Carbon report SEB US All Cap

Transcription

1 Carbon report SEB US All Cap 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 8-9 Carbon Barometer & Carbon Ranking 10 Carbon Report - SEB US All Cap 2

3 Carbon Report SEB US All Cap Report created on: Feb 27, 2018 Holdings Date: Dec 31, 2017 : Frank Russell 3000 (Net Return Index) Currency: USD Industry Classification: GICS Company Breakdown Metrics: carbon intensity (tco2e / Mio. revenue) Value: 470'354' 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 revenue) Weighted Average Carbon Intensity (kgco2e / USD 1'000 revenue) Disclosing Titles by Weight (market value) 29' ' % 91.7% 53' ' % 96.8% Total carbon emissions - measure the carbon footprint of a portfolio considering Scope 1-2 as well as Scope 3 emissions. *) - SEB US All Cap is associated with greenhouse gas emissions of 29'038.9 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 35.0% lower than the benchmark The Sectors Industrials, Energy and Consumer Discretionary (per GICS classification) in the portfolio make up 29.0% of the weight vs. 92.4% of the contribution to emissions Carbon Intensity Carbon 71.0% Sector Weight 8.1% 5.4% 15.4% 13.9% Contribution to 10.9% 7.6% 67.6% Industrials Energy Consumer Discretionary 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) Apple % 0.1 Signature Bank % 0.6 Microsoft % 0.2 Goldman Sachs Group Inc % 0.5 Bank of the Ozarks % largest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / USD 1'000 Invested) Stericycle 16' % 1'798.8 Exxon Mobil Corp 3' % Carnival Corp 2' % Union Pacific Corp 1' % Halliburton Co % 46.6 *) 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 US All Cap 3

4 Sector weighting and relative carbon footprint Weight Rel. Carbon Footprint tco2e / Mio USD invested vs. Industrials 8.10% 10.82% % Energy 5.45% 5.62% % Consumer Discretionary 15.44% 12.30% % Consumer Staples 5.18% 7.32% % Information Technology 27.07% 22.55% % Telecommunication 2.44% 1.89% % Health Care 14.98% 13.19% % Others 5.31% 4.93% % Financials 7.70% 12.65% % Relative Carbon Footprint Comparison Industrials Energy Consumer Discretionary Consumer Staples Information Technology Telecommunication Health Care Others 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. 70% 60% 50% 40% 30% 20% 10% 0% Building Products Communications Equipment Environmental & Facilities Food Distributors Hotels, Resorts & Cruise Lines Industrial Conglomerates Integrated Oil & Gas Movies & Entertainment Oil & Gas Equipment & Others Packaged Foods & Meats Pharmaceuticals Railroads Restaurants 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 % % Materials % % Industrials % 1' % Consumer Discretionary % % Consumer Staples % % Health Care % % Financials % % Information Technology % % Telecommunication % % Utilities % % Others % % Total % % Explanation: The Outperformance 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 US All Cap saved tco2e, while the stock selection harmed tco2e versus the benchmark. This explains a 28.9% outperformance through sector weighting and 4.3% carbon underperformance by stock picking. Interaction Effect: % Total 29' '539.8 Carbon Outperformance Carbon Outperformance (%) 5.4 Attribution Analysis - Graph 100% 50% 0% -50% -100% Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecommunication 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 US All Cap. 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 Stericycle Environmental & Facilities Weight Carbon Data Analysis carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution 1.8% 0.0% 61.9% 2' ' ' ' Exxon Mobil Corp Integrated Oil & Gas 1.6% 1.3% 11.4% ' ' ' ' Carnival Corp Hotels, Resorts & Cruise Lines 2.3% 0.1% 9.7% ' ' ' Union Pacific Corp Railroads 2.1% 0.4% 4.2% ' ' Halliburton Co AT&T; General Electric Co Com MONDELEZ INTERNATIONAL Schlumberger Avnet Oil & Gas Equipment & Integrated Telecommunication Industrial Conglomerates Packaged Foods & Meats Oil & Gas Equipment & Technology Distributors 2.0% 0.2% 1.8% ' % 0.9% 1.7% % 0.6% 1.0% % 0.2% 0.8% % 0.3% 0.7% ' % 0.0% 0.6% Summary of 10 largest portfolio companies Company GICS Sub-Industry % of total Weight Carbon Data Analysis carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution Amazon.com Internet Retail 4.8% 1.7% 0.3% ' Alphabet Class C Apple Internet Software & Technology Hardware, Storage & Peripherals 4.4% 2.3% 0.4% ' % 3.2% 0.0% ' Microsoft Systems Software 4.0% 2.3% 0.0% ' Novartis ADR Pharmaceuticals 3.7% - 0.4% ' Facebook Bristol Myers Squibbco com Internet Software & 3.5% 1.5% 0.1% ' Pharmaceuticals 3.5% 0.4% 0.3% ' Oracle Systems Software 3.1% 0.5% 0.1% Johnson & Johnson Pharmaceuticals 2.9% 1.4% 0.2% Biogen Idec Biotechnology 2.8% 0.2% 0.1%

