Sustainable Finance Disclosure Regulation

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Integration of sustainability risks in Anthos Fund & Asset Management’s investment decision-making process

This statement provides information on the policies of Anthos Fund & Asset Management (Anthos) regarding the integration of sustainability risks into its investment decision-making process. Under the EU Regulation on Sustainability-related Disclosures in the Financial Services sector (Regulation (EU) No. 2019/2088), sustainability risk means an ‘environmental, social or governance event or condition that, if it occurs, could cause a negative material impact on the value of the investment’.

In our policies, the integration of sustainability risks into our investment decision-making process is referred to as ‘ESG integration’, as used throughout this statement.

Overview

Anthos is part of COFRA. As part of the Brenninkmeijer family enterprise, the COFRA businesses build on six generations of entrepreneurship and responsible business ownership. Our long-term investment approach has always been inspired by values that are core to our investment beliefs: human dignity, sustainability and good citizenship. We have formalised these values in a Responsible Investment Policy (RI Policy), anchored in three objectives:

  • expressing our identity by the values that are core to our investment beliefs;
  • enhancing financial value through ESG integration, leading to lower risk and/or improved returns; and
  • enhancing our societal value.

To further operationalise the three objectives specified in the RI Policy and ensure we understand the risks and opportunities stemming from ESG factors, we have compiled and maintain Responsible Investment Implementation Guidelines (RIIG). Our approach to sustainability risks and opportunities has also been integrated into our Investment Handbook.

SFDR Policies
Figure 1: Policies overview

Anthos invests in various asset classes: equities, fixed income, private equity, real estate and absolute return strategies. The RI Policy is applicable to all the assets under management, with implementation depending on the specific asset class and the way we invest. Except in the case of government bonds and the direct impact portfolio, Anthos invests through external investment managers, either using segregated investment mandates or investment funds.

Anthos therefore examines ESG integration at two main parts of the investment decision-making process: strategic asset allocation, and selection and monitoring of external investment managers. Our strategic asset allocation (SAA) process is typically performed once every three years. Within that longer-term strategic cycle, we perform an annual check of the SAA against macro-economic and financial market scenarios. In 2020 we started researching and evaluating how to integrate risks/opportunities stemming from climate change in SAA.

Identification of sustainability risks

Identifying sustainability risks at Anthos is done both qualitatively – through research and dialogue – and quantitatively – using data. By being part of DUFAS (Dutch Fund and Asset Management Association) and the Partnership Carbon Accounting Finance (PCAF) and ascribing to the UN-backed Principles of Responsible Investment (UNPRI) we can expand our knowledge and ensure we are aware of the risks that we need to take into consideration when selecting investment funds and external investment managers.

Data plays a great role in identifying, monitoring and managing sustainability risks. While Anthos has no direct influence at a company level (because of investing indirectly), we use data to gain a better understanding of the ESG risks and carbon intensity of the portfolios we manage for clients. This data is especially relevant for our listed equities and corporate fixed income investments. For the other asset classes (real estate, private equity and hedge funds) we also use estimates and can calculate ESG risk and carbon intensity for individual sectors. However, we are largely dependent on our qualitative assessment of external investment managers’ capacity to do this.

Investment manager selection, monitoring and engagement

The Anthos portfolio management teams are responsible for external investment manager selection and portfolio management within the relevant asset class. In the selection process we assess how external investment managers integrate ESG and implement responsible investment in their processes. To do this more systematically and across all asset classes, we have developed an ESG scorecard, based on the UN-backed Principles for Responsible Investment Due Diligence Questionnaires (PRI DDQ), the OECD Guidelines for Institutional Investors and the GRESB framework for Real Estate. Anthos gives preference to external investment managers who are signatories of the UNPRI or an equivalent asset class-specific RI initiative (e.g. GRESB). Anthos also prefers external investment managers with an ESG policy defined specifically for the relevant investment fund or strategy that Anthos wants to invest in.

