US Research Enhanced Index Equity Active UCITS ETF · XETR:JREU
US Research Enhanced Index Equity Active UCITS ETF — JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF — Investor Presentation (May 2023)
53 slides from US Research Enhanced Index Equity Active UCITS ETF's investor presentation, May 2023
Slide 1: Active ESG ETF building blocks to enhance your core
Active ESG ETF building blocks to May 2023 enhance your core JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Past performance is not a reliable indicator of current and future results. This is a marketing communication. Please refer to the prospectus of the ETF and t
Slide 2: ETFs by J.P. Morgan Asset Management
ETFs by J.P. Morgan Asset Management 2 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 3: Active ETFs can add Alpha to expected long-term returns
Active ETFs can add Alpha to expected long-term returns 2023 Long-Term Capital Market Assumptions expected returns in coming 10-15 years China 9.7 0.75 Eurozone large cap 8.4 0.75 Japan 8.3 0.75 Emerging markets 8 0.75 Asia ex-Japan 7.9 0.75 Europe Large Cap 7.7 0.75 Global equities 6.3 0.75 LTCMA r
Slide 4: So why should investors care? Our forecasts have stood the test of time
So why should investors care? Our forecasts have stood the test of time In 2010s: average forecast-realized gap: 80bp (Full history: 70% of forecasts within 0.5 standard deviations of realized) 10.0% 9.0% 8.0% 7.0% 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Slide 5: Research Enhanced Index ETFs: an active extension for your core
Research Enhanced Index ETFs: an active extension for your core 5 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 6: J.P. Morgan Asset Management's REI ESG strategy in an ETF
J.P. Morgan Asset Management’s REI ESG strategy in an ETF Research Enhanced Environmental, Social Exchange Traded Index (REI) & Governance (ESG) Funds (ETF) ● Research driven investment ● Consideration of ESG factors in ● Active ETFs provide flexibility in philosophy sharpened over 30 investment dec
Slide 7: Research Enhanced Index combines the best qualities of active and passive
Research Enhanced Index aims to combine the best qualities of active and passive A core building block and a relatively attractive alternative to passive that seeks positive Alpha at low Tracking Error Active Manager 2% Neutralize Active stock macro/style selection biases Excess Return Return 1% ESG
Slide 8: Our Research Enhanced Index (ESG) ETF range
Our Research Enhanced Index (ESG) ETF range: Combining active investing with benefits of ETF vehicle in all major markets 1.25bn USD AuM 1bn USD AuM JREG* JREM* Global equities Emerging Markets equities 2.3bn USD AuM 14mn USD AuM JREU* JREC* US equities China A equities 387mn USD AuM 66mn USD AuM JR
Slide 9: Research Enhanced Index modular approach allows for regional implementations
Research Enhanced Index modular approach allows for regional implementations J.P. Morgan Asset Managements Research Enhanced Index Strategies US GLOBAL & EUROPE EMERGING Research Enhanced Index EAFE Research Enhanced Index MARKETS Equity Strategy Equity Strategy Research Enhanced Index Research Enha
Slide 10: Integrating ESG into our investment process
Integrating ESG into our investment process Systematic consideration of financially material ESG factors* Systematically capturing our A Fundamental ESG Score informed by our proprietary ESG insights research and company Environment Fundamental engagements. Our analysts Insights complete a 40 questi
Slide 11: J.P. Morgan Asset Management ESG Promote Funds (EU SFDR Article 8)
J.P. Morgan Asset Management ESG Promote Funds (EU SFDR Article 8) Inclusionary ESG requirements • A minimum of 10% of assets must be ‘sustainable investments’ as defined by EU SFDR • A minimum of 51% of assets must have ‘good E and/or S characteristics’ and ‘promote good governance’ • 100% of asset
Slide 12: Active Equity ETFs by J.P. Morgan Asset Management
Active Equity ETFs by J.P. Morgan Asset Management JREU* JREG* JREE* JREM* J.P. Morgan US Research Global Emerging Markets Global Research Enhanced Global Research Enhanced ETF Name Enhanced Index Equity (ESG) Research Enhanced Index Index Equity (ESG) UCITS ETF Index Equity (ESG) UCITS ETF UCITS ET
