Underlying assets

As we progress in responsible investing, we’re steadily strengthening our capabilities at the asset level. Beyond manager selection, we’re delving deeper into portfolio constituents, use data insights and strategic engagements to drive positive change.

As a fund-of-funds investor, we initially focus our actions on the managers and the funds or strategies we select using the RI Scorecard and IMP assessments. At the same time, we work to get access to the underlying assets in those portfolios. We are increasingly using these insights to test whether the stated strategy of the manager matches our expectations. For example, we used our Sustainable Development Investments Asset Owner Platform (SDI AOP)²⁷ data set to test the exposure of companies aligned with the SDGs in our equities portfolio. Or, by understanding the top-emitting companies in our portfolios, we can have more targeted conversations with the managers who continue to hold them. Whether those companies have SBTi-aligned climate transition plans, for instance.

The same goes for any companies that are on our exclusions list especially if the allocation to those companies increases with any particular manager. We want to know why that is and whether it’s in line with their RI policies or not.

In addition, we use the datasets that help us understand what makes a company sustainable. For example, if it is positively aligned with the SDGs. That way we can engage positively with our managers on their company holdings and also learn ourselves what sort of assets count as being sustainable.

The following pages outline our summarised findings for exclusions and mapping investments against SDGs.

Exclusions should remain at less than our 5% threshold

Anthos aims to avoid or lower exposure to excluded categories by selecting managers with similar policies and values as our own. Should we identify exposure, we engage with the fund managers wherever possible to avoid or even exclude the relevant categories or companies. Overall, our target is to have 0% of AuM exposure to exclusions in segregated mandates and no more than 5% exposure to issuers on the exclusion list in each portfolio.

This year, we expanded our reporting to include private equity and impact investments, in addition to equities and fixed income. The only areas not covered are the absolute return asset class, due to insufficient lookthrough data, and the real estate team, as the exclusion list is not applicable to investees and we do not currently monitor the tenant layer.

The overall conclusion is that we remained well below our exclusion threshold in 2023, with details below.

Please refer to our exclusions policy for more information.

Anthos exclusions exposure

	Excluded % of total AUM	Coverage
Company exclusions	1.8%	73.4%
Country exclusions	0.0%	99.8%
Available for: Equites, Fixed income, Private Equity, Impact.

Figure 24: Powered by Sustainalytics, As at 31 December 2023.

Anthos exclusions exposure per available asset class

	Excluded % of total AUM
Equities	2.5%
Fixed Income	1.0%
Impact Investments	0.0%
Private Equity	1.0%

Figure 25: Powered by Sustainalytics, As at 31 December 2023.

Anthos exclusions per available asset class

Total	1.4%	0.3%		0.1%	1.8%
Criteria	Equities	Fixed Income	Impact Investments	Private Equity	Grand Total
Adult Entertainment
Anti-Personnel Mines
Arctic Oil & Gas
Bioweapons
Cluster Weapons
Depleted Uranium	0.1%	0.0%			0.1%
UN Global Compact violators	0.0%	0.0%		0.0%	0.0%
Gambling	0.1%	0.2%		0.1%	0.4%
Military Contracting	0.9%	0.1%		0.0%	1.0%
Nuclear Weapons	0.2%	0.0%			0.2%
Oil Sands	0.0%				0.0%
Small Arms	0.0%				0.0%
Thermal Coal	0.0%	0.0%			0.0%
Tobacco	0.0%	0.0%			0.0%
White Phosphorus	0.1%				0.1%

Figure 26: Powered by Sustainalytics, As at 31 December 2023.

Alignment with Sustainable Development Goals

The Sustainable Development Goals (SDGs) are a universal call to action to end poverty, protect the planet, and ensure that all people enjoy peace and prosperity. Mapping investments to the SDG framework helps to align our investments with global priorities and action plans. By increasing our level of understanding as to how investments align with the SDGs we hope to be able to guide our clients if they want to align their investments with (certain) SGDs.

