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PRI reporting framework 2019

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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.

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%)

5 %

Describe any alteration to your investment universe or other effects.

In our actively managed fund, the thematic overlay leads to additional companies that are not considered due to low ESG scores/controversies

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 (31/12/2018):

Europe: 5%
North America: 5%
Pacific: 3%
Emerging markets: 8%

12.2. Additional information.[Optional]

LEI 13. Examples of ESG issues that affected your investment view / performance

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

ESG factor and explanation

The ESG Score of Shell was set to 20 (the scale of the ESG scores is 0-100). 

ESG incorporation strategy applied Integration

Impact on investment decision or performance

A company with whom we conduct responsive engagement, gets an ACTIAM ESG Score of 20. This means that the company is automatic no longer investable for the sustainable portfolios, as the minimum ACTIAM ESG score within these portfolios is required to be 20.

ESG factor and explanation

Merger of excluded with not-excluded company 

ESG incorporation strategy applied Screening

Impact on investment decision or performance

When a not-excluded company merged with an excluded company (due to violation of our policy on weapons), the previous not-excluded company is put on the exclusion list and all shares were sold. 

ESG factor and explanation

When new issuers are added to a benchmark, ESG Screening is performed on the issuers

ESG incorporation strategy applied Screening|Index incorporating ESG issues

Impact on investment decision or performance

Due to violation of several ESG policies (such as weapons and the environment) new entries to the benchmark are not bought. This is mainly applicable for Emerging Markets.

ESG factor and explanation

Screening of current exclusions list 

ESG incorporation strategy applied Screening

Impact on investment decision or performance

While screening the current exclusions list, issuers no longer in violation of our policies will be included again. In the beginning of 2018, the companies excluded due to the sale of (hand)guns to consumers are reviewed. One company indicated that it will exit the sale of these weapons and later this year this is confirmed and the company is added again to the investable universe. 

ESG factor and explanation

By continuously screening ESG News, a company come up with controversies related to its Labour Rights, Governance, Customers and Human Rights impacts. The share is sold (before the actually ESG Score is adjusted). 

ESG incorporation strategy applied Screening|Thematic|Integration|Index incorporating ESG issues

Impact on investment decision or performance

Given the serious and significant ESG news, the decision is made to sale the share (of Dankse). The controversies are severe. 

13.2. Additional information.[Optional]