Anthos Ri 2021 Final LR

Responsible
Investment Report
2020
1 ANTHOS FUND & ASSET MANAGEMENT RESPONSIBLE INVESTMENT REPORT 2020 PART 1 PART 2 PART 3 CONTENTS PREVIOUS BACK FORWARD
Over nearly a century, we have invested

based on a simple belief that we can
contribute to the common good.
We are a values-based and responsible
investor. We are motivated, as we
always have been, by the desire not
just to invest for financial returns but
to make a positive impact on the world.
In our first annual Responsible
Investment Report, we are proud
to show how we put our beliefs and
values into practice.
anthosam.com
CONTENTS
PART 1 PART 2 PART 3

Who we are How we invest Our investment approach in action
As a values-based investor, we are pleased to Our managers share our values and belief Good investment returns are
see others embracing the values we hold dear in investing for the common good sustainable returns
4A bout Anthos Fund 11 Introduction by 22 Equities

& Asset Management Jelena Stamenkova van Rumpt, 23 Fixed income
5 The issues we care about Director of Responsible Investment 24 Global real estate
8 Letter from Jacco Maters, CEO 12 A summary of how we invest 25 Private equity
9 Our investments at a glance 13 Our investment approach 26 Absolute return strategies
17 Matching our investments to our values 27 Investing for impact
20 Governance 29 Appendices
PART 1
Who we are
As a values-based investor, we are
pleased to see an increasing number
of strategies and investment managers
around the world embracing the
principles that we hold dear.
ABOUT ANTHOS FUND & ASSET MANAGEMENT
Doing well by doing good

We brought our
investment beliefs and
implementation together
in our first Responsible
Investment policy.
Anthos Fund & Asset Management is
part of COFRA, a diversified group
manager for the Brenninkmeijer family,
its philanthropies, and for pension funds
2018
We became a
of businesses that is part of the of COFRA group entities. We strive for signatory of the
UN-backed Principles
Brenninkmeijer family enterprise. Since a positive, lasting impact on society and for Responsible
our foundation in 1929, our approach the environment. Our people are driven Investment (PRI) and
the Dutch Climate
has been inspired by the family’s values: by the desire to meet the needs of today Agreement.
human dignity, sustainability and good without compromising the opportunities
corporate citizenship. We are the asset and needs of tomorrow.
2019
Anthos was founded to
invest the wealth of the
Brenninkmeijer family,
whose social values have
anchored our approach 2012 We made our first
1929
impact investments.
from the beginning.
We began to take a more

proactive approach to
2009 environment, social and

governance (ESG) issues
in our portfolio, beyond
‘negative screening’ for
companies we wanted
to exclude.
2020
We reported to PRI for the first
1841 Commemorating the founding of COFRA

time, scoring A for strategy and
governance. Also, we joined
Partnership for Carbon Accounting
by Clemens and August Brenninkmeijer,
Financials (PCAF) and supported the
whose initials named the C&A retail business.
Task Force on Climate-related Financial
Records show that dedicating a portion of
Disclosures (TCFD).
the profits to charity has been part of the
company spirit from the beginning.
THE ISSUES WE CARE ABOUT
Guided by our values

We have a long track record of outperforming investment
benchmarks while contributing to the common good. In this,
we are guided by three fundamental values: human dignity,
sustainability and good corporate citizenship.
Human dignity
We recognise the inherent worth of
every individual. Human dignity is a
basic human right: universal, inviolable
and inalienable.
The UN Guiding Principles on Business and

Human Rights (UNGP) is the framework we
use to safeguard human dignity and follow
the Universal Declaration of Human Rights.
In our investments, where we can, we
exclude weapons, tobacco, gambling
and adult entertainment, because of their
negative impact on human rights and human
dignity.
Our impact-investing mandate focuses on
themes that promote the value of human
dignity, including population development
and poverty alleviation.
THE ISSUES WE CARE ABOUT CONTINUED
Sustainability
We invest in ways that help people and
planet to thrive, today and tomorrow.
Climate change and pollution are among
today’s biggest challenges. We structure
our investments and select fund managers
to provide good returns while contributing
to a better world. By investing in
companies that are not just avoiding
harm but also creating value, we help to
preserve the planet for future generations.
Our equities and fixed income portfolios

outperform their respective benchmarks
on carbon emissions (see pages 22-23).
We have taken the first steps towards
formalising an approach to climate change,
setting an ambition for our own strategies
to be net zero by 2040. In 2021, we will set
targets for reducing emissions.
We are a signatory to the Dutch Climate
Agreement, members of PCAF and
supporters of TCFD.
THE ISSUES WE CARE ABOUT CONTINUED
Good corporate citizenship