All other things being equal, Anthos will select external investment managers with a best-in-class ESG performance. Where external investment managers have an above-average financial performance but a sub-par ESG performance, Anthos will engage with these managers, with the aim of improving their ESG performance over time. We use the scores in the ESG scorecard for monitoring purposes. Our considerations in this respect are mostly qualitative. We also receive reporting from our external investment managers and are working to improve how we gather relevant data for monitoring and measuring risks. In the case of listed equity and fixed income investments, we use Sustainalytics and MSCI to obtain relevant data and assess ESG risks, including climate change risks, versus our chosen benchmarks.

Exclusions

While exclusions can be a useful tool when seeking to avoid ESG or sustainability risks, it is not always possible to implement them fully, especially for investment fund selectors such as Anthos. When selecting external investment managers, we therefore use the ESG scorecard to assess the exclusion policies of the investment funds we invest in. We aim to align with our and our clients’ policies and minimum standards and to measure each investment fund’s exposure to companies on the exclusion list. As our exclusion policy stems from our values, we aim to exclude products or activities that we do not want to be invested in. These include controversial weapons, conventional weapons, gambling, tobacco and adult entertainment.

 

Sustainability principal adverse impact consideration at Anthos Fund & Asset Management

Summary

This statement provides information on the due diligence policies of Anthos Fund & Asset Management (Anthos) regarding its investment decisions’ principal adverse impacts on sustainability factors. Under the EU Regulation on Sustainability-related Disclosures in the Financial Services sector (Regulation (EU) No. 2019/2088), principal adverse impacts mean ‘those impacts of investment decisions and advice that result in negative effects on sustainability factors’, while sustainability factors mean ‘environmental, social and employee matters, respect for human rights, anti‐corruption and anti‐bribery’.

In our policies, the principal adverse impacts that our investment decisions may have on sustainability factors are considered from a perspective of the ‘negative impact of our investments on the world or on the environment and society’. This entails ESG or sustainability factors that are not (or not yet) financially material. At Anthos we examine these factors as part of our values, part of our responsibility to respect human rights and part of our ambition to enhance our positive societal impact.

Description of principal adverse sustainability impacts

Anthos identifies and prioritises principal adverse sustainability impacts both qualitatively – through research and dialogue – and quantitatively – using data. By being part of DUFAS (Dutch Fund and Asset Management Association) and the Partnership Carbon Accounting Finance (PCAF) and ascribing to the UN-backed Principles of Responsible Investment (UNPRI) we can expand our knowledge and ensure we are aware of potential and actual adverse sustainability impacts that our investments may have. We are currently also supporting one of our clients in its commitment to the International Responsible Business Conduct (IRBC) covenant for pension funds, focusing on the principal adverse impact of these activities.

The insights gained from the above have been used to create our ESG scorecard. This includes the double materiality aspect (sustainability risk and principal adverse impact) and identifies climate change as both a sustainability risk and a principal adverse impact that needs to be managed across our organisation. Stemming from our values, in discussion with our stakeholders and in reflection of our commitment to international standards, we have also identified the impact of our activities on human rights and other social impacts as being equally important and a priority.

Data plays a great role in our identifying, monitoring and managing of adverse sustainability impacts. While we have no direct influence at a company level (because we invest indirectly through investment funds), we use data to gain a better understanding of the ESG impacts, including the carbon impact (using data from MSCI Carbon Metrics), of the portfolios we manage for clients. In addition, we use data from Sustainalytics to screen our fund investments and report on the percentage of companies with an intolerable involvement in tobacco, gambling, adult entertainment or weapons and any involvement in controversial weapons. Where clients invest in segregated mandates, we also exclude companies that violate the UN Global Compact and OECD Guidelines.

Description of policies to identify and prioritise principal adverse sustainability impacts

Anthos is part of COFRA. As part of the Brenninkmeijer family enterprise, the COFRA businesses build on six generations of entrepreneurship and responsible business ownership. Our long-term investment approach has always been inspired by values that are core to our investment beliefs: human dignity, sustainability and good citizenship. We have formalised these values in a Responsible Investment Policy (RI Policy), anchored in three objectives:

  • expressing our identity by the values that are core to our investment beliefs;
  • enhancing financial value through ESG integration, leading to lower risk and/or improved returns; and
  • enhancing our societal value.

To further operationalise these three objectives specified in the RI Policy we have compiled and maintain Responsible Investment Implementation Guidelines (RIIG). These guidelines describe in more detail the various tools and processes – such as exclusions, ESG integration and engagement – that we use to minimise the adverse impact of our investments.

