Carbon report Ethos Aktiefond

Transcription

1 Carbon report Ethos Aktiefond Report created on: February 26, 2018 The carbon footprint provides a historic snapshot of the emissions from the companies that make up the fund s equity portfolio. The calculations are not comprehensive and do not include indirect 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 - Ethos Aktiefond 2

3 Carbon Report Ethos Aktiefond Report created on: Feb 26, 2018 Holdings Date: Dec 31, 2017 : SIX Return Index Currency: SEK Industry Classification: GICS Company Breakdown Metrics: carbon intensity (tco2e / Mio. Value: 1'699'070' SEK Fund Management Company: SEB Investment Management AB Executive Summary Carbon emissions Scope 1-2 Total carbon emissions incl. Scope 3 Relative Carbon Footprint (kgco2e / SEK 1'000 invested) Carbon Intensity (kgco2e / SEK 1'000 Weighted Average Carbon Intensity (kgco2e / SEK 1'000 Disclosing Titles by Weight (market value) 6' ' % 93.4% 8' ' % 95.3% Total carbon emissions - measure the carbon footprint of a portfolio considering Scope 1-2 as well as Scope 3 emissions. *) - Ethos Aktiefond is associated with greenhouse gas emissions of 6'047.2 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 SEK 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 33.0% lower than the benchmark The Sectors Industrials, Materials and Consumer Discretionary (per GICS classification) in the portfolio make up 50.9% of the weight vs. 78.5% of the contribution to emissions % Sector Weight 33.4% Contribution to 21.5% 35.9% 7.6% Industrials Materials Consumer Discretionary All other Sectors 0.0 Carbon Intensity Carbon 10.7% 6.7% 35.1% 5 smallest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / SEK 1'000 Invested) Systemair % 0.0 Nordax Group % 0.1 Hufvudstaden A % 0.0 Swedbank A % 0.0 Loomis B % largest contributors to the emissions of the fund are: emissions % of total Relative carbon footprint (kg CO2e / SEK 1'000 Invested) SCA B 1' % 49.5 Nobina % 91.7 Boliden % 13.2 Lundbergsf retagen B % 10.9 Stora Enso R (SEK) % 33.5 *) 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 - Ethos Aktiefond 3

4 Sector weighting and relative carbon footprint Weight Rel. Carbon Footprint tco2e / Mio SEK invested vs. Industrials 33.43% 30.60% % Materials 6.74% 4.36% % Consumer Discretionary 10.69% 11.18% % Consumer Staples 3.22% 3.21% % Financials 20.64% 25.97% % Telecommunication Services 4.67% 4.26% % Others 6.17% 4.05% % Health Care 4.70% 4.31% % Information Technology 2.82% 6.34% % Utilities 0.36% 0.01% % Relative Carbon Footprint Comparison Industrials Materials Consumer Discretionary Consumer Staples Financials Telecommunication Services Others Health Care Information Technology Utilities 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. 20% 10% 0% Aluminum Building Products Diversified Metals & Mining Diversified Support Services Construction Machinery & Heavy Trucks Forest Products Household Appliances Multi-Sector Holdings Others Packaged Foods & Meats Paper Products Renewable Electricity Specialty Chemicals Trucking Wireless Telecommunication Services 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 % % Consumer Discretionary % % Consumer Staples % % Health Care % % Financials % % Information Technology % % Telecommunication Services % % Utilities % % Others % % Total % % 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 Ethos Aktiefond harmed tco2e, while the stock selection saved tco2e versus the benchmark. This explains a 15.8% underperformance through sector weighting and 9.3% carbon outperformance by stock picking. Interaction Effect: % Total 6' '261.0 Carbon Underperformance 18.6 Carbon Underperformance (%) 1.7 Attribution Analysis - Graph 15% 10% 5% 0% -5% -10% 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 Ethos Aktiefond. 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 SCA B Forest Products 1.2% 0.9% 18.7% ' Nobina Trucking 0.5% 0.1% 15.2% Boliden Diversified Metals & Mining 1.9% 1.1% 7.9% ' Lundbergsf retagen B Multi-Sector Holdings 1.4% 1.1% 4.8% Stora Enso R (SEK) Paper Products 0.4% 0.2% 4.4% Scandi Standard Packaged Foods & Meats 0.4% 0.1% 3.8% SKF B Industrial Machinery 1.5% 1.2% 3.2% ICA Gruppen Food Retail 2.0% 0.9% 3.0% Electrolux B Household Appliances 1.5% 1.2% 3.0% Skanska B Construction & Engineering 1.6% 1.1% 2.9% Summary of 10 largest portfolio companies Company GICS Sub-Industry % of total Weight Carbon Data Analysis carbon intensity (tco2e / Mio. Av. Sector Contribution Nordea Diversified Banks 6.5% 6.0% 0.3% Atlas Copco A Industrial Machinery 6.4% 6.5% 0.8% Volvo B Construction Machinery & Heavy Trucks 4.7% 4.8% 1.6% ' Hennes & Mauritz B Apparel Retail 4.1% 4.2% 0.4% Swedbank A Diversified Banks 3.9% 3.3% 0.0% SEB A Diversified Banks 3.8% 3.2% 0.0% Svenska Handelsbanken A Diversified Banks 3.2% 3.3% 0.0% Sandvik Industrial Machinery 3.0% 2.7% 2.1% Assa Abloy B Building Products 2.6% 2.8% 1.2% ' Telia Company Integrated Telecommunication Services 2.6% 2.4% 1.5%