We do all we can to understand
and enhance our own corporate,
environmental and social impact, and to
be a responsible investor by matching
our investment process to our purpose
and our clients’ aims.
We are a signatory to the PRI, and scored

A for strategy and governance in 2020.
In 2020, we measured our Scope 1, 2
and 3 greenhouse gas emissions (GHG)
to set a baseline. In 2021, we will use this
baseline to develop our ambition and set
reduction targets.
Our employee philanthropy programme,
All Good, makes it easy to support causes
and charities that are close to our people’s
hearts. Through the programme, employees
can make donations, and propose and take
part in events and volunteering.
FROM OUR CHIEF EXECUTIVE OFFICER
Contributing to the
common good
This means we must look for a return on financial a multi-generation asset manager, so we understand
investments, and also contribute to making the world the need to look beyond the horizon. We welcome the
a better place through our investment choices. This challenge to adapt to the emerging institutional and
sets the tone for others to follow and makes sure that regulatory structures of responsible investment. They
our investments match our values. let us share our story in a way that we hope resonates
with investors who are increasingly attuned to the
This dual mission informs everything we do, from how
idea that good returns and doing good are perfectly
we research and choose our investments and the fund
compatible. And they let us share our knowledge in a
managers we work with, to how we engage with them
way that helps us all raise the bar in our profession.
and assess their performance.
In 2020, we took several important steps. We
Striving for a positive impact introduced our new scorecard to assess our external
Everyone in the investment world will tell
fund managers and work with them to make
you that mandates are an important part A strong commitment to this mission is what drew
environmental, social and governance (ESG) an even
of their work. They embody the client’s me, like many of my colleagues, to join Anthos. It
bigger part of their approach. We assessed ourselves
is possible to seek financial returns and be just as
interests and wishes, and enshrine the asset along similar lines and, given our history at the
dedicated to taking responsibility for the world around
manager’s remit. For us at Anthos Fund us. It reminds us every day that whatever we choose to
forefront of responsible investment, set an ambition
& Asset Management, the Brenninkmeijer to underline our industry leadership in 2022. We have
invest in, there is an effect in the real world. We strive
also prepared ourselves for the new EU Sustainable
family values give us a very clear mandate: for that effect to be positive, helping communities
Finance Disclosure Regulation and its requirement
to aim to be a force for good in the world in to thrive and preserving the planet’s delicate natural
to report on how our investments take account of
what we do and how we do it. balance. And by investing, we can make that positive
sustainability and promote it.
outcome more likely today and for future generations.
Ours is a story nearly 100 years in the making, though
While we have always sought to invest responsibly
“Whatever we choose at Anthos, we are witnessing a sea-change in our
until now it has been a family story. It is now time to
share it with a wider audience. And it is time to look
to invest in, there’s an industry. Awareness is growing of the positive role
investment can play and we are pleased to see
forward to an exciting future as we evolve our ways
effect in the real world.

of working and look to make an even more positive
investors embrace the principles that we hold dear.
impact with our investments.
We must make that a Sharing our story with new audiences Jacco Maters
positive one.” This trend also makes fresh demands on us to
CEO
continue to look forward and evolve. After all, we are
OUR INVESTMENTS AT A GLANCE
A diverse,
global portfolio
Our portfolio includes equities, fixed
income, global real estate, private equity
and absolute return strategies. We also
engage in impact investing to look for
Portfolio by asset class
specific social and environmental returns.
And we invest around the world, in both Equities 45.1%
Fixed income 26.8%
developed and developing markets. Global real estate 5.4%
Private equity 5.3%
Absolute return strategies 13.0%
Investing for impact 1.1%
Other 3.2%
Memberships
Global Impact Investing Clean, Renewable and
Network (GIIN) Environmental Opportunities (CREO)
– family office investors
DATA TBC
Direct and indirect investments Segregated mandates Developed, emerging

