Carbon report SEB Global Fund

Transcription

1 Carbon report SEB Global Fund Report created on: February 27, 2018 The carbon footprint provides a historic snapshot of the emissions from the equity holdings of the fund. The calculations are not comprehensive and indirect emissions, e.g. from suppliers, are based on reported data or estimates of emissions. The metric says nothing about how the portfolio contributes to a low-carbon society. For further information about the metric, see

2 Contents Executive Summary 3 Sector weighthing and relative carbon footprint 4 Relative Carbon Footprint Comparison 4 Sector Analysis & Stock selection 4 Attribution Analysis 5 Summary of 10 largest absolute contributors 6 Summary of 10 largest portfolio companies 6 Scope 3 overview 7 Company sector & breakdown Carbon Barometer & Carbon Ranking Carbon Report - SEB Global Fund 2

3 Carbon Report SEB Global Fund Report created on: Feb 27, 2018 Holdings Date: Dec 31, 2017 : MSCI World (Net Return) Currency: USD Industry Classification: GICS Company Breakdown Metrics: carbon intensity (tco2e / Mio. Value: 1'888'111' USD Fund Management Company: SEB Investment Management AB Executive Summary Carbon emissions Scope 1-2 Total carbon emissions incl. Scope 3 Relative Carbon Footprint (kgco2e / USD 1'000 invested) Carbon Intensity (kgco2e / USD 1'000 Weighted Average Carbon Intensity (kgco2e / USD 1'000 Disclosing Titles by Weight (market value) 353' '255' % 99.0% 235' ' % 98.4% Total carbon emissions - measure the carbon footprint of a portfolio considering Scope 1-2 as well as Scope 3 emissions. *) - SEB Global Fund is associated with greenhouse gas emissions of 353'689.8 tons per year. Relative carbon footprint - is a normalized measure of the portfolio's contribution. - It enables comparisons with a benchmark between multiple portfolios, over time and regardless of portfolio size. Carbon intensity - allows investors to measure how much carbon emissions per USD of revenue are generated. - It therefore measures the carbon efficiency of a portfolio per unit of output. This report analyses the portfolio of securities in terms of the carbon emissions and other carbon related characteristics of the underlying portfolio companies, and compares this data to the performance of a relevant respectively chosen market benchmark. The portfolio s intensity is 2.5% lower than the benchmark The Sectors Industrials, Materials and Utilities (per GICS classification) in the portfolio make up 26.7% of the weight vs. 76.4% of the contribution to emissions Carbon Intensity 66.4 Carbon Sector Weight 8.0% 11.1% 7.6% 73.3% Contribution to 23.6% 29.3% 20.9% 26.2% Industrials Materials Utilities All other Sectors 5 smallest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / USD 1'000 Invested) M6-Metropole Television % 0.1 Hannover Rueckversicherung % 0.0 Assured Guaranty % 0.2 Loomis B % 0.2 DEUTSCHE PFANDBRIEFBANK % largest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / USD 1'000 Invested) Deutsche Lufthansa 82' % 1'699.5 PPL 32' % 1'344.4 LyondellBasell Industries NV 25' % Japan Airlines 18' % Endesa 17' % 1'337.8 *) Scope 1 emissions are directly generated by company's operations, whereas indirect Scope 2 emissions are related to the company's energy consumption. Scope 3 emissions include other indirect emissions including e.g. business travel, use of company's products sold, investments, and goods and services purchased. Carbon Report - SEB Global Fund 3

4 Sector weighting and relative carbon footprint Weight Rel. Carbon Footprint tco2e / Mio USD invested vs. Industrials 7.96% 11.59% % Materials 11.12% 4.72% % Utilities 7.62% 2.90% ' % Consumer Staples 6.59% 8.99% % Energy 2.54% 6.29% % Consumer Discretionary 16.92% 12.13% % Information Technology 14.46% 16.65% % Others 9.18% 4.03% % Telecommunication Services 7.26% 2.77% % Health Care 5.83% 11.75% % Financials 9.56% 16.58% % Relative Carbon Footprint Comparison Industrials Materials Utilities Consumer Staples Energy Consumer Discretionary Information Technology Others Telecommunication Services Health Care Financials Sector Analysis & Stock Selection The graph below shows how the carbon allocation in the portfolio differs from the average of each sector. Sectors have been defined using the GICS classification at the Supersector/Industry Group level. 30% 20% 10% 0% Airlines Aluminum Commodity Chemicals Diversified Chemicals Electric Utilities Food Retail Forest Products General Merchandise Stores Integrated Telecommunication Services Multi-Utilities Packaged Foods & Meats Paper Packaging Specialty Chemicals Steel Technology Hardware, Storage & Peripherals GICS Sub-Industry, Average GICS Sub-Industry 4

