 250 150 100 50 2020 2025 2030 2035 2040 2045 2050 30 June 2026 111.06

10 Case Study 2 A Customized Climate Bond Strategy with Forward- Looking Metrics for a Nordic Pension Fund An institutional investor sought to align its existing US corporate bond indexed strategy (benchmarked to the Bloomberg US Corporate Bond 1% Index) with a robust sustainable investing framework that incorporated both forward-looking and backward-looking metrics into a customized version of the Systematic Corporate Bond Tilted Beta Strategy. Starting in Q4 2023, we worked with the investor to run simulations in applying a climate investment framework, in addition to their core exclusion list, on an existing portfolio benchmarked to the Bloomberg US Corporate Bond Index with a 1% issuer cap. In Q1 2024, we worked to advance the framework further by incorporating forward-looking metrics. The final implementation was based on a customized version of the Systematic Corporate Bond Tilted Beta Strategy, integrating forward-looking climate-related metrics through a proprietary optimization engine. Key features of the strategy design included: 1 Climate — 50% Scope 1 & 2 carbon intensity reduction versus the benchmark with annual 7.6% YoY reduction kicking in from 2030 — Minimize fossil fuel reserves & brown revenue — Implied temperature rise target of ≤2°C — Carbon risk rating assessment 2 Exclusions The screened factors included: — Controversies (Violations of UN Global Compact Principles and Extreme ESG Controversies) — Business Involvement (Civilian Firearms, Controversial Weapons, Thermal Coal, Arctic Oil & Gas, Oil Sands, Tobacco) 3 Green Bond The strategy overweighted green bonds by 2x the benchmark weight. To bring the standard indexed strategy in line with the new custom climate framework required an approximately 30% turnover over 5 days, bringing the current mandate into line with our upgraded climate framework, ensuring best execution, minimizing trading costs and staying well within the 50 basis points tracking-error tolerance level. Background Solution Implementation Outcome We were able to identify and respond to the need of the client for climate integration and could offer our improved climate framework at the appropriate time. In April 2024, the Systematic Corporate Bond Tilted Beta Strategy successfully aligned the Nordic pension fund’s investment approach with its sustainability framework, while also meeting its financial objectives. By incorporating forward-looking metrics and stringent screening criteria, the strategy aligned to the client’s commitment to sustainable investing and desire to mitigate climate-related risks. The use of green bonds further enhanced the portfolio’s exposure to assets expected to be more climate-resilient and contributing to a lower-carbon economy.

11 Case Study 3 A USD Investment Grade and High Yield Custom Low-Carbon Bond Strategy A Swiss pension fund sought to align its internally- and externally-managed portfolios across various asset classes with a consistent sustainability and climate-thematic framework, while maintaining a low tracking error to the strategic benchmarks (consisting of the Bloomberg US Corporate Bond Index and the Bloomberg US High Yield Index). Research started with a number of focused workshops and meetings involving scenario testing and with a broad range of possible metrics including: • Policy Value-at-Risk (VaR) improvement compared to standard benchmark 3 • Technology VaR improvement compared to standard benchmark 4 • Physical VaR improvement to standard benchmark 5 • Low Carbon Transition score improvement to standard benchmark Following extensive deliberation and scenario testing, the client opted for a nuanced allocation strategy based on a variation of the State Street Low-Carbon Corporate Bond Framework, specifically targeting the following factors: 1 Climate 40% carbon intensity reduction versus the benchmark. 2 Exclusion List A client-specific custom exclusion list. Background Solution Implementation Outcome The client chose State Street Investment Management as the preferred manager, recognizing the flexibility in the custom investment solution framework, experience in managing climate-thematic solutions, as well as its efficient and value-adding indexed fixed income approach.

