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ACTIAM

PRI reporting framework 2020

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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 and 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 funds, 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 has led to an exclusion of the following sizes, in relation to each benchmark (31/12/2019):

For responsible strategies:

Europe: 5.5%
North America: 5.2%
Pacific: 3.8%
Emerging markets: 9.9%

 

For sustainable (enhanced) strategies:

Europe                            42,3%

North America                  34,2%

12.2. Additional information.[Optional]


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

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

ESG factor and explanation

The ESG Score of a company 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 above 20.

ESG factor and explanation

Consideration of 'the degree of freedom' of a country, as established by the Freedom House. In 2019, the Freedom House has declined Uganda’s status from Partly Free to Not Free due to attempts by the government to restrict free expression, including through surveillance of electronic communications and a regressive tax on social media use. 

ESG incorporation strategy applied Screening

Impact on investment decision or performance

The annual screening of sovereigns reveals if a sovereign has been considered 'Not Free' by the Freedom House. 'Not free' countries are excluded from ACTIAM's investment universe.

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 factors

Impact on investment decision or performance

Due to violation of several ESG policies (such as on human rights and environment) new entries to the benchmark are not bought. In 2019, this was applied to several companies, especially in the 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 2019, a company previously excluded due to the practice of mountain top removal was reviewed. In-house research has confirmed such company was not applying such activity anymore, confirmed by other sources. The company was therefore added again to the investable universe. 

ESG factor and explanation

By continuously screening ESG News, a set of companies came up with controversies related to Human Rights impacts. Research was performed and the company excluded due to such violation (before the actually ESG Score is adjusted). 

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

Impact on investment decision or performance

Given the serious and significant ESG news, the decision is made to exclude the company and divest, even though ESG Score had not yet been adjusted.

13.2. Additional information.[Optional]


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