Partnership for Carbon Principles for Responsible Direct 12.8% and funds and frontier split
Accounting Financials (PCAF) Investment (PRI) Indirect 87.2% Direct allocation 9.1% Developed 85.7%
Segregated mandate(s) 37.5% Emerging 13.0%
Pooled fund(s) Frontier 0.3%
or investment(s) 53.4% Other 1.0%
PART 2
How we invest
Our managers share our
values and belief in investing
for the common good.
INTRODUCTION
Adding rigour ESG is the industry’s way of recognising that

investment risks and returns are about more than
set
up governance in line with TCFD
recommendations and prepared to report accordingly
to instinct
financial performance. Taking account of these issues created an ESG scorecard to give us an overview of

makes the investment industry better at what it does. our managers alongside our PRI reporting
reported for the first time to the PRI, scoring A for

Our commitment to responsible and values-based
ESG integration in strategy and governance, and
investing goes back many years. Even so, our guiding
created our first ’State of Play’ report for clients.
values map clearly on to ESG: our commitment
to sustainability is the ‘E’, our concern for human We also started to prepare for the EU’s Sustainable
dignity is the ‘S’, and the importance we give to good Finance Disclosure Regulation (SFDR). This means
corporate citizenship and governance is the ‘G’. we will report on these matters (including at financial
product level):
Building further on strong foundations how we integrate sustainability risks into our

investment decision-making process
Our Responsible Investment (RI) policy, along with
our due diligence policies on the main adverse

updated processes, tools and structures, add rigour
sustainability impacts of our investment decisions
and a systematic method across the whole investment
how our remuneration policy integrates

Responsible investment has become a cycle. They make us consistent across asset classes
sustainability risks.
field with its own evolving language and in the way we choose our external fund managers,
conventions around ESG issues. There is engage with them and measure how they perform.
Managing our impact
We are continuing to improve reporting on how
a clear need to continue clarifying and
our investments perform and match our values and Regulation like SFDR will mean that asset managers will
codifying the basics. We have come a long ambitions. This gives us a backbone of consistent not just be able to say their investments are sustainable.
way by working with voluntary and industry- practices across Anthos to go alongside our tried and They will have to show that they are. For us, this is a
wide initiatives like the PRI, Global Real tested approach as responsible investors. really positive development that makes our efforts to
Estate Sustainability Benchmark (GRESB) In 2020, we focused on developing and implementing
further institutionalise what we do all the more important.
and Impact Management Project (IMP). New To manage our impact we first need to understand it.
our approach to climate change, enhancing our
EU regulation is now taking the next step In 2020, we adopted the Impact Management Project’s
manager selection process and due diligence, and
‘ABC’ framework to map all our investments, based
to improve transparency and understanding improving our reporting to clients. We also:
on whether they avoid harm, benefit stakeholders or
across the industry. obtained data showing that our listed equity and
contribute solutions (see page 14). The framework maps
fixed income investments outperform benchmarks
to the SFDR’s reporting categories, which will help us
“We’re evolving our on greenhouse gas emissions
build products and select funds that fit our ambitions –
set up a cross-functional Climate Change Advisory
approach in ways that will

and our clients’. In 2021, we are fine tuning this to fit in
Group and defined the responsibilities of our board
make us even better at
with our ESG scorecard and due diligence, and will use it
and the management team to provide guidance, and
to select investments and set our ambition for impact.
turning our values into the set our ambition and commitment to contribute to
reducing climate change Jelena Stamenkova van Rumpt
right investment outcomes.” Director of Responsible Investment
A SUMMARY OF HOW WE INVEST
Our Matching our Governance

approach investments to
our values
Reliable method, Looking for like-mindedness Holding ourselves to account
responsible results

Investing in externally managed
Investment teams guided by common
Developing a more structured and
strategies, diversified across asset principles for integrating ESG robust approach to RI governance
classes, to spread risk and produce through our Steering Committee,
positive outcomes in as many areas
Choosing and monitoring our project working group and
as possible managers based on two objectives: a focused sub-groups
better portfolio and a better world

A responsible approach to investment,
Being a responsible
mapped against the Impact Management
Influencing corporate behaviour employer and integrating
Project’s ‘ABC’ framework through stewardship sustainability-related
measures into remuneration

Signatories to key external frameworks, and incentives.