In 2022, we joined the SDI AOP which combines human and artificial intelligence to produce a way to map investments to the SDGs. It does this by focusing on revenues derived from specific products and services that contribute to the SDGs, based on a well-developed taxonomy.

In 2023, we continued to explore this platform as a means to better understand the sustainability characteristics of our listed equities and corporate fixed income portfolios. Our analysis revealed that 15.4% of our equities portfolio is aligned with the SDGs, primarily SDG3: “good health and wellbeing”. This compares with the benchmark’s total alignment of 13.9%. This improved insight enhances our ability to guide clients in aligning their investments with specific SGDs.

We recognise the conservative limitations of the taxonomy. For example, our allocation to a listed real estate investment trust (REIT) strategy, which we believe contributes to SDG 11 (sustainable cities) due to its focus on real assets and advanced ESG practices, is not reflected in the current mapping. As we venture into more complex asset classes, we are curious to see whether the results reflect our own intel derived from deep due diligence of the investments.

Of the 15.4% invested capital aligned with the SDGs, this number only reflects companies that, through their revenues coming from specific products and services, align with a relevant sub-goal of the SDGs. This includes ‘majority’ and ‘decisive’ assets, which means that the companies are involved in positive activities for more than 50% of the total revenues for ‘majority’ assets and between 10% and 50% for ‘decisive’ assets. Companies where the SDI percentage was less than 10%, or that were involved in disqualifying (negative) activities for more than 10% of the total revenue are left out in the analysis. The coverage of the equities portfolio that was not able to be mapped has reduced from 8% to less than 2%. Those remaining assets not able to be mapped included cash, REITs, and some other instruments where the data did not result in a match.

We are exploring whether the coverage for fixed income portfolios may be increased and will report relevant findings to our stakeholders as we go.

Total SDG alignment

Total level SDG alignment (% of asset class)	Revenue aligned weight		Coverage
	Positive	Negative
Equities	15.4%	2.8%	73.4%
Corporate Fixed Income	6.7%	6.9%	99.8%

Figure 27: Total SDG alignment

Source: SDI AOP and Anthos Fund & Asset Management, As at 31 December 2023.

Revenue-aligned weight per SDG

Revenue aligned weight per SDG	Equities		Equities Corporate Fixed Income
Revenue aligned weight per SDG	Positive	Negative	Positive	Negative
SDG1	0.2%
SDG2	0.2%		0.2%
SDG3	10.6%	0.1%	3.8%	1.4%
SDG4	0.4%		0.1%
SDG5
SDG6	0.2%		0.0%
SDG7	2.3%	2.4%	1.2%	5.1%
SDG8
SDG9	0.3%		0.7%
SDG10
SDG11	0.4%		0.1%
SDG12	0.5%	0.1%	0.3%	0.2%
SDG13	0.0%		0.0%
SDG14	0.2%		0.1%
SDG15	0.1%		0.1%
SDG16		0.3%		0.2%
SDG17

Figure 28: Revenue-aligned weight per SDG.

Source: SDI AOP and Anthos Fund & Asset Management, As at 31 December 2023.

²⁸The SDGs are a collection of 17 global goals set by the United Nations General Assembly in 2015. They aim to address various social, economic, and environmental challenges worldwide, including poverty, inequality, climate change, environmental degradation, peace, and justice. Each goal has specific targets to be achieved by 2030, providing a blueprint for a more sustainable future for all. For more information, visit UN Sustainable Development Goals.

Engagement by Sustainalytics to influence companies directly

In addition to the engagement by the external managers we select, Anthos also aims to influence companies through the engagements provided by Sustainalytics. The three types of engagement perfectly align with our values and the ambition to lower the negative and increase the positive impact of our portfolios.

These engagements address companies that violate global standards, they aim to improve the risk profile of the companies in the portfolio and engaging for a better impact in relevant thematic engagements. Anthos also provides the opportunity for its clients to directly support engagement letters to the non-responsive companies and its portfolio managers address these, where relevant, with the external managers that are invested directly in these companies.