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& '572 2'121 5'116 2'168 2' ' ' The graph below compares the total emissions (including Scope 1, Scope 2 and Scope 3) between portfolio and benchmark Scope 3 Scope 1&2 12'939 5'926 18'188 8'114 *) 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 Specialty Chemicals 0.9% 0.4% 0.2% Hexpol 0.9% 0.4% 0.2% Paper Packaging 1.0% 0.4% 1.7% Billerud 1.0% 0.4% 1.7% Aluminum 0.5% 0.1% 1.2% ' GRANGES 0.5% 0.1% 1.2% ' Diversified Metals & Mining 1.9% 1.1% 7.9% ' Boliden 1.9% 1.1% 7.9% ' Forest Products 1.2% 0.9% 18.7% ' SCA B 1.2% 0.9% 18.7% ' Paper Products 1.3% 0.8% 5.4% ' Stora Enso R (SEK) 0.4% 0.2% 4.4% Holmen B 0.9% 0.6% 1.0% ' Building Products 4.5% 3.7% 2.1% ' Lindab International 0.2% 0.1% 0.4% Systemair 0.3% 0.1% 0.0% Inwido 0.5% 0.1% 0.4% Assa Abloy B 2.6% 2.8% 1.2% ' NIBE INDUSTRIER B 0.9% 0.6% 0.1% Construction & Engineering 2.7% 2.1% 5.6% Skanska B 1.6% 1.1% 2.9% NCC B 0.5% 0.3% 2.7% Sweco B 0.6% 0.3% 0.0% Electrical Components & Equipment 2.4% 2.0% 2.3% ABB (SEK) 2.4% 1.8% 2.3% Construction Machinery & Heavy Trucks 5.1% 5.0% 1.9% ' Volvo B 4.7% 4.8% 1.6% ' Concentric 0.4% 0.1% 0.2% Industrial Machinery 13.6% 12.9% 7.5% ' SKF B 1.5% 1.2% 3.2% Trelleborg B 1.1% 0.8% 1.1% Sandvik 3.0% 2.7% 2.1% Alfa Laval 1.5% 1.2% 0.4% Atlas Copco A 6.4% 6.5% 0.8% Trading Companies & Distributors 0.3% 1.3% 0.2% G & L Beijer B 0.3% 0.2% 0.2% Office Services & Supplies 0.2% 0.1% 0.2% ITAB Shop Concept 0.2% 0.1% 0.2% Diversified Support Services 2.1% 0.9% 0.8% Intrum Justitia 1.4% 0.6% 0.2% Bravida Holding 0.7% 0.2% 0.6% Security & Alarm Services 1.2% 1.2% 0.0% Loomis B 1.2% 0.4% 0.0% Research & Consulting Services 0.9% 0.2% 0.1% F B 0.9% 0.2% 0.1%

