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FIM Asset Management

PRI reporting framework 2020

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ESG incorporation in passively managed listed equities

LEI 11. ESG issues in index construction

11.1. Indicate if you manage passive listed equity funds that incorporate ESG factors in the index construction methodology.

11.4. Additional information. [Optional]

          We do have two internally managed passive funds that both aim to return the same as the underlying MSCI index although ESG filter and ratings are utilised in the management of the funds. The setting of the question LEI 11.1. is such that only 'no' answer is possible, although our passive strategy incorporates ESG in an advanced way.

MSCI Europe / FIM Passive Europe ESG - although we track normal MSCI index, this passive fund excludes all the same companies we exclude in our active funds. In addition to that, the fund excludes all companies that have MSCI ESG rating below BB. Also, engagement strategy applies ie if there is confirmed violation in international norms, we normally engage the company if not exclude. Also active monitoring is a short term option. After exclusions, we use optimisation to minimise the tracking error to index. 
MSCI USA / FIM Passive USA ESG - although we track normal MSCI index, this passive fund excludes all the same companies we exclude in our active funds. In addition to that, the fund excludes all companies that have MSCI ESG rating below BB. Also, engagement strategy applies ie if there is confirmed violation in international norms, we normally engage the company if not exclude. Also active monitoring is a short term option. After exclusions, we use optimisation to minimise the tracking error to index.
        

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