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ACTIAM

PRI reporting framework 2017

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Outputs and outcomes

LEI 14. How ESG incorporation has influenced portfolio composition

14.1. Indicate how your ESG incorporation strategies have influenced the composition of your portfolio(s) or investment universe.

Describe any reduction in your starting investment universe or other effects.

Screening leads to a reduction in the investment universe in both the active as well as the passive funds. For the passive funds, please see the box below for the weightings of the exclusions.

Specify the percentage reduction (+/- 5%)

%

Describe any alteration to your investment universe or other effects.

In our actively managed fund, the thematic overlay leads to additional exclusions of Worst Offenders.

Select which of these effects followed your ESG integration:

Describe the influence on composition or other effects

The incorporation of ESG issues in our passively managed funds leads to an exclusion of the following sizes (31/12/2016):

  • Europe: 2.87%
  • North America: 2.90%
  • Pacific: 0.69%

14.2. Additional information.[Optional]


LEI 15. Measurement of financial and ESG outcomes of ESG incorporation

15.1. Indicate whether your organisation measures how your approach to ESG issues in listed equity investments has affected financial and/or ESG performance.

b) Funds’ financial performance: return

Describe the impact on:
Describe the impact
Which strategies were analysed?
Funds' financial performance: return

c) Funds’ financial performance: risk

Describe the impact on:
Describe the impact
Which strategies were analysed?
Funds' financial performance: risk
Describe the impact on:
Describe the impact
Which strategies were analysed?
Funds' ESG performance

15.2. Describe how you are able to determine these outcomes.

(1) Impact on return can be both positive or negative. We believe there is a positive influence in the long term.

(2) Impact on risk is measured as relative risk (relative to the benchmark). Excluding companies leads to an increase of the tracking error.

(3) We measure impact of our policies on the average ESG score of the fund as well as the carbon footprint of the benchmark. We are currently working on further impact measurements (new indicators).


LEI 16. Examples of ESG issues that affected your investment view / performance

16.1. Provide examples of ESG issues that affected your investment view and/or performance during the reporting year.

ESG issue and explanation

As part of the launch of a fund in a new market, we conducted screening and excluded 32 companies. These exclusions were due to: environmental issues, coal mining, coal power production, corruption, human rights, labour rights, controversial weapon production.

Impact on investment decision or performance

The 32 companies were excluded from investment. Tracking error is currently 1,55%, but this is partly due to the construction phase of the fund. On a 1 month basis, performance of the fund and its benchmark are equal (4,82%).

ESG issue and explanation

After a long exclusion period, we included Bridgestone back into our investment universe. The company was excluded in 2012 due to an unsuccesful engagement on child labour and forced labour. There are now reports of new labour agreements between the company and local unions which address labour conditions, as well as a lawsuit won by Bridgestone.

Impact on investment decision or performance

We included Bridgestone back into our universe.

ESG issue and explanation

We integrated the carbon intensity of sectors into our ESG score, to decrease carbon risk and help us reach our goal of 25% reduction in carbon intensity of our investments in 2025, compared to 2010.

Impact on investment decision or performance

Carbon intensive sectors get a lower ESG sector score (-20, -10) than sectors with low carbon intensity (0, +10, +20). This sector score is part of our ESG score, which is in turn used in our investment decisions in active portfolios.

ESG issue and explanation

We set additional screening guidelines for some active portfolios, such as non-investment in companies that derive more than 10% from their investments from coal mining, as well as laggards in the mining, utilities, oil and gas sector. The companies receive a -20 analyst score (part of our ESG score) and become non-investable in specific funds.

Impact on investment decision or performance

These environmental criteria currently apply to 15 companies.

ESG issue and explanation

We integrated water dependency of sectors into our ESG score.

Impact on investment decision or performance

Same approach as carbon, see above.

16.2. Additional information.[Optional]


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