Slide 13: Enhance your core: Developed Markets
Enhance your core: Developed Markets JREG* JREU* JREE* JREZ* JREJ* Benchmark MSCI World S&P 500 MSCI Europe MSCI EMU MSCI Japan Alpha Target 0.75% 0.60% 0.75% 0.75% 0.75% Tracking Error 1.00-1.50% 0.50-1.50% 0.75-1.50% 0.75-1.50% 0.75-1.50% (Active Risk) AuM 1.25bn USD 2.3bn USD 387n EUR 130mn EUR 6
Slide 14: Enhance your core: Emerging Markets
Enhance your core: Emerging Markets JREM* JREC* JREA* Benchmark MSCI Emerging Markets MSCI China A MSCI AC Asia Pacific ex Japan Alpha Target 0.75% 0.75% 0.75% Tracking Error 0.75%-2.0% 1.00-2.00% 1.00-2.00% (Active Risk) AuM 1bn USD 14mn USD 26mn USD (as of 15 Feb 23) Country range +2% to benchmark
Slide 15: Research Enhanced Index (ESG) ETFs: Roles the ETFs can play in your portfolio
Research Enhanced Index (ESG) ETFs: Roles the ETFs can play in your portfolio ESG tilt Enhance performance Better achieve your performance targets by Moving from a market cap article 6 adding a proven active ETF with potential for ETF to an ESG tilt with article 8 incremental outperformance of index
Slide 16: Expertise
Expertise 16 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 17: US Equity portfolio management teams
US Equity portfolio management teams Lee Spelman Head of US Equity Exp: 47 / 34 Core Portfolio Managers Scott Davis Shilpee Raina Susan Bao Steven Lee Laura Huang David Small Rick Singh Exp: 28 / 17 Exp: 19 / 19 Exp: 26 / 26 Exp: 30 / 19 Exp: 18 / 18 Exp: 23 / 18 Exp: 23 / 10 Jack Caffrey Manish Goy
Slide 18: A team of skilled research analysts with 20+ years of experience
A team of skilled research analysts with 20+ years of experience David Small Danielle Hines Managing Director Executive Director Director of U.S. Research Associate Director of U.S. Research Experience: 23 / 18 Experience: 14 / 14 Consumer Healthcare Bartjan Lisa S. Sadioglu Greg Fowlkes Ryan Vineya
Slide 19: Process
Process 19 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 20: Overview: US Research Enhanced Index Equity (ESG) UCITS ETF
Overview: JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF ● A disciplined process maximizing our fundamental analysts’ insights with quantitative Distinctive investment and qualitative portfolio risk controls approach ● Method is consistent and explainable ● Lead por
Slide 21: Investment Process
Investment Process “Exploit stock specific insights with index like characteristics and robust risk management” Information advantage Valuation model Portfolio construction ● Global network of over 90 ● Proprietary earnings and cash ● Experienced Portfolio Management fundamental research analysts fl
Slide 22: Fundamental research is our competitive advantage
Fundamental research is our competitive advantage Regional analyst teams Global sector teams Commitment to research ● Create industry frameworks focusing ● Regional analysts collaborate within ● An annual global research expenditure of on structural change and long-term global sector teams on data,
Slide 23: Strategic classifications: Premium, quality, trading, structurally challenged
Strategic classifications: Premium, quality, trading, structurally challenged Understanding the business Economics Duration Governance Does the business create value Can this value creation How will governance impact for shareholders? be sustained? shareholder value? ● Sustainable return on capital
Slide 24: ESG checklist
ESG checklist Examples of the questions we ask ourselves about each company to identify potential ESG risks and opportunities ● Is the business vulnerable to regulation aimed at limiting greenhouse gas emissions? ● Does the company have issues with toxic Environment emissions, waste management or ot
Slide 25: Case study: Ongoing engagement with AmerisourceBergen
Case study: Ongoing engagement with AmerisourceBergen Our ESG analysis allowed us to highlight areas to implement positive change Identify and engage Drive positive change Continued engagement ● We have engaged with AmerisourceBergen (ABC) ● November 2018: The Board split the roles of the ● Most rec