Exclusions as a last resort.
including PRI and GRESB

ESG scorecard for rating our managers,
and ourselves.
See pages 13-16 See pages 17-19 See page 20

OUR INVESTMENT APPROACH
Reliable method,
responsible results
We are an indirect asset manager. Our approach is diversified across asset What responsible investment means to us
This means we invest largely in classes, including equities, global real
Our portfolio is a blend of:
external managers’ funds. In turn, estate, fixed income, private equity
and absolute return strategies. We also Responsible
Sustainable
Impact

this means we and our clients
engage in impact investing to look investment: investment: investment:
benefit from the experience, for specific social and environmental we choose managers we look for managers we choose managers
instincts and methods of some of returns. And we invest around the world, based on how they who go a step beyond who invest positively
the world’s best asset managers in both developed and developing integrate ESG, how basic ESG to have to make an impact
across multiple asset classes. markets. We do this in various ways, they engage with a positive effect on in line with the
Also, by being part of bigger from taking clients’ instructions to invest companies they issues like climate UN Sustainable
in specific assets to acting as their invest in and what change and the Development
funds, we enhance our overall
Outsourced Chief Investment Officer their voting record transition to a low- Goals (SDGs), from
impact by using our influence to (O-CIO). is. We also exclude carbon economy. alleviating poverty to
contribute to the common good. investments from reducing inequality. As
Our broad-based approach helps us
specific sectors well as investing mainly
spread risk across our portfolio, while
(see pages 17-19). in funds, we also invest
also enabling us to use our influence to
directly to support
produce positive outcomes in as many
these goals.
areas as possible.
Our investment policy enshrines our belief that good investment returns are
sustainable returns, and that capital – invested in the right way – contributes
positively to society and the environment.
OUR INVESTMENT APPROACH CONTINUED
Mapping our investments are safeguarded and their managers or protecting the environment. These
leaders from laggards. For instance,
engage to make sure they are are often measurable, or the fund at
leaders often do much more than simply
In 2020, we built on this thinking by
mitigating their negative impact. least has an ambition to track and
have an RI policy. They engage with,
using the Impact Management Project’s
report impact. monitor and report on investees and
(IMP) ‘ABC’ framework to map all our Benefit stakeholders integrate both material ESG risks and
investments. The framework assesses Investments that, as well as acting The IMP norms allow us and our clients
negative impacts on human rights or the
which investments ‘may do harm’, then to avoid harm, also have objectives to have a strategic view of their portfolio
environment. Some of our investments
categorises the others into three groups to contribute to a specific theme and discuss the impact they want it to
are also in the ‘may cause harm’
that broadly match our responsible, but are not yet able to fully measure have. They give us transparency and
category. A large part of this is from the
sustainable and impact categories or report on the impact. These have an opportunity to match investments
absolute return strategies asset class,
explained on page 13. the potential to become impact with ambition. They also help us map
where a lack of transparency makes
investments. our products to the SFDR’s reporting
Act to avoid harm ABC mapping uncertain. We also have
requirements.
Investments that have an RI policy Contribute to solutions some long-standing illiquid investments.
score well on our ESG scorecard Investments that aim to contribute to Our mapping shows, unsurprisingly, that But this insight gives us an opportunity
(see page 15) because they integrate solutions by investing in businesses our investments fall mostly into IMP’s to improve, and the categories give our
ESG in their investment process. that use all their capabilities to solve ‘Act to avoid harm’ category. Using our investment managers clarity on what
These investments have exclusions to social or environmental problems, like ESG scorecard, we add nuance to this kind of strategies we favour.
make sure that minimum standards helping under-served communities, very large category by differentiating
Act to avoid harm

May/does cause harm Benefit stakeholders
Currently we have mapped about 85.8% of our total Contribute to solutions
portfolio. The 14.2% not mapped represents government
0 Purely financial goals 14.1% bonds and legacy vehicles. 14.1%
1 Signal that impact matters 0.1% 8.6% 0.1% 8.8%

Signal that impact matters
2 + engage actively 55.1% 3.4% 4.0% 62.5%
3 + grow markets 0.3% 0.3%
4 + engage; + grow markets
5 + grow markets; + flexible capital 0.1% 0.1%
Total 14.2% 63.7% 3.5% 4.4%