12 Case Study 4 An Emerging Market Corporate Custom Climate Bond Index Strategy The client wished to switch their Emerging Market corporate bond strategy from an active to an indexed mandate, while also incorporating a customized version of the Systematic Corporate Bond Tilted Beta Strategy Framework into the index construction. Using our proprietary data and optimization models we conducted in-depth analysis to explore data coverage and the various trade-offs between tracking error and the desired sustainability objectives. These scenarios were crucial in helping the client make informed decisions regarding their investment strategy. Once the preferred framework had been identified the index provider (JP Morgan) incorporated these into an index which could be systematically supplied to the client and the portfolio manager. Starting with the JP Morgan CEMBI Broad Diversified Benchmark as the parent index, this was customized based on the following parameters: 1 Climate 50% carbon reduction versus the benchmark. 2 Controversy & Business Involvement Screening On a quarterly basis the client updates their exclusion list which includes Controversial Weapons, Civilian Firearms, Oil Sands, Shale Gas, Thermal Coal, and Tobacco. State Street Investment Management also provides a secondary screening check for these sustainability factors using the data sources and thresholds in our POV. 3 Country Policy Avoid investments in companies and governments which breach the investor’s country policy, with a minimum threshold of 50% of share capital for state- owned companies. Background Solution Implementation Outcome We worked closely with the client to transition the portfolio from the legacy exposure into the new custom climate strategy which incepted in June 2023 with €650 million. Through our ongoing value-add stratified sampling approach, including the advantage of new corporate issues and corporate action participation, we have been able to further lower the tracking error volatility (TEV) to around 12 basis points, as demonstrated in Figure 5.

13 Source: State Street Investment Management, FactSet. As of 30 October 2024. Figure 5 Tracking Error of the Emerging Market Corporate Custom Climate Bond Index Strategy bps 0 60 50 40 30 20 10 Jun 2023 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jul Aug Sep Jun Oct 2024

14 Get in Touch Sustainable Investing at State Street Investment Management State Street’s multi-source data architecture, along with our own insights in the field of sustainable investing, gives flexibility in data application. The data sources and metrics used in the examples provided vary considerably and are driven by the unique needs of the investor. We are a global-scaled index and systematic investment manager with strengths in index investing (both institutional and ETFs), cash, and select active and multi-asset capabilities — underpinned by a spectrum of sustainable investing capabilities. Providing our clients with a range of investment solutions and customization capabilities that cater to their sustainable investing needs is a key pillar of our sustainable investing strategy. Sustainable investing is a core pillar of our business and a key strategic initiative for the firm, and we have built extensive experience, resources and expertise into our sustainable investing solutions for clients. We continue to add resources to both the Sustainable Investing and Asset Stewardship teams across the organization, as well as collaborating with a broad range of partners, helping us remain at the forefront of sustainable investing and to continually enhance best-practice frameworks. Whether clients are focused on risk management, responding to new regulations, making investments that align with their values, or seeking to enhance long-term performance, our capabilities can support clients in achieving their sustainable investing objectives. To learn more about how our sustainable aligned strategies could help you meet your investment goals please contact your State Street Investment Management representative or email us at: InstitutionalEMEA@statestreet.com

15 Endnotes 1 A passive investment solution which is typically benchmarked to a third-party index but which applies fund/portfolio level guidelines, restrictions and targets based on sustainable investment objectives. 2 The index is the benchmark used for standard performance and reporting purposes. 3 A company’s aggregated downside policy risk exposure according to all emission sources (Scope 1, 2, 3), expressed as a percentage of the company’s market value, assuming a global specified temperature target and using carbon prices from the REMIND model under the NGFS Orderly scenario. 4 A company’s upside technology opportunity exposure, expressed as a percentage of the company’s market value capped at 100%, assuming a global specified temperature target and calculated using carbon prices from the REMIND model under the NGFS Orderly scenario. 5 A company’s expected downside or upside potential, expressed as a percentage of the company’s market value, assuming trends in extreme cold, extreme heat, extreme precipitation, heavy snowfall, extreme wind, coastal flooding, fluvial flooding, tropical cyclones, river low flow and wildfires continue along the specified temperature target REMIND Orderly scenario.