Slide 26: Benefits of an ESG framework within our Research Driven Process
Benefits of an ESG framework within our Research Driven Process Our approach to ESG is centred around engagement to develop a deep understanding of businesses and to drive change in pursuit of better outcomes ● Forensic analysis of all aspects of a company's financials Research ● Intrinsic understan
Slide 27: Our analysts' long-term forecasts drive our ranking of stocks
Our analysts’ long-term forecasts drive our ranking of stocks in each sector Our focus: normalised sustainable earnings and growth rates Research process Earnings forecasts Ranking Focus on: ● Competitive advantage Quintile 1 ● Industry frameworks Most attractive ● Structural change Normalised earni
Slide 28: ESG is integral to our fundamental research
ESG is integral to our fundamental research Systematic consideration of financially material ESG factors* Global Equity Research Team ESG Checklist Environment 12 questions Social 14 questions Decades Globally Systematic of insight consistent approach Governance SUPPORTED BY 14 questions Fundamental
Slide 29: Our research rankings have added value for over three decades
Our research rankings have added value for over three decades 1 January 1987 – 31 March 2023 US Quintile Performance vs. S&P 500 Index 4.0% On average, undervalued stocks have outperformed… …and expensive stocks have underperformed. 3.0% 2.0% 1.0% Percent 0.0% -1.0% -2.0% -3.0% -4.0% Quintile 1 Quin
Slide 30: The enhanced signal risk adjusts our research rankings
The enhanced signal risk adjusts our research rankings 1 January 1987 – 31 March 2023 Quintile Performance vs. S&P 500 The enhanced signal adjusts the analysts ranking to reflect: 8% Valuation Signal Enhanced Signal Valuation: 6% Our research rankings are most effective when 4% our valuation signal
Slide 31: Portfolio construction
Portfolio construction Experienced fund managers own and guide the portfolio construction process Research analysts ● Enhanced rankings ● Risk model Inputs ● Transaction cost model Portfolio managers ● Optimizer suggests trades ● Analysts provide feedback Stock ● Portfolio Managers make final decisi
Slide 32: Blending alpha, risk control and transaction cost aversion
Blending alpha, risk control and transaction cost aversion Fundamental research Risk adjusted return forecast Risk & transactions cost model Client risk & benchmark preferences Optimizer Qualitative analyst feedback Suggested trades Trades sent to desk Portfolio manager review 32 FOR PROFESSIONAL CL
Slide 33: Portfolio
Portfolio 33 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 34: Alpha quintile distribution
JREU Alpha quintile distribution JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF As of 30 April 2023 % of portfolio by quintile 63% vs. 47% Fund S&P 500 40% 36.3 35% 30% 26.5 25% 24.0 22.7 21.7 20% 17.9 17.4 14.2 13.6 15% 10% 5.7 5% 0.0 0.0 0% Q1 Q2 Q3 Q4 Q5 Other So
Slide 35: Sector positions
JREU Sector positions JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Benchmark S&P 500 Index As of 30 April 2023 Active and absolute sector positions Relative to benchmark (%) 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2
Slide 36: Portfolio positions
JREU Portfolio positions JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Benchmark S&P 500 Index As of 30 April 2023 Portfolio Relative Top 10 Holdings Portfolio weight (%) Top 5 overweights¹ weight (%) position (%) Apple 7.2 Trane Technologies 0.6 0.5 Parker-Hannifi
Slide 37: Portfolio characteristics
JREU Portfolio characteristics JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Benchmark S&P 500 Index As of 30 April 2023 Characteristics Portfolio Benchmark BARRA tilts managed vs benchmark Weighted Average Market Cap USD 583.6bn USD 570.4bn Price/Earnings, 12-mth
Slide 38: Results
Results 38 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 39: US REI strategy performance
JREU US REI strategy performance J.P. Morgan US REI 100 Strategy As of 30 April 2023 Annualised performance (%) – gross of fees (USD) Three One Three Five Ten Since YTD Months Year Years Years Years inception1 US REI 100 Strategy 3.24 9.91 3.50 15.77 12.26 12.62 11.00 S&P 500 Index 2.72 9.17 2.66 14
