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Sycomore Asset Management

PRI reporting framework 2020

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You are in Strategy and Governance » ESG issues in asset allocation

資産配分におけるESG問題

SG 13. ESG issues in strategic asset allocation

13.1. 貴社組織がシナリオ分析および/またはモデリングを実施するか記述してください。実施する場合、 シナリオ分析について説明してください(資産クラス別、セクター別、戦略的資産配分等)。

25語以内で説明してください 。 Sycomore Asset Management relies on existing publicly-available climate-related scenarios to assess the likelyhood of transition and physical risks. The scenario analysis is performed at the investee company level as for now.

13.2. 組織が戦略的な資産配分やセクターまたは地理的な市場間での資産の配分においてESG問題を考慮しているかどうかを記載してください。

以下を行っている

          Investment analysis, Asset valuation and Stock picking
        

13.3. 補足情報 [任意]

Scenarios are also the basis for assessing the criteria named "Alignment and Trajectory" with Transition risk and for assessing the criteria "Physical risks" which are both integrated in the Environment pillar. 

2°C and below scenarios have been integrating in the design of the Net Environmental Contribution (NEC) methodology such as for the energy-related frameworks (fuel, heat and electricity) in which an over-2°C budget has been modeled and apply to the various sources of energy by nature and by type of extraction. The NEC methodology is publicly available through the NEC initiative: www.nec-initiative.org

Climate, energy and economic scenarios have also motivated several criteria of our SRI exclusion policy that flags sectors and industries where the environmental-risk exposure is too high (e.g. coal extraction and coal-based energy production, non conventional oil&gas extraction).


SG 13 CC.

13.4 CC. 貴社組織が気候関連のリスクおよび機会を管理するためにどのようにシナリオ分析を利用しているかについて(分析がどのように解釈されているか、その結果、将来の計画等)、記述してください。

500語以内で自由に記載

Sycomore Asset Management relies on existing publicly-available climate-related scenarios to assess the likelihood of transition and physical risks. Two major sources serve as a basis for our assessments: IEA scenarios (Stated Policies Scenario, Sustainable Development Scenario and Current Policies Scenario) for transition risk and IPCC scenarios for physical risks (RCP 8.5, RCP 6.0, RCP 4.5 and RCP 2.6).

2°C and below climate scenarios flag technologies or activities with high-GHG intensities that are not compatible with a transition toward a low-carbon economy nor an environmentally resilient world. 

We use climate scenarios for the following initial assessment:

1. Bottom-up assessment of transition risk:

  • a. Each potential investment review includes a Net Environmental Contribution (NEC) assessment. 

Climate-related scenarios are integrated into a more comprehensive methodology: the NEC. Based on the outcomes of a four-year research program led by Sycomore AM, the Net Environmental Contribution (NEC) metric has been developed and applied to more than 1,300 companies in our investment universe.

The NEC measures the degree of contribution to the energy and environmental transition of any product, service, company, portfolio or index. It is an approach based on scientific physical data from life-cycle analysis by function, sourced from academic tools, third-party studies and branch initiatives. The approach is multi-criteria and goes “beyond carbon” by integrating 5 key environmental challenges: climate change, biodiversity, air quality, water and resources/waste. The outcome is a single figure per company, based on its different underlying activities, ranging from -100% for the most environmentally damaging activities to +100% for environmental solutions clearly aligned with a low-carbon and environmentally resilient world. The 0% point is given for the average environmental impact of the function that the given activity is trying to fulfill. 

The NEC is a solid proxy for transition risk and an insightful measurement of companies' contribution to the environmental transition. It is used as part of the transition risk assessment, for investment decisions and as a reporting metric for Sycomore AM.

Scenario analysis helps us build our Net Environmental Contribution (NEC) frameworks and assessing positively and negatively contributing activites, such as: building materials (e.g. cement activities have a NEC of -50%), mobility (e.g. air freight has a NEC of -100% and air travel of -60%), energy (electricity generation from coal has a NEC of -100%). 

