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AXA Investment Managers

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 criteria are applied across AXA IM assets which results in a reduction of the starting investment universe. We ensure that this reduction remains below 5%, and have put in place processes to address cases where the impact of sectorial exclusions is above this threshold.

Specify the percentage reduction (+/- 5%)

5 %

Describe any alteration to your investment universe or other effects.

Best-in-Class:

For ESG Integrated, Sustainable and Impact funds, the first stage of the investment process is defined by the construction of the eligible investment universe. This universe is reviewed bi-annually. An ESG score is internally calculated for all the companies in the fund's investment universe. The eligible universe is usually made up of the companies with the best ESG ratings within their respective sector (above or equal to the median of the ESG ratings for the whole sector), or can be defined according to more specific scores for thematic funds (e.g. E score). It is combined with a rigorous monitoring of controversies through our AXA IM ESG standards.

Thematic: For our thematic funds, we apply a range of thematic criteria (Human capital Scores, Gender Diversity Criteria, etc..) in order to narrow down the universe to the companies directly addressing the Fund ‘s ESG/impact theme.

Select which of these effects followed your ESG integration.

12.2. Additional information.[Optional]

For Rosenberg Equities, for non ESG Integrated, Sustainable and Impact funds, we rather run an optimisation process to improve the overall ESG score of the portfolio.


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

Environmental impact and climate change

ESG incorporation strategy applied Screening|Thematic|Integration

Impact on investment decision or performance

In Rosenberg’s portfolio construction process we consider environmental characteristics of stocks as well as penalize (or divest from) stocks that appear to be among the worst offenders from a climate change perspective. The outcome is portfolios with carbon and water intensities that are significantly lower than those of a relevant benchmark. Further, our portfolios are not exposed to companies that have exhibited severe environmental controversy risk, taking yet another source of risk off the table for our clients. we also use company ‘green and brown revenue’ information to further up- or down-weight stocks. Our portfolio benefit from exclusion policies aimed at coal, palm oil, controversial weapons and soft commodities. Rosenberg equities does not invest in tobacco stocks. 

Framlington approach : A significant part of our approach in ESG and impact investing originated internally and developed over time in collaboration with external investors based their specific objectives and requirements.  We have integrated ESG scoring and objectives into most of our portfolios, including UN SDG themes such as climate change and the corresponding (reduction) targets on carbon exposure. In addition, all portfolios benefit from the RI exclusion policies of AXA IM, which include coal, palm oil, controversial weapons and soft commodities

ESG factor and explanation

Human Capital

ESG incorporation strategy applied Screening|Thematic|Integration

Impact on investment decision or performance

Rosenberg approach: We have recently decided to include board diversity in our modeling of change in earnings quality.  This has helped us better predict year-ahead earnings.

Framlington approach: For our Human capital strategy, we have developed a proprietary human capital filter fully integrated into our investment process. This filter is based on criteria with positive links to productivity (quality of working conditions, career development)

13.2. Additional information.[Optional]


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