Slide 40: Performance
JREU Performance JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF As of 30 April 2023 Annualised performance (%) – net of fees (USD) Three One Three Since YTD YTD Months Year Years Inception1 US REI Equity (ESG) UCITS ETF 2.86 9.56 2.63 15.09 11.53 S&P 500 Index (Net
Slide 41: Performance attribution (YTD)
JREU Performance attribution JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Stock: 0.52% Attribution summary1 For the YTD period ending 30 April 2023 Sector: 0.03% Benchmark S&P 500 Index Stock attribution2 Relative Stock Impact Relative Stock return Impact Top cont
Slide 42: Performance attribution (one year)
JREU Performance attribution JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Stock: 0.41% Attribution summary1 For the one year period ending 30 April 2023 Sector: -0.02% Benchmark S&P 500 Index Stock attribution2 Relative Stock Impact Relative Stock return Impact To
Slide 43: Conclusion
Conclusion 43 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 44: Conclusion
Conclusion Our REI Equity ESG ETFs are designed to serve as core portfolio building blocks and a relatively attractive alternative to passive funds Investment Robust ESG Targeting Index-like expertise framework consistent alpha risk profile Highly experienced Combines exclusions of Exploits stock-sp
Slide 45: Appendix
Appendix 45 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 46: An innovative product range: our UCITS ETF Range
An innovative product range: our UCITS ETF Range currently has 32 ETFs across asset classes and 70+ share classes Equities Fixed Income Global Equity REI (ESG) <JREG, JRGD, JRGE, JGPE>* USD Ultra-Short <JPST, JPSA>* Europe Equity REI (ESG) <JREE, JRED>* GBP Ultra-Short <JGST, JGSA>* Eurozone Equity
Slide 47: ETFs by J.P. Morgan Asset Management
ETFs by J.P. Morgan Asset Management Robust structure Efficient product suite Innovation at all levels ● Irish-domiciled “ICAV” UCITS ETFs ● Range of 23 Equity and Fixed ● Ultra-Short product suite leveraging Income ETFs >$600bn Global Liquidity franchise ● Established Lux Management Company ● Compe
Slide 48: Firm-wide investment stewardship priorities
J.P. Morgan Asset Management’s firm-wide investment stewardship priorities We take a collaborative investor-led, expert driven approach. Our investment professionals and stewardship specialists work together closely to strategically engage companies and vote proxies based on our six priorities. The
Slide 49: US REI – GIPS Composite Disclosure
JREU US REI 100 (Research Enhanced Index) – GIPS Composite Disclosure Past performance is not necessarily a reliable indicator of current and future results. 49 FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY | NOT FOR RETAIL USE OR DISTRIBUTION
Slide 50: Investment Objective and Risk Profile
JREU Investment Objective and Risk Profile JPMorgan ETFs (Ireland) ICAV – US Research Enhanced Index Equity (ESG) UCITS ETF Risk profile The value of your investment may fall as well as rise and you may get back less than you originally invested. The value of equity securities may go down as well as
Slide 51: Investment Specialist Team
J.P. Morgan Asset Management Investment Specialist Team Christian Preussner, CFA Fiona Harris Karen Coyle Managing Director, US Equity Managing Director, US Equity Executive Director, US Equity Caroline Karlander Christian Mariani, CFA Sven Anders Executive Director, US Equity Executive Director, US
Slide 52: J.P. Morgan Asset Management
J.P. Morgan Asset Management For Professional Clients / Qualified Investors only – not for Retail use or distribution. This is a marketing communication and as such the views contained herein do not form part of an offer, nor are they to be taken as advice or a recommendation, to buy or sell any inv
Slide 53: J.P. Morgan Asset Management
J.P. Morgan Asset Management To the extent permitted by applicable law, we may record telephone calls and monitor electronic communications to comply with our legal and regulatory obligations and internal policies. Personal data will be collected, stored and processed by J.P. Morgan Asset Management