9 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution Trucking 0.5% 0.1% 15.2% Nobina 0.5% 0.1% 15.2% Auto Parts & Equipment 1.6% 1.5% 2.2% Autoliv SDB 1.6% 1.1% 2.2% Home Furnishings 0.7% 0.2% 0.6% Nobia 0.7% 0.2% 0.6% Household Appliances 2.5% 1.9% 4.0% Electrolux B 1.5% 1.2% 3.0% Husqvarna B 1.0% 0.7% 1.0% Leisure Products 0.9% 0.3% 0.1% Thule Group 0.9% 0.3% 0.1% Apparel, Accessories & Luxury Goods 0.8% 0.1% 0.0% Pandora 0.8% - 0.0% Apparel Retail 4.1% 4.2% 0.4% Hennes & Mauritz B 4.1% 4.2% 0.4% Home Improvement Retail 0.1% 0.2% 0.1% Byggmax Group 0.1% 0.1% 0.1% Food Retail 2.0% 1.4% 3.0% ICA Gruppen 2.0% 0.9% 3.0% Packaged Foods & Meats 0.4% 0.6% 3.8% Scandi Standard 0.4% 0.1% 3.8% Personal Products 0.8% 0.3% 0.5% Oriflame Holding 0.8% 0.3% 0.5% Health Care Equipment 0.1% 1.1% 0.0% Elekta B 0.1% 0.4% 0.0% Health Care Facilities 0.6% 0.1% 0.2% HUMANA 0.6% 0.0% 0.2% Biotechnology 2.2% 1.1% 0.2% Swedish Orphan Biovitrum 2.2% 0.5% 0.2% Pharmaceuticals 1.8% 1.3% 0.5% Astrazeneca SEK 1.8% 1.1% 0.5% Diversified Banks 17.6% 16.0% 0.4% ' SEB A 3.8% 3.2% 0.0% Swedbank A 3.9% 3.3% 0.0% Nordea 6.5% 6.0% 0.3% Nordax Group 0.1% 0.1% 0.0% Svenska Handelsbanken A 3.2% 3.3% 0.0% Multi-Sector Holdings 3.1% 9.0% 5.8% Lundbergsf retagen B 1.4% 1.1% 4.8% Kinnevik Investment B 1.7% 1.1% 1.0% Application Software 0.2% 0.1% 0.1% CLX COMMUNICATIONS 0.2% 0.1% 0.1% Communications Equipment 2.3% 2.8% 0.3% Ericsson B 2.3% 2.7% 0.3% Electronic Equipment & Instruments 0.3% 2.5% 0.1% Mycronic 0.3% 0.1% 0.1% Integrated Telecommunication Services 2.6% 2.4% 1.5% Telia Company 2.6% 2.4% 1.5% Wireless Telecommunication Services 2.1% 1.6% 3.0% Millicom International Cellular SDR 0.8% 0.8% 0.9% Tele2 B 1.3% 0.8% 2.1% Renewable Electricity 0.4% 0.0% 0.1% Arise Windpower 0.4% 0.0% 0.1% Others 6.2% 4.0% 2.0%

10 Weight Carbon Data Analysis Company % of total carbon intensity (tco2e / Mio. Av. Sector Contribution Hufvudstaden A 0.5% 0.4% 0.0% Castellum 1.9% 0.6% 0.1% Balder Fastighets 1.2% 0.6% 1.5% Kungsleden 0.8% 0.2% 0.3% Fabege 1.8% 0.4% 0.0% Total portfolio 93.4% 95.3% 100.0% 5.5 5' ' Note that the weighting for the benchmark will not always total 100% as the stocks shown are only for those held by the portfolio. 10

11 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 96 (n=4371) Peer Percentile 65 (Lipper Global Equity Sweden, n=51) The carbon footprint provides a historic snapshot of the emissions from the companies that make up the fund's equity portfolio. The calculations are not comprehensive and do not include indirect emissions. The metric says nothing about how the portfolio contributes a low-carbon society. For further information about the metric, see 11