  • b. Each potential investment review includes an assessment of the "Trajectory & alignment" criteria

This criteria covers the scenario analysis and analyses the alignment to a 2°C or lower future. It is based on various scenarios and publicly available tools (such as SBTi, TPI, PACTA, CDP, FAIRR) and private initiative (SB2A methodology based on SDA) as well as on company disclosure. The "Tranectory & Alignment" assessment also encompasses other environmental objectives.

  • 2. Bottom-up assessment of physical risk: Each potential investment review includes an Environment pillar review in our SPICE model, which includes mid- and long-term risks related to climate change and other environmental challenges. It includes LT transition risks flagged by scenarios as well as physical risks that could materialize over the long-term.

 

500語以内で自由に記載

1. Our SRI exclusion policy (applicable to all SRI-labelled funds) excludes energy generation that is not compatible with 2°C and below climate scenarios, such as that based on coal.

2. Scenario analysis, as part of underlying investment analysis through: a. the NEC methodology, b. the "Alignment & Trajectory" criteria, c. the physical risks criteria and as part of the financial model through the Environment pillar which is part of the SPICE rating which itself impacts asset valuation in our SycoValo tools.

3. The NEC is a selection criteria for three of our SRI funds, Sycomore Eco Solutions, Sycomore Selection Responsable, Sycomore Next Generation.

4. The NEC is a reporting metric for all our open funds. Monthly reporting are available on our website and disclose the NEC of all our portfolios and their benchmarks' based on underlying holdings. We also anually disclose Sycomore AM's NEC. The NEC feeds our reflexion around company-wide ambitions and trajectory.

500語以内で自由に記載

Climate-related scenario are used at various levels for active ownership:

  • Indirectly as 2°C and below scenarios are accounted for in the NEC methodology and we engage with companies based on NEC results.
  • Indirectly into the physcial risks assessment as different scenarios provide different levels of extreme and chronic risks for operations, supply chains and end-markets.
  • Directly with the "Trajectory & Alignment" criteria since scenarios are the basis of the assessment which is key for engagement and could also impact the exercise of voting rights.
  • Directly in our dialogue with companies within some sectors or industries such as energy, power, mobility, steel and cement, the climate-related scenarios can be applied and compared with companies GHG performances and objectives.

13.5 CC. この分析をだれが利用するか記述してください。

13.6 CC. 貴社組織がその投資戦略について、投資期間を超えて、気候関連リスクの影響を評価しているか記述してください。

その根拠を説明してください。 500語以内で自由に記載してください。

As climate-risks depend on many interrelated factors, it is very difficult to model long-term comprehensive impact assessments that would provide insigthful information. Nonetheless, the long-term horizon and the 1.5°C and 2°C scenarios provide us with a vision for the long-term targetted economy that is useful for engagement and trajectory anticipation.

The NEC (Net Environmental Contribution) is computed every month for all open-ended funds and every year for the whole Sycomore AM's AuM in order to understand the potential impact of transition risks for each fund and as a whole for the company.

The results are publicly available in fund-by-fund monthly reportings and on "Sycoway as an investor" reports (annual responsible investment reports) for futher analysis at the fund level and at the company level.

It provides the company with a mid-to-long term view beyond the investment horizon of most funds. It is also used as a fact for exclusion policies and for the implementation of company's targets for environmental contribution.