5 Attribution Analysis The two principal reasons why the carbon exposure of the portfolio may differ from the benchmark are due to sector allocation as well as stock selection decisions. Sector allocation decision will cause the carbon intensity of the portfolio to diverge from the benchmark where the sectors are either carbon intensive or low carbon. If the portfolio is overweight in carbon intensive sectors the portfolio is likely to be more carbon intensive than the benchmark. However, if the stocks within a carbon intensive sector are the most carbon efficient companies, it is possible that the portfolio may still have a lower carbon footprint than the benchmark. Sector Allocation Sector Selection Sector Allocation Contribution to Out/ Underperformance Sector Allocation Contribution to Out/ Underperformance (%) Stock Selection Contribution to Out/ Underperformance Stock Selection Contribution to Out/ Underperformance (%) Energy -1' % -1' % Materials 3' % 1' % Industrials % 9' % Consumer Discretionary % % Consumer Staples % 2' % Health Care % % Financials % % Information Technology % % Telecommunication Services % % Utilities 4' % % Others % % Total 5' % 13' % Explanation: The Underperformance of the portfolio is based on the effect of over/underweighting certain sectors and selecting more/less carbon intense stocks within each sector for each of the underlying holdings. A positive number indicates that the effect increased the greenhouse gas emission (in tons of CO2e) and a negative number indicated a decreasing effect. In this case, the sector weighting of SEB Global Fund harmed 5'936.4 tco2e, while the stock selection harmed 13'839.0 tco2e versus the benchmark. This explains a 46.1% underperformance through sector weighting and 107.4% carbon underperformance by stock picking. Interaction Effect: -1' % Carbon Underperformance Total 353' ' '319.8 Carbon Underperformance (%) Attribution Analysis - Graph 100% 50% 0% -50% Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecommunication Services Utilities Others Sector Stock Total 5

6 Summary of 10 largest absolute contributors The tables below show the 10 largest greenhouse gas contributors and the 10 largest holdings respectively of the SEB Global Fund. Carbon Data section explains your, i.e. the amount of greenhouse gases that the portfolio finances from the company s overall emissions, relative to company ownership. You can further see what % of the overall portfolio GHG emissions each company accounts for and if the company s GHG emission number was disclosed by the company or approximated. In the Analysis section, the emissions are stated and the Average Sector allow a comparison of the greenhouse gas intensity of a company against its respective sector, i.e. the amount of GHG emissions that an investment of the same size would have financed, would it have been invested in the overall sector rather than the specific company. The effect on the portfolio can be found under Contribution: This is a measurement of how much a specific holding raises or reduces the carbon footprint of the portfolio. Company GICS Sub-Industry % of total Weight Carbon Data Analysis carbon intensity (tco2e / Mio. Av. Sector Contribution Deutsche Lufthansa Airlines 2.5% 0.0% 23.5% ' ' ' PPL Electric Utilities 1.3% 0.1% 9.2% 3' ' ' ' ' LyondellBasell Industries NV Commodity Chemicals 2.6% 0.1% 7.1% ' ' ' Japan Airlines Airlines 1.6% 0.0% 5.3% ' ' ' Endesa Electric Utilities 0.7% 0.0% 4.9% 1' ' ' ' Valero Energy Oil & Gas Refining & Marketing 0.9% 0.1% 4.9% ' ' ' ' Voestalpine Steel 0.2% 0.0% 3.3% 2' ' ' ' CLP Holdings Electric Utilities 0.3% 0.0% 3.1% 4' ' ' ' ' Tate & Lyle Packaged Foods & Meats 0.8% - 3.1% ' ' ' Basf Diversified Chemicals 2.7% 0.3% 3.0% ' ' ' Summary of 10 largest portfolio companies Company GICS Sub-Industry % of total Weight Carbon Data Analysis carbon intensity (tco2e / Mio. Av. Sector Contribution Intel Corp Semiconductors 3.0% 0.5% 0.1% ' ' Cisco Systems Communications Equipment 3.0% 0.5% 0.0% ' Basf Diversified Chemicals 2.7% 0.3% 3.0% ' ' ' Target Corp LyondellBasell Industries NV General Merchandise Stores 2.6% 0.1% 1.2% ' ' ' Commodity Chemicals 2.6% 0.1% 7.1% ' ' ' Link Reit Others 2.6% 0.1% 0.1% ' Deutsche Lufthansa Airlines 2.5% 0.0% 23.5% ' ' ' Swisscom Reg Tyson Foods Com A Seagate Technology Com Integrated Telecommunication Services Packaged Foods & Meats Technology Hardware, Storage & Peripherals 2.5% 0.0% 0.0% ' ' % 0.1% 2.7% ' ' % 0.0% 1.4% ' ' '