机构免责声明
16 statestreet.com /im State Street Global Advisors (SSGA) is now State Street Investment Management. Please click here for more information. Important Information Information Classification: General For institutional / professional investors use only. Marketing Communication State Street Investment Management Worldwide Entities Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number 238276). Registered office: Level 14, 420 George Street, Sydney, NSW 2000, Australia T: +612 9240-7600. F: +612 9240-7611. Belgium: State Street Global Advisors Belgium, Chaussée de La Hulpe 185, 1170 Brussels, Belgium. T: +32 2 663 2036. State Street Global Advisors Belgium is a branch office of State Street Global Advisors Europe Limited, registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. Canada: State Street Global Advisors, Ltd., 1981 McGill College Avenue, Suite 500 , Montreal, Quebec, H3A 3A8, T: +514 282 2400 and 30 Adelaide Street East Suite 1100, Toronto, Ontario M5C 3G6. T: +1647 775 5900. Dubai: State Street Global Advisors Limited, DIFC branch is regulated by the Dubai Financial Services Authority (DFSA). This document is intended for Professional Clients or Market Counterparties only as defined by the DFSA and no other person should act upon it. State Street Global Advisors Limited, DIFC Branch, OT 01-39, 1st Floor, Central Park Towers, DIFC, P.O Box 507448, Dubai, United Arab Emirates. Regulated by the DFSA. Telephone: +971 4 776 1600. France: State Street Global Advisors Europe Limited, France Branch (“State Street Global Advisors France”) is a branch of State Street Global Advisors Europe Limited, registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. State Street Global Advisors France is registered in France with company number RCS Nanterre 899 183 289, and its office is located at Coeur Défense - Tour A - La Défense 4, 33e étage, 100, Esplanade du Général de Gaulle, 92 931 Paris La Défense Cedex, France. T: +33 1 44 45 40 00. F: +33 1 44 45 41 92. Germany: State Street Global Advisors Europe Limited, Branch in Germany, Hansastrasse 29a, D-81373 Munich, Germany with a representation office at Brüsseler Strasse 1-3, D-60327 Frankfurt am Main Germany (“State Street Global Advisors Germany”). Munich T +49 (0)89 55878 400. Frankfurt T +49 (0)69 667745 000. State Street Global Advisors Germany is a branch of State Street Global Advisors Europe Limited, registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. Hong Kong: State Street Global Advisors Asia Limited, 68/F, Two International Finance Centre, 8 Finance Street, Central, Hong Kong. T: +852 2103-0288. F: +852 2103-0200. Ireland: State Street Global Advisors Europe Limited (“SSGAEL”), regulated by the Central Bank of Ireland. Registered office address 78 Sir John Rogerson’s Quay, Dublin 2. Registered number 49934. T: +353 (0)1 776 3000. F: +353 (0)1 776 3300. Web: www.ssga.com. Italy: State Street Global Advisors Europe Limited, Italy Branch (“State Street Global Advisors Italy”) is a branch of State Street Global Advisors Europe Limited, registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. State Street Global Advisors Italy is registered in Italy with company number 11871450968 - REA: 2628603 and VAT number 11871450968, and its office is located at Via Ferrante Aporti, 10 - 20125 Milan, Italy. T: +39 02 32066 100. F: +39 02 32066 155. Japan: State Street Global Advisors (Japan) Co., Ltd., Toranomon Hills Mori Tower 25F 1-23-1 Toranomon, Minato-ku, Tokyo 105-6325 Japan. T: +81-3-4530-7380. Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho #345), Membership: Japan Investment Advisers Association, The Investment Trust Association, Japan, Japan Securities Dealers’ Association. Netherlands: State Street Global Advisors Netherlands, B Vital, De Entree 201, 1101 HG Amsterdam, Netherlands. T: +31 20 7181701. State Street Global Advisors Netherlands is a branch office of State Street Global Advisors Europe Limited, registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower, Singapore 068912 (Company Reg. No: 200002719D, regulated by the Monetary Authority of Singapore). T: +65 6826-7555. F: +65 6826-7501. South Africa: State Street Global Advisors Limited is regulated by the Financial Sector Conduct Authority in South Africa under license number 42670. Spain: State Street Global Advisors Europe Limited, Spanish Representative Office (“State Street Global Advisors Europe Limited, Oficina de Representación en España”) Calle Velázquez, 34, 28001 Madrid, Spain. State Street Global Advisors Europe Limited, Spanish Representative Office is the representative office of State Street Global Advisors Europe Limited in Spain. State Street Global Advisors Europe Limited is registered in Ireland with company number 49934, authorised and regulated by the Central Bank of Ireland, and whose registered office is at 78 Sir John Rogerson’s Quay, Dublin 2. Switzerland: State Street Global Advisors AG, Kalanderplatz 5, 8045 Zürich. Registered with the Register of Commerce Zurich CHE- 105.078.458. T: + 41 44 245 7000. United Kingdom: In the UK, this document has been issued by State Street Global Advisors Limited (“SSGAL”). Authorized and regulated by the Financial Conduct Authority, Registered No.2509928. VAT No. 5776591 