 

13.7 CC. 一定の範囲の気候シナリオを利用しているか記述してください。

13.8 CC. 貴社組織が用いる気候シナリオについて記述してください。

提供者
使用するシナリオ
IEA
IEA
IEA
IEA
IEA
IRENA
グリーンピース
持続的発展研究所
ブルームバーグ
IPCC
IPCC
IPCC
IPCC
その他

その他 (1) 具体的に記入してください:

          PACTA underlying scenarios
        
その他

その他 (2) 具体的に記入してください:

          TPI underlying scenarios
        
その他

SG 14. Long term investment risks and opportunity

14.1. 一部の投資リスクと機会は長期トレンドの結果として発生します。貴社では、以下のどの項目について考慮するか明示してください。

その他(具体的に記入してください)(1)

          Other social and environmental challenges: rising inequalities, gender equality, poverty, working conditions, human rights, digitalisation, urbanisation, biodiversity damages, water pollution and scarcity, air quality
        

14.2. 気候に関するリスクと機会に対応して組織で実施されている活動を選択してください。

低炭素関連および気候変動に強いポートフォリオ、ファンド、戦略または資産クラスに投資されている運用資産(AUM)を明示してください

Total AUM
10億 100万
Currency
Assets in USD
10億 100万

使用された枠組みまたは分類法を明示してください

French governmental Green Label: Greenfin (ex Label TEEC)

Indicator developped internally and now available at https://nec-initiative.org/: Net Environmental Contribution (NEC)

具体的に記入してください

          Development and implementation of the Net Environmental Contribution (NEC) to measure alignment with and contribution to the environmental transition.
        

14.3. 次のツールの中から気候関連リスクと機会の管理に組織が用いているものを選択してください。

その他(具体的に記入してください)

          Developed an environmental contribution metric (NEC) taking into account climate, water, biodiversity, resources and air 
Explorating future temperature forecast at a stock and portfolio level
        

14.4. 排出量リスクの開示を選択した場合、採用している開示方法またはそのフレームワークの中で気候関連のものを挙げてください。

NEC - full methodology available here: www.nec-initiave.org - 15 frameworks that cover most of the economic activities and provide industry-specific environmental analysis.

14.5. 補足情報 [任意]

In 2019, the NEC (Net Environmental Contribution) became public through the NEC initiative, an open-source platform. Our historical partners I Care & Consult and Quantis are founding partners of the initiaitve together with Sycomore AM.

For more information, please see: www.nec-initiative.org


SG 14 CC.

14.6 CC. 気候に関連するリスクと機会を評価するために使用されるこれらの重要な指標についての詳細を記入してください。

指標の種類
カバレッジ
目的
指標の単位
方法
気候関連の目標
          Assess climate-related risk and opportunities and Engage with companies
        
          according to the relevant metric for the industry and business
        
          LCA approach whenever possible, scope 1 and 2 only when relevant, scope 3 only when relevant
        
総炭素排出量
          Support the climate change component for the NEC
        
          functional units
        
          LCA approach
        
炭素濃度
          Support the climate change component for the NEC
        
          functional units
        
          LCA approach
        
炭素関連資産へのエクスポージャー
          Monitor exposure to assets at risk under a low carbon transition scenario and monitor our net contribution to the environmental transition
        
          % of exposure and % of revenues
        
          Based on the Greenfin label eco-activites taxonomy and based on the EU taxonomy
        

14.7 CC. 主要目標についてさらに詳しく記入してください。

目標の種類
基準年度
目標年度
内容
添付書類
          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

          
        
          
        
          
        

14.8 CC. 気候関連のリスクが全体のリスク管理に組み込まれているかどうか記述してください。また、気候関連リスクを特定、評価、管理するために利用されたリスク管理プロセスについて説明してください。

500語以内で自由に記述。

We factor climate-related risks and strategies into our investment strategies or products.

Sycomore AM has publicly disclosed its Natural Capital Strategy avalaible here: https://en.sycomore-am.com/5b34f956-Natural_Capital_Strategy_2018.pdf that provides an overview of the integration of climate-related risks into overall risk management.