Global Standards commitment

Results

129 companies engaged

81 of those in Anthos portfolios

Of the 81, business ethics, labour rights, human rights and environment were the top themes.

Global Standards commitment

Engagement with companies about the negative impact and possible or actual violations of the UN Global Compact standards and the thematic chapters of the OECD guidelines.

Material risk engagement

Results

348 companies engaged

301 of those in Anthos portfolios

Of those 301, carbon emissions measurement, product governance, ESG risk assessment and disclosure, and waste were the top themes.

Material risk engagement

Targeting high-risk companies on all ESG topics.

Thematic engagement programmes

Results

311 companies engaged

229 of those in Anthos portfolios

Of those 229, biodiversity and natural capital, SDGs, human rights and tomorrow’s board were the top themes.

Thematic engagement programmes

Aimed at improving the impact of companies through engagement and on specific themes. The six themes we focus on: future food supply, sustainable afforestation and financing and climate change, responsible cleantech, modern slavery, improving human rights, and human capital and the future of the labour process.

Figure 29: Engagement programs and results

The investment gap to achieve the United Nations’ Sustainable Development Goals has reached $4-4.3 trillion.

- According to the United Nations Conference on Trade and Development (UNCTAD’s) World Investment Report, September 2023.

Share of companies and types of engagement by

Topic

Business Ethics

21%

Labour Rights

13%

Human Rights

50%

Environment

16%

Figure 30: Types of engagements with companies

Number of companies

Engagement stage

Figure 31: Engagement stage

²⁷The Sustainable Development Investments Asset Owner Platform (SDI AOP) is a collaborative initiative aimed at promoting sustainable investment practices among asset owners. It provides tools and resources to integrate sustainability into investment decisions and supports the alignment of investment portfolios with the United Nations Sustainable Development Goals (SDGs). For more information, visit SDI AOP’s official website.

Our commitment to Climate and Human Rights

Sustainability

Partnership or alliance	Activity and rationale
Institutional Investors Group on Climate Change (IIGCC)	IIGCC provides relevant working groups, policy engagement through consultations on the topic of Climate Change. We join these groups as needed to develop our views and contribute to the development of understanding how to implement for a fund of funds.
Dutch Climate Agreement	We signed the agreement to show our commitment and start the path towards Paris Agreement alignment.
Science Based Targets initiative (SBTi)	We took part in their private equity sector expert advisory group (2021) and started the process to sign up to the SBTi as a company together with our broader company ecosystem.
Clean, Renewable and Environmental Opportunities (CREO) Syndicate	In 2022, we took part in their thought leadership seminar to share our insights on how to invest for systemic change.
Carbon Disclosure Project (CDP)	We use their datasets, measurement methodologies, and joined their science-based target engagement campaigns.
Partnership for Carbon Accounting Financials (PCAF)	We are part of the working group for emerging market sovereign bonds. We also took part in the private equity working group with our sister company Bregal.

Human dignity

Partnership or alliance	Activity and rationale
United Nations’ Principles for Responsible investment (PRI)	Anthos has been a signatory since 2019. In 2022, we endorsed the human rights engagement initiative ‘Advance’ and joined asset-class specific working groups.
SHIFT	We partnered with them throughout 2022 to enhance our human rights approach.
Investor Alliance for Human Rights (investorsforhumanrights.org)	We joined this initiative to learn and align with other investors on the same path. We advised them for our human rights statement for example, next to SHIFT.

Good corporate citizenship

Partnership or alliance	Activity and rationale
SFDR working group organised by the Dutch Fund and Asset Management Association	We actively participate in the SFDR expert sessions and initiated an expert group for SFDR implementation for funds of funds. We also contribute via DUFAS in the industry relevant consultations regarding EU policy developments.
Impact Frontiers	Over 2022, we participated in a working group with other funds and fund-of-funds to share best practices in integrating the IMP norms in investing, determining investor contribution, sharing knowledge, etc.
Global Impact Investing Network (GIIN)	We took part in their annual conference, speaking about investing for systemic change. We are also members of their investor advisory council.

08/26/2024 11:48:48