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ACTIAM

PRI reporting framework 2017

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Outputs and outcomes

FI 21. Financial/ESG performance

21.1. Indicate whether your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or ESG performance.

Select all that apply
SSA
Corporate (financial)
Corporate (non-financial)
Securitised
We measure whether incorporating ESG impacts funds' reputation
We measure whether incorporating ESG impacts financial returns
We measure whether incorporating ESG impacts risk
We measure whether incorporating ESG impacts funds' ESG performance
None of the above

21.2. Describe how your organisation measures how your incorporation of ESG analysis in fixed income has affected investment outcomes and/or ESG performance. [OPTIONAL]

ACTIAM measures the ESG score of its funds based on the ESG score of the constituents of the fund. An analysis of the carbon footprint of the FI funds is also being conducted. Based on the ESG policy (i.e. exlusions), ACTIAM conducts an analysis on the effect on relative risk and financial returns.

21.3. Additional information.[OPTIONAL]


FI 22. Examples - ESG incorporation or engagement

22.1. Provide examples of how your incorporation of ESG analysis and/or your engagement of issuers has affected your fixed income investment outcomes during the reporting year.

ESG issue and explanation

Several green bonds (also corporate) were bought after a positive analyses of the ESG team.

Impact on investment decision or performance

We bought the bonds.

ESG issue and explanation

Tobacco

Impact on investment decision or performance

We made tobacco companies non-investable in our active funds.

ESG issue and explanation

Integration of water risk and carbon intensity.

Impact on investment decision or performance

The ESG score as explained in the LE chapter is also applied to active FI portfolios. Sectors with high water risk and high carbon intensity receive lower ESG scores than other sectors.

ESG issue and explanation

Fundamental Investment Principles for Sovereigns.

Impact on investment decision or performance

We changed our FIP for sovereigns in 2016, which led to the inclusion of formerly excluded sovereigns, such as Finland, and the exclusion of other sovereigns (see: http://www.actiam.nl/nl/documenten/verantwoord/documents/Responsible_Investment_Policy_Sovereigns.pdf)

ESG issue and explanation

We engaged Volkswagen on the governance issues and emissions fraud.

Impact on investment decision or performance

We engaged for one year and decided to excluded VW from our investment portfolio at the end of 2016.

22.2. Additional information.


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