7 Scope 3 Overview The following section provides a top-down approximation of the financed scope 3 emissions from each sector. The purpose of this analysis is to give an order of magnitude of the emissions in the portfolio on a sector level and should not be used as a basis for comparing two individual companies. All emissions are in tco2e metrics. The following graph shows the financed Scope 1+2 emissions in relation to the Scope 3 emissions of the portfolio. 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials InformationTelecommunication Utilities Technology Services Scope 3 Scope 1&2 211'324 23' '357 92' ' '652 80'372 14'746 89'180 33'634 1' ' '617 7'401 2'274 1'113 97'973 73'900 The graph below compares the total emissions (including Scope 1, Scope 2 and Scope 3) between portfolio and benchmark Scope 3 Scope 1&2 903' ' ' '214 *) The methodology includes Scope 1, 2 and Scope 3 upstream and product use downstream. 7

8 Company Sector & Breakdown This table presents all holdings in the portfolio, sorted by sector, following the logic from the sections above. It shows how each company contributes to the overall portfolio footprint. It allows you to see which stocks are the greatest contributors to the portfolio s emission in absolute as well as relative terms. The -/+ signs on the far right indicate if a specific holding raises or reduces the carbon footprint of the portfolio. This helps with portfolio optimization and in managing the overall carbon portfolio footprint without comprising the chosen sector allocation. Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution Oil & Gas Refining & Marketing 2.5% 0.5% 6.7% ' ' ' ' Neste Oyj 1.6% 0.0% 1.8% ' ' Valero Energy 0.9% 0.1% 4.9% ' ' ' '808.2 Commodity Chemicals 4.1% 0.3% 11.5% ' ' ' ' Kuraray 1.0% 0.0% 1.9% ' ' '005.4 Tosoh Corporation 0.2% 0.0% 1.4% 1' ' ' '919.0 Mitsui Chemicals 0.2% 0.0% 1.1% ' ' '840.7 LyondellBasell Industries NV 2.6% 0.1% 7.1% ' ' '100.3 Diversified Chemicals 3.6% 0.5% 5.7% ' ' ' ' Basf 2.7% 0.3% 3.0% ' ' '023.8 Eastman Chemical Co 0.8% 0.0% 2.7% ' ' '346.3 Specialty Chemicals 0.7% 1.0% 1.7% ' ' ' ' COVESTRO 0.7% 0.0% 1.7% ' ' '779.2 Paper Packaging 0.8% 0.2% 0.2% ' ' ' Avery Dennison 0.8% 0.0% 0.2% ' '126.1 Aluminum 0.4% 0.0% 1.0% ' ' ' Nippon Light Metal 0.4% - 1.0% ' ' '012.9 Diversified Metals & Mining 0.1% 0.9% 0.5% ' ' ' ' Dowa Mining 0.1% - 0.5% ' ' '146.6 Steel 0.4% 0.3% 3.4% 1' ' ' ' ' Voestalpine 0.2% 0.0% 3.3% 2' ' ' '647.1 Fortescue Metals Group 0.2% 0.0% 0.2% ' Forest Products 1.0% 0.0% 2.2% ' ' ' SCA B 1.0% - 2.2% ' ' '235.7 Construction & Engineering 0.7% 0.4% 0.1% ' ' Kajima 0.5% 0.0% 0.1% ' '517.7 Kyowa Exeo 0.2% - 0.0% Hazama 0.0% - 0.0% Construction Machinery & Heavy Trucks 1.1% 0.6% 0.2% ' ' Cummins 1.1% 0.1% 0.2% ' '457.3 Industrial Machinery 0.5% 1.3% 0.1% ' Timken 0.5% - 0.1% '333.4 Office Services & Supplies 0.3% 0.0% 0.1% Herman Miller 0.3% - 0.1% Security & Alarm Services 0.1% 0.1% 0.0% Loomis B 0.1% - 0.0% Human Resource & Employment Services 1.1% 0.2% 0.0% ' Manpower 1.1% 0.0% 0.0% '723.3 Air Freight & Logistics 0.1% 0.6% 0.0% ' BPOST 0.1% - 0.0% Airlines 4.1% 0.2% 28.8% ' ' ' ' Deutsche Lufthansa 2.5% 0.0% 23.5% ' ' '202.7 Japan Airlines 1.6% 0.0% 5.3% ' ' '215.2 Tires & Rubber 0.9% 0.2% 0.6% ' ' ' Michelin 0.9% 0.1% 0.6% ' ' '010.4 Consumer Electronics 0.5% 0.3% 0.0% '

