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AP2

PRI reporting framework 2018

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Outputs and outcomes

LEI 12. How ESG incorporation has influenced portfolio composition

12.1. 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.

A list of excluded companies are available at www.ap2.se

Specify the percentage reduction (+/- 5%)

5 %

Select which of these effects followed your ESG integration:

12.2. Additional information.[Optional]


LEI 13. Measurement of financial and ESG outcomes of ESG incorporation

13.1. Indicate whether your organisation measures how your approach to responsible investment in Listed Equity has affected your portfolio’s 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

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

To follow up the divestments’ financial contributions, AP2 developed a method in 2017 to compare the return for MSCI World, excluding and including the divested companies. Of the 79 divested companies, 26 are included/have been included in the MSCI World index. The return contribution from the autumn of 2014 and up to 31 December 2017 after having excluded these companies from the index, has resulted in a positive contribution of 1.06 per cent. The divestments represented 2.1 per cent of MSCI World at the end of the year. A large proportion of the Fund’s divested companies are Chinese, and companies in emerging markets, which are not included in MSCI World. In 2018, the Fund will develop methodologies for other indices.

 

To follow up the financial contributions of the exclusions, AP2 in 2017 developed a method to compare the return for MSCI World, excluding and including the excluded companies. The return contribution is –0.27 per cent after having excluded a companies due to breach of conventions, which belongs to MSCI World since September 2006. These exclusions correspond on 31 December 2017 to 0.7 per cent of MSCI World and include a total of 18 companies during the period 2006 to 2017.
 

 


LEI 14. Examples of ESG issues that affected your investment view / performance (Not Completed)


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