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PRI reporting framework 2019

Basic information [OO 01 - 09] Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]

Strategy and Governance

Investment policy [SG 01 - 04] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Innovation [SG 18] Communication [SG 19]

Direct - Listed Equity Incorporation

ESG incorporation in actively managed listed equities [LEI 01 - 10] Implementation processes [LEI 01 - 10] (A) Implementation: Screening [LEI 04 - 06] (B) Implementation: Thematic [LEI 07] (C) Implementation: Integration of ESG factors [LEI 08 - 10] Outputs and outcomes [LEI 12 - 13]

Direct - Listed Equity Active Ownership

Overview [LEA 01] Engagement [LEA 02 - 08] Outputs and outcomes [LEA 09 - 11] (Proxy) voting and shareholder resolutions [LEA 12 - 21]

Direct - Fixed Income

ESG incorporation in actively managed fixed income [FI 01 - 12] Implementation processes [FI 01 - 03] (A) Implementation: Screening [FI 04 - 06] (B) Implementation: Thematic [FI 07 - 09] (C) Implementation: Integration [FI 10 - 12] Fixed income - Engagement [FI 14 - 16] Outputs and outcomes [FI 17 - 18]

Confidence building measures

Confidence building measures [CM1 01 - 07]

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You are in Strategy and Governance » Objectives and strategies

Objectives and strategies

SG 05. RI goals and objectives

05.1. Indicate if and how frequently your organisation sets and reviews objectives for its responsible investment activities.

Quarterly or more frequently

Biannually

Annually

Less frequently than annually

Ad-hoc basis

It is not set/reviewed

05.2. Additional information. [Optional]

We have set up an ESG Committee running once a month. This cross-functional committee, which comprises most of the teams involved in the development of the RI expertise (RI team, fund managers, sales, marketing, risk management, compliance and legal) discusses the main activities ongoing and supervises the roll-out of the RI strategic plan.

We have also set up an Ethics Committee running twice a year (and upon request if need be). This cross-functional committee, which comprises the most of the teams involved in the development of the RI expertise (RI team, and respective heads of fund management, risk management, compliance (France and Luxembourg), legal and sales (Luxembourg) teams) is in charge of creating and updating the list of exclusion in connection with controversial weapons, and discussing any other ethical matters.

SG 06. Main goals/objectives this year

06.1. List the main responsible investment objectives that your organisation set for the reporting year.

Responsible investment processes

Provide training on ESG incorporation

Key performance indicator

          1- Deploy the ABA tool, dedicated for ESG ratings and analysis, across investment teams (including the relevant training)
2- Creation of an ESG committee

Progress achieved

Each portfolio manager has access to the ABA tool and can have a look at the ESG ratings and analysis of the companies covered (230 at the end of March 2019).

Each portfolio manager has a conversion matrix to incorporate ESG ratings into the premium risk of each company (valuation approach).

An cross-functional ESG committee has been created in 2018 and is running on a monthly basis.

Provide training on ESG engagement

Key performance indicator

          1- Setting up an engagement policy that is explained to the portfolio management teams
2 - Conducting more and more engagement meetings with PMs

Progress achieved

An engagement policy has been set up and presented to the portfolio management teams.

An exclusion policy has been set up as well including a pre-order tool to control the application.

Some engagement were conducted with the PM. All engagement progress were systematically communicated to the PM

Improved communication of ESG activities within the organisation

Key performance indicator

          1- Creation of an ESG department integrated in the investment team

Progress achieved

An ESG / Responsible Investment department has been created in 2018 (3 people). This department has been fully integrated into the investment management team.

Each week, an Investment committee is held to discuss the investment newsflow and share investment ideas. The ESG team is part of this committee.

Improved engagement to encourage change with regards to management of ESG issues

Key performance indicator

          Meetings with top management of companies

Progress achieved

The Investment management team is conducting over 1.500 meetings a year of which more than 300 are dedicated to ESG.

Within traditional financial meetings, ESG topics are very often discussed.

Improved ESG incorporation into investment decision making processes

Key performance indicator

          Specific premium risk calculation for ESG ratings

Progress achieved

A matrix is disclosed publicly and internally to apply a direct impact on valuation: ESG impact on risk premium.

Other, specify (1)

Other, specify (2)

Other, specify (3)

None of the above

Financial performance of investments

Increase portfolio performance by consideration of ESG factors

Key performance indicator

          1- Performance attribution of ESG indicators 
2- Alpha coming from ESG ratings
3- Backtesting on ESG sub-criteria (volatility and performance)

Progress achieved

A methodology is being developed for the two first criteria.

Backtesting is being conducted based on the first ratings (31st december of 2018).

Other, specify (1)

Other, specify (2)

Other, specify (3)

None of the above

ESG characteristics of investments

Over or underweight companies based on ESG characteristics

Improve ESG ratings of portfolio

Key performance indicator

          1- Overall ESG ratings
2- Fund exposure to ESG risks and opportunities
3- Carbon footprint

Progress achieved

The results are disclosed and monitored on a monthly basis through the financial reporting since October 2018.

This only applies to SRI funds.

Setting carbon reduction targets for portfolio

Other, specify (1)

Other, specify (2)

Other, specify (3)

None of the above

Other activities

Joining and/or participation in RI initiatives

Key performance indicator

          DNCA has to sign the main RI initiatives

Progress achieved

DNCA is a signatory of :

- the PRI

- the CDP

- Finance for Tomorrow

- The French SRI Label

Encouraging others to join a RI initiative

Key performance indicator

          DNCA will participate in key working groups 
DNCA will be active to encourage investors to implement a responsible investment approach and join initiative

Progress achieved

DNCA is a member of the AFG Responsible Investment committee (at the commission level and the executive level)

DNCA is heading a working group dedicated to SDG's incorporation

DNCA will organise a dedicated SRI day in June 2019 to encourage retail investors to invest in SRI.

DNCA has participated in several consultations on public policy: TCFD, EcoLabel, Green taxonomy, AMF....

DNCA participates in different publication (RI guide for private investors, newspapers, videos....)

Documentation of best practice case studies

Key performance indicator

          DNCA will provide access to the entire SRI portfolio composition
DNCA will provide on request the full ESG ratings and analysis of companies

Progress achieved

DNCA publishes the entire portfolio of SRI funds on its website including line by line, the ESG ratings and the exposure to sustainable transition themes

DNCA provides on request the full ESG analysis of companies invested in portfolios.

Using case studies to demonstrate engagement and ESG incorporation to clients

Other, specify (1)

Other, specify (2)

Other, specify (3)

None of the above

06.2. Additional information.

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