9 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution Garmin 0.5% 0.0% 0.0% '885.1 Homebuilding 3.9% 0.3% 0.1% ' ' Bellway 0.3% - 0.0% '078.2 Persimmon 2.3% 0.0% 0.0% '133.1 Taylor Wimpey 0.7% 0.0% 0.0% '505.0 Berkeley Group Holdings 0.6% 0.0% 0.0% '177.6 Housewares & Specialties 1.0% 0.0% 0.1% ' ' Tupperware Brands 1.0% - 0.1% ' '055.6 Restaurants 0.6% 0.9% 0.3% ' Darden Restaurants Inc Com 0.6% 0.0% 0.3% ' Broadcasting 0.0% 0.1% 0.0% M6-Metropole Television 0.0% - 0.0% Department Stores 1.4% 0.1% 0.7% ' ' ' Kohls Corp 1.4% 0.0% 0.7% ' ' '679.6 General Merchandise Stores 2.6% 0.3% 1.2% ' ' ' Target Corp 2.6% 0.1% 1.2% ' ' '410.1 Apparel Retail 3.1% 0.5% 0.7% ' ' ' American Eagle Outfitters 1.0% - 0.2% '065.3 Foot Locker 1.0% - 0.2% '797.2 GAP Inc Com 1.1% 0.0% 0.2% '104.9 Computer & Electronics Retail 2.8% 0.1% 0.5% ' ' ' Best Buy 2.3% 0.0% 0.3% ' ' '219.1 GameStop Corporation 0.5% - 0.1% '327.0 Food Retail 1.0% 0.5% 1.4% ' ' ' ' Kroger Co USD Com 1.0% 0.1% 1.4% ' ' '604.4 Agricultural Products 0.4% 0.1% 0.8% ' ' ' ' Ingredion 0.4% 0.0% 0.8% ' ' '393.5 Packaged Foods & Meats 4.6% 1.8% 7.3% ' ' ' ' Tate & Lyle 0.8% - 3.1% ' ' '855.3 WH Group 1.3% 0.0% 1.5% ' ' Tyson Foods Com A 2.5% 0.1% 2.7% ' ' Tobacco 0.6% 1.3% 0.0% ' Altria Group 0.6% 0.3% 0.0% '165.9 Health Care Equipment 0.8% 1.8% 0.0% ' Masimo 0.8% - 0.0% '849.2 Health Care Distributors 0.2% 0.2% 0.0% Owens & Minor 0.2% - 0.0% Health Care Services 1.2% 0.4% 0.0% ' Miraca Holdings 0.2% - 0.0% Quest Diagnostics 1.0% 0.0% 0.0% '469.2 Biotechnology 3.3% 2.0% 0.0% ' Gilead Sciences 2.0% 0.2% 0.0% '226.7 United Therapeutics 1.3% 0.0% 0.0% '768.1 Pharmaceuticals 0.3% 5.3% 0.0% ' Johnson & Johnson 0.3% 0.9% 0.0% '134.6 Diversified Banks 2.7% 8.5% 0.0% ' KBC Bankverzekeringsholding 0.5% 0.1% 0.0% '796.9 Bank of Nova Scotia 0.6% 0.2% 0.0% '260.8 Oversea-Chinese Banking 0.2% 0.1% 0.0% J P Morgan Chase & Co 1.4% 0.9% 0.0% '932.3 Thrifts & Mortgage Finance 0.1% 0.0% 0.0% DEUTSCHE PFANDBRIEFBANK 0.1% - 0.0% Asset Management & Custody Banks 3.6% 1.0% 0.0% '