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 Scope 3 Scope 1&2 30'793 4' '594 19'635 14'726 3'154 1' ' The graph below compares the total emissions (including Scope 1, Scope 2 and Scope 3) between portfolio and benchmark Scope 3 Scope 1&2 94'376 28' '420 52'993 *) 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. revenue) Av. Sector Contribution Oil & Gas Equipment & 3.8% 0.6% 2.5% ' Schlumberger 1.9% 0.3% 0.7% ' Halliburton Co 2.0% 0.2% 1.8% ' Integrated Oil & Gas 1.6% 2.4% 11.4% ' ' ' ' Exxon Mobil Corp 1.6% 1.3% 11.4% ' ' ' '567.5 Building Products 1.6% 0.5% 0.2% ' Johnson Controls International 1.6% 0.1% 0.2% ' Industrial Conglomerates 2.1% 1.6% 1.0% General Electric Co Com 2.1% 0.6% 1.0% Agricultural & Farm Machinery 0.5% 0.2% 0.3% AGCO 0.5% 0.0% 0.3% Environmental & Facilities 1.8% 0.3% 61.9% 2' ' ' ' Stericycle 1.8% 0.0% 61.9% 2' ' ' '231.5 Railroads 2.1% 0.8% 4.2% ' ' Union Pacific Corp 2.1% 0.4% 4.2% ' ' Hotels, Resorts & Cruise Lines 2.3% 0.5% 9.7% ' ' ' Carnival Corp 2.3% 0.1% 9.7% ' ' '923.1 Restaurants 1.3% 1.2% 0.2% Starbucks Corp 1.3% 0.3% 0.2% Cable & Satellite 2.2% 1.0% 0.4% Comcast Corp A 2.2% 0.7% 0.4% Movies & Entertainment 2.6% 1.2% 0.1% Twenty-First Century Fox (A) 2.6% 0.2% 0.1% Internet Retail 7.1% 2.5% 0.4% ' Amazon.com 4.8% 1.7% 0.3% '500.2 Priceline.Com 2.3% 0.3% 0.1% Food Distributors 0.5% 0.2% 0.4% Sysco Corp Com 0.5% 0.1% 0.4% Packaged Foods & Meats 2.4% 1.2% 1.2% MONDELEZ INTERNATIONAL 1.4% 0.2% 0.8% J.M Smucker 1.0% 0.0% 0.4% Personal Products 2.3% 0.2% 0.5% Unilever (USD) 2.3% - 0.5% Biotechnology 2.8% 3.0% 0.1% Biogen Idec 2.8% 0.2% 0.1% Pharmaceuticals 10.1% 4.0% 0.9% ' Bristol Myers Squibbco com 3.5% 0.4% 0.3% '065.3 Johnson & Johnson 2.9% 1.4% 0.2% Novartis ADR 3.7% - 0.4% '110.1 Life Sciences Tools & 2.1% 0.8% 0.5% Bio-Rad Laboratories 2.1% 0.0% 0.5% Diversified Banks 2.8% 4.4% 0.1% Bank of America Corp 2.8% 1.0% 0.1% Regional Banks 2.3% 2.3% 0.0% Bank of the Ozarks 1.2% 0.0% 0.0% Signature Bank 1.2% 0.0% 0.0%

9 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. revenue) Av. Sector Contribution Investment Banking & Brokerage 2.6% 1.1% 0.0% Goldman Sachs Group Inc 2.6% 0.3% 0.0% Internet Software & 7.9% 4.4% 0.5% ' Alphabet Class C 4.4% 2.3% 0.4% '332.7 Facebook 3.5% 1.5% 0.1% '128.0 IT Consulting & Other 1.8% 1.2% 0.4% Intl Business Machines Corp Com 1.8% 0.5% 0.4% Application Software 2.7% 1.4% 0.1% Salesforce.Com 2.7% 0.3% 0.1% Systems Software 7.1% 3.2% 0.1% ' Microsoft 4.0% 2.3% 0.0% '310.9 Oracle 3.1% 0.5% 0.1% Communications Equipment 1.8% 1.1% 0.1% Cisco Systems 1.8% 0.7% 0.1% Technology Hardware, Storage & Peripherals 4.2% 3.6% 0.0% ' Apple 4.2% 3.2% 0.0% '390.6 Technology Distributors 1.7% 0.1% 0.6% Avnet 1.7% 0.0% 0.6% Integrated Telecommunication 2.4% 1.7% 1.7% AT&T; 2.4% 0.9% 1.7% Others 5.3% 4.9% 0.6% ' Jones Lang LaSalle 2.5% 0.0% 0.2% Simon Property Group Inc 2.8% 0.2% 0.3% Total portfolio 91.7% 96.8% 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. 9

10 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 76 (n=4380) Peer Percentile 76 (Lipper Global Equity US, n=308) 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 10