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ASR Vermogensbeheer N.V.

PRI reporting framework 2019

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Innovation

SG 18. Innovative features of approach to RI

18.1. Indicate whether any specific features of your approach to responsible investment are particularly innovative.

18.2. Describe any specific features of your approach to responsible investment that you believe are particularly innovative.

In order to be prepared for future possible climate scenarios and related risks and to help a.s.r. work towards setting Science Based Targets in line with the Paris Agreement, AVB has engaged with Ortec Finance, other financial institutions and academia to integrate top down climate scenario analyses in its strategic asset allocation. The integration of these scenarios will enable a.s.r. to make better investment decisions for allocations to asset classes, regions and sectors, and therefore to construct a more climate resilient investment portfolio. Current analyses focus mostly on bottom-up climaterelated risk analyses and reporting and do not consider top-down integration via macro-economic (quantitative and qualitative) modelling. Considering a top-down analyses is important, however, because empirical research has shown that portfolio returns are determined to a large extent by investment decisions made at the strategic level. Linking scientific climate data to ALM/SAA tooling is a novel approach to mapping potential climate impacts on investment performance. It will enable us to report forward-looking, scenario-based disclosure along the lines of the framework set out by the TCFD.


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