10 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution AllianceBernstein Holding LP 0.3% - 0.0% '187.5 Apollo Global Management 0.9% - 0.0% '336.6 Artisan Partners asse management 0.3% - 0.0% Federated Investors - Cl B 1.0% - 0.0% '534.9 T Rowe Price Group 0.7% 0.1% 0.0% '642.6 Waddel & Reed Financial-A 0.4% - 0.0% '304.6 Life & Health Insurance 1.6% 1.5% 0.0% ' Principal Financial Group 1.0% 0.1% 0.0% '683.7 Prudendial Financial 0.6% 0.1% 0.0% '179.9 Property & Casualty Insurance 0.9% 0.9% 0.0% ' Assured Guaranty 0.1% - 0.0% FIRST AMERICAN FINANCIAL 0.8% - 0.0% '823.3 Reinsurance 0.6% 0.3% 0.0% ' Hannover Rueckversicherung 0.6% 0.0% 0.0% '264.2 Internet Software & Services 1.3% 3.0% 0.1% ' Mixi 1.3% 0.0% 0.1% '654.6 IT Consulting & Other Services 0.9% 0.9% 0.2% ' Nihon Unisys 0.2% - 0.0% Fujitsu 0.7% 0.0% 0.2% '662.1 Data Processing & Outsourced Services 0.7% 1.8% 0.0% ' WESTERN UNION CO 0.7% 0.0% 0.0% '307.9 Systems Software 0.8% 2.2% 0.0% ' CA Inc 0.8% 0.0% 0.0% '677.8 Communications Equipment 3.2% 0.8% 0.0% ' Cisco Systems 3.0% 0.5% 0.0% '813.7 Interdigital 0.3% - 0.0% Technology Hardware, Storage & Peripherals 4.6% 2.7% 1.6% ' ' ' Seagate Technology Com 2.4% 0.0% 1.4% ' ' '698.3 Brother 0.4% 0.0% 0.0% '312.7 HP 1.8% 0.1% 0.2% '934.2 Semiconductors 3.0% 2.2% 0.1% ' ' Intel Corp 3.0% 0.5% 0.1% ' '526.2 Integrated Telecommunication Services 5.2% 2.0% 0.1% ' ' ' Telstra 0.2% 0.0% 0.0% Proximus 1.4% 0.0% 0.0% ' '902.1 Swisscom Reg 2.5% 0.0% 0.0% ' '253.3 Bezeq Israel Telecom 0.1% 0.0% 0.0% Nippon Telegraph & Telephone 0.0% 0.1% 0.0% Spark New Zealand 1.0% 0.0% 0.0% '357.1 Wireless Telecommunication Services 2.1% 0.7% 0.2% ' ' NTT DoComo 1.8% 0.1% 0.2% ' '999.1 StarHub 0.2% 0.0% 0.0% Electric Utilities 3.3% 1.7% 17.3% 2' ' ' ' ' Endesa 0.7% 0.0% 4.9% 1' ' ' '809.0 CLP Holdings 0.3% 0.0% 3.1% 4' ' ' ' '833.5 Terna SpA 1.1% 0.0% 0.1% ' '712.9 PPL 1.3% 0.1% 9.2% 3' ' ' ' '053.0 Multi-Utilities 2.7% 0.9% 3.1% ' ' ' ' CMS Energy Corp 0.3% 0.0% 1.6% 1' ' ' '620.5 Centerpoint Energy 2.4% 0.0% 1.5% ' ' '403.7 Water Utilities 1.6% 0.1% 0.6% ' ' ' Severn Trent 1.6% 0.0% 0.6% ' ' '

11 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution Others 9.2% 4.0% 0.6% ' ' ' Mirvac Group 0.4% 0.0% 0.0% '412.8 Granite Real Estate 0.2% - 0.0% Riocan REIT 0.3% 0.0% 0.0% Link Reit 2.6% 0.1% 0.1% '169.2 Daito Trust Construction 2.2% 0.0% 0.0% '915.6 Daiwa House Industry 0.6% 0.1% 0.0% '940.5 Yanlord Land Group 0.1% - 0.0% AMERICAN CAPITAL AGENCY 1.0% 0.0% 0.1% '269.6 Annaly Capital Management 1.4% 0.0% 0.1% '556.3 Invesco Mortgage Capital 0.3% - 0.0% New Residential Investment 0.2% - 0.0% Total portfolio 99.0% 98.4% 100.0% ' ' Note that the weighting for the benchmark will not always total 100% as the stocks shown are only for those held by the portfolio. 11

12 Carbon Ranking This is a standardized ranking of the fund based on the productís weighted average carbon intensity using two peergroups. One consisting of all other funds in the database (global percentile) and one where the fund is ranked taking the specific Lipper Global Classification into account (peer percentile). The ranking is based on percentiles and ranges from 0 (worst) to 100 (best). Global Percentile 39 (n=4380) Peer Percentile 40 (Lipper Global Equity Global, n=646) The carbon footprint provides a historic snapshot of the emissions from the equity holdings of the fund. The calculations are not comprehensive and indirect emissions, e.g. from suppliers, are based on reported data or estimates of emissions. The metric says nothing about how the portfolio contributes to a low-carbon society. For further information about the metric, see 12