Since 2015, Sycomore AM has invested a lot of time and resources in improving the way climate issues are integrated to the SPICE analysis model for any kind of activity. Climate is one of the 5 issues systematically reviewed in the Environment pillar and is also assessed within the Investor pillar as a component of companies‘ governance and business models. The SPICE analysis model now includes the specificities of article 173 and the recommendations issued by the TCFD, and in particular the following:

  • The risks associated with the transition towards a low-carbon economy or transition risk, and broadly speaking, the issuer’s strategic alignment with the 2°objective: these risks are systematically quantified using the Net Environmental Contribution (NEC) (more detail on question SG14.5) and the "Trajectory & Alignment" criteria are then integrated into the Environment pillar;
  • The exposure to the physical consequences of global warming or physical risks: these are monitored in the Environment pillar, under the dedicated criteria that have recently evolve to better capture this risk.

The environmental risk and opporunities assessment is completed in our SPICE fundamental analysis model which directly impacts asset valuation and risk management.

The NEC is a selection criteria for three of our SRI funds: Sycomore Eco Solutions, Sycomore Selection Responsable and Sycomore Next Generation, and is a reporting metric for all our open funds. Compliance is monitoring that NEC-related rules are fulfilled. Monthly reporting are available on our website and disclose the portfolios and indexes NEC based on holdings.

The NEC is also calculated on Sycomore AM's aggregated holdings and is annually disclosed and reviewed by the steering committee as part of the overall environmental risk assessment and contribution to the environmental transition.

In 2018, we have pursued some research with the risk management team to explore the links between NEC, risk and performances that have been selected for the Financial Risks International Forum 2019. Since then, the risk management team is involved as a key stakeholder in integrating and monitoring the climate / environmental transition risk and as been instrumental on many projects in 2019 regarding a deeper and more systematic intergation into our tools.

14.9 CC. 貴社組織がTCFD採用を促すアクティブオーナーシップ活動を行うか記述してください。

説明してください。

The NEC calculation provides us with relevant information to engage with companies on the environmental risks embedded in their business model. The dialogue and engagement may also rely on the EU taxonomy criteria and trajectory assessments.

All these 3 criteria support investment professional in pointing out the material and biggest environmental challenges a company faces over its whole value chain and the full LCA of the product and services it provides. It also higlights what are the major environmental issues (i.e. Climate, water, biodiversity, resources/waste or/and air quality).


SG 15. Allocation of assets to environmental and social themed areas

15.1. 貴社にて、特定の環境および社会をテーマとする分野に基づいてファンドに資産を配分したり、ファンドを運用しているかどうかについて明示してください。

15.2. 環境および社会をテーマとする分野に投資された合計運用資産(AUM)の割合を明示してください。

17 %

15.3. 貴社が投資しているテーマ分野を明示のうえ、AUMに対する特定の資産クラスの割合を記載し、その内容を簡潔に説明してください。

分野

投資している資産クラス

2.2 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to energy efficiency or clean technologies. 

投資している資産クラス

1.1 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to renewable energy.

投資している資産クラス

0.8 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to green buildings.

投資している資産クラス

0.2 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to sustainable forestry.

投資している資産クラス

0.1 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to sustainable agriculture.

投資している資産クラス

3 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Shared Growth. The social contribution of products and services is integrated in the selection process of this fund, making health a key investment theme. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Shared Growth to companies of the health sector.

投資している資産クラス

0.2 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Eco Solutions. We have developed a proprietary environmental metric to assess companies' contributions to the ecological and energy transition (Net Environmental Contribution), which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the average exposition of the fund Sycomore Eco Solutions to companies contributing to water.

          Human capital
        

投資している資産クラス

5.3 % (AUMの)

簡潔な説明および投資尺度

Sycomore AM invests specifically in this thematic area through Sycomore Happy@Work. We have developed an internal methodology to adress the thematic of human capital management, which is integrated in the investment process of this fund. 

NB: The % of AUM is an estimate based on the total contribution of the fund Sycomore Happy@Work to the total AUM.

15.4. 含めたい補足情報があれば、添付してください。 [任意] 



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