Anthos invests in various asset classes: equities, fixed income, private equity, real estate and hedge funds. Our RI Policy is applicable to all the assets under management, with implementation depending on the specific asset class and the way we invest. Except in the case of government bonds and the direct impact portfolio, Anthos invests in the various asset classes by using external investment managers, either through segregated investment mandates or investment funds. This is why we focus on selecting and monitoring external investment managers when identifying and prioritising principal adverse sustainability impacts and indicators. The following are two particularly important questions in the ESG scorecard and our due diligence process regarding the principal adverse impacts and the active ownership efforts undertaken by the investment managers used by Anthos (more details can be found in our RIIG):

ESG scorecard

  1. When selecting external investment managers we use the ESG scorecard as a tool to assess the extent to which managers integrate sustainability risks and principal adverse impacts. We refer to this as double materiality. This means we expect our external investment managers both to determine the financially material ESG factors and to consider (i.e. identify and manage) any adverse impacts the investment may have on sustainability factors. We score potential external investment managers in this respect and expect them to use Sustainability Accounting Standards Board (SASB) standards to identify the former and to formalise a human rights policy and follow the Global Reporting Initiative (GRI) guidance to identify, manage and report on the latter.
  2. The ESG scorecard includes a focus on monitoring and active ownership. We expect our external investment managers – especially in the case of equities and fixed income assets – to have formal engagement and voting policies, and to ensure comprehensive reporting on the outcomes of these policies. In the case of other asset classes, such as private equity, real estate and hedge funds, we expect external investment managers to monitor and gather data on the relevant sustainability risks and principal adverse impacts, including climate-related impacts as a minimum.

Engagement policies

As we invest primarily in investment funds, we do not apply a policy on engaging with investee companies ourselves. However, we include investee company engagement as a requirement in our selection of external investment managers and also engage directly with these external investment managers. We make sure that managers apply engagement and voting policies for the investment funds that we are invested in, and provide comprehensive reporting on the outcomes of these policies.

References to international standards

Our Responsible Investment policy states that, in its investments, Anthos is guided by and assumes responsibility under the following widely accepted norms agreed by the OECD, ILO and UN on issues such as human rights, labour practices, environment, governance and corruption. These are the main standards we use to inform our due diligence, with all the constraints applying to fund-of-fund investors:

  • OECD Guidelines for Multinational Enterprises, and more specifically institutional investors, which clearly describe responsible business conduct in respect of due diligence;
  • UN Guiding Principles (UNGP) on Business and Human Rights, which align with the OECD guidelines and outline the prioritisation for engagement;
  • UN Global Compact, which sets out ten broad principles on environmental and social issues and anti-bribery and corruption. These align with the exclusion policies we apply in respect of clients with segregated mandates.

 

Integration of sustainability risks in Anthos Fund & Asset Management’s remuneration policy

This statement provides information on how the remuneration policy of Anthos Fund & Asset Management (Anthos) integrates sustainability risks.

Anthos has implemented a remuneration policy in compliance with the relevant EU regulation. As part of our incentive scheme and remuneration policy, we have integrated the following sustainability-related measures into the KPIs for our investment professionals:

  • Be ahead of the curve in implementing Responsible Investment (RI) as part of overall portfolio construction;
  • Contribute to our Multi-Asset Impact fund to generate ideas and assess opportunities;
  • Contribute to integrating climate change, ESG and impact considerations into multi-asset portfolio construction and investment strategy implementation.

 

Anthos Fund & Asset Management’s financial products

Financial product name Description of the environmental or social characteristics or the sustainable investment objective Methodologies used to assess, measure and monitor the environmental or social characteristics or the impact of the sustainable investments selected Article 8 product information Article 9 product information Periodic reports information
Anthos managed investment funds
Article 8 investment funds Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the Anthos annual report.
Article 9 investment funds Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the investment fund offering documentation. Reference is made to the Anthos annual report.
Discretionary investment portfolios managed by Anthos
Article 8 investment portfolios Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the Anthos annual report.
Article 9 investment portfolios Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the investment management agreement. Reference is made to the Anthos annual report.