81. Registered office: 20 Churchill Place, Canary Wharf, London, E14 5HJ. T: 020 3395 6000. F: 020 3395 6350. United States: State Street Investment Management, One Congress Street, Boston, MA 02114. Important Information The case studies presented above are for illustrative purposes only, actual results could differ substantially based on the investors individual circumstances and investment goals. The above targets are estimates based on certain assumptions and analysis made by State Street Global Advisors. There is no guarantee that the estimates will be achieved. Investing involves risk including the risk of loss of principal. The information provided does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor’s particular investment objectives, strategies, tax status or investment horizon. You should consult your tax and financial advisor. All information is from State Street Investment Management unless otherwise noted and has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. There is no representation or warranty as to the current accuracy, reliability or completeness of, nor liability for, decisions based on such information and it should not be relied on as such. The information contained in this communication is not a research recommendation or ‘investment research’ and is classified as a ‘Marketing Communication’ in accordance with the applicable regional regulation. This means that this marketing communication (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research (b) is not subject to any prohibition on dealing ahead of the dissemination of investment research. This communication is directed at professional clients (this includes eligible counterparties as defined by the appropriate EU regulator) who are deemed both knowledgeable and experienced in matters relating to investments. The products and services to which this communication relates are only available to such persons and persons of any other description (including retail clients) should not rely on this communication. The views expressed are the views of the State Street Investment Management Sustainable Investing Strategy Team through July 30, 2026, and are subject to change based on market and other conditions. This document contains certain statements that may be deemed forward-looking statements. Please note that any such statements are not guarantees of any future performance, and actual results or developments may differ materially from those projected. All the index performance results referred to are provided exclusively for comparison purposes only. It should not be assumed that they represent the performance of any particular investment. The returns on a portfolio of securities which exclude companies that do not meet the portfolio’s sustainable strategy criteria may trail the returns on a portfolio of securities which include such companies. A portfolio’s sustainable strategy criteria may result in the portfolio investing in industry sectors or securities which underperform the market as a whole. The trademarks and service marks referenced herein are the property of their respective owners. Third party data providers make no warranties or representations of any kind relating to the accuracy, completeness or timeliness of the data and have no liability for damages of any kind relating to the use of such data. Investing in foreign domiciled securities may involve risk of capital loss from unfavorable fluctuation in currency values, withholding taxes, from differences in generally accepted accounting principles or from economic or political instability in other nations. Investments in emerging or developing markets may be more volatile and less liquid than investing in developed markets and may involve exposure to economic structures that are generally less diverse and mature and to political systems which have less stability than those of more developed countries. Bonds generally present less short-term risk and volatility than stocks, but contain interest rate risk (as interest rates raise, bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Equity securities may fluctuate in value and can decline significantly in response to the activities of individual companies and general market and economic conditions. The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without State Street Investment Management’s express written consent. This document provides summary information regarding the Strategy. This document should be read in conjunction with the Strategy’s Disclosure Document, which is available from State Street Investment Management. The Strategy Disclosure Document contains important information about the Strategy, including a description of a number of risks. © 2026 State Street Corporation. All Rights Reserved. ID4719150-6729237.1.5.GBL.INST 0826 Exp. Date: 31/07/2027
预览 PDF
1 / 110%

正在载入文档……

AI 分析
由 AI 依据上文研报生成 · 非原文直译、非机构原话 · 重要判断请核对官网原文
关键论点
  • 定制组合解决方案提供了灵活定制目标、将多种数据源直接纳入投资流程,并与参考基准保持较低跟踪误差波动的能力。
  • 多源可持续数据框架整合了ISS ESG、MSCI、Sustainalytics等供应商的数据,支持定制化可持续投资方法。
  • 案例研究展示了气候债券策略的成功实施,包括碳减排目标(如30%、40%、50%)和前瞻性指标(如升温不超过2°C),同时将跟踪误差控制在容忍范围内(如新兴市场策略约12个基点)。
风险
  • 可持续数据的覆盖范围和质量可能因供应商而异,并影响实现目标的能力。
  • 策略的未来表现无法保证;估计和预测基于道富的假设和分析。
  • 如果市场条件变化或约束限制了复制基准的能力,跟踪误差可能会上升。
  • 案例仅为示例,可能不能反映所有客户的实际体验。