This ‘ABC’ framework, now increasingly Following through on our beliefs Scoring our managers
popular with asset managers, is based
To help us turn our commitment to The PRI and GRESB are the basis for our ESG scorecard, which we started to
on one we developed ourselves to guide
investing for the common good into the implement in 2020. It is a tool to help us be consistent all the way through our
our own approach to impact investing.
best possible, measurable outcomes, we relationship with our managers, plotting progress in every part of integrating
We are pleased to see it becoming more
have used other external frameworks to ESG on four levels: laggard, novice, professional and leader. From our initial
prominent in the investment world, and
structure and assess what we do. For ESG scorecard assessment of our assets under management (AUM), we found
to map our investments back to it.
instance, our belief in the fundamentals that 91.2% are invested in funds controlled by managers who are a ‘leader’ or
This will become an increasingly of responsible investment made ‘professional’ (see pie chart).
important tool in assessing the it a natural step for us to become
The assessment covers:
outcomes our investments achieve. signatories to the PRI in 2019. In their
In impact investing it also helps us focus on making ESG part of investment Policy, governance ESG integration Monitoring, active
engage with managers, for instance decisions, ownership and reporting, and leadership ownership and reporting
on what is really creating impact as the principles offer useful guidance
a ‘C’ and what it will take to move an for standardising and improving our Leaders have a clear Leaders can show how Equities leaders engage
investment from ‘B’ to ‘C’. approach across our asset classes. culture and purpose, they integrate ESG on improving transparency
corporate social through a systematic and corporate strategy.
As well as echoing our values, the PRI responsibility reporting process that they can Private markets leaders
help us speak our industry’s emerging standards, and RI policy report on. They also set ESG performance
RI language, which brings several at corporate and asset discuss screening with goals with investees,
advantages. They are a way to frame class level, with board clients, and have reliable based on documented
our activity, like choosing our fund oversight and strategic systems for assessing KPIs. Leaders can show
managers and engaging with them. And targets. They also material ESG issues. They how they connect
reporting to the PRI helps us see where have staff dedicated to have a formal human underlying assets to ESG
we stand relative to our industry. In ESG, and evaluate staff rights policy and can performance. They also
global real estate, we also use the Global and management on show how they implement compile greenhouse gas
Real Estate Sustainability Benchmark ESG performance and it. They report on data and ask companies
(GRESB) in this way. leadership, with key sustainability issues that to report in line with
performance indicators affect their investments, standards like TCFD
(KPIs). They train as well as society more and GRESB. Reporting
staff to recognise and broadly, and they look includes detailed
manage ESG risks and for specific positive explanations by asset
Total portfolio ESG scores (%AUM)
opportunities, and engage outcomes for people and class and expected ESG
Leader 59.5%
Professional 31.7% with the industry and planet. impacts, and outcomes
Novice 8.5% invested companies. from investment decision
Laggard 0.3% criteria.
The scorecard helps us in the early Practising what we preach As soon as we started to use the
stages of due diligence and choosing
managers, through to assessing how
We also make sure that what we expect
scorecard, managers responded
from others, we practise ourselves.
thorough and effective they are in
making ESG part of their work. This
To score our own work and plot our positively. It has created a new
conversation between our teams
progress, we use a framework similar
highlights ways in which we can help
to the ESG scorecard, informed by the
them improve, and assess how they are
progressing.
PRI framework, the OECD guidelines for and our managers. It has confirmed
institutional investors, and the GRESB
It lets us go beyond simple ‘yes/no’ framework. It covers: the strengths of some we had
answers and gives a thorough
understanding of how managers see

RI in policy and strategy
RI governance and resources
already chosen and revealed that
ESG and use it. The scorecard is a tool ESG integration some were more advanced on
ESG than we thought.
to standardise what we do and frames monitoring, engagement and voting
our conversations with managers, and it industry initiatives, collaboration and
gives our managers clarity about what communication
we want to see and how to deliver it. reporting/transparency.
This means we both benefit.
This gives us a clear idea of where we
The scorecard allows us to have more need to improve and what objectives
focused conversations, and tells us to set ourselves. In 2020, we achieved
which managers need most help and ‘professional’ in all these categories,
more regular engagement. It also except monitoring, engagement and
creates a way for managers to learn voting. And by 2022, we aim to reach
from each other as good practice the ‘leader’ level across the board.
emerges.
MATCHING OUR INVESTMENTS TO OUR VALUES
Looking for Our values
like-mindedness
Human dignity Sustainability Good corporate governance
All our investment teams Making ESG part of our investments Our ESG scorecard gives us early strategy, process and engagement. We
use their own judgement insights into where managers’ processes expect this to lead to a better portfolio
We invest mainly through external funds,
and methods to assemble and policies might fall short of what we and a more stable financial return.
so selecting like-minded fund managers,
are looking for. For instance, a manager
and manage their portfolios, and then monitoring and engaging with A better world – decreasing the main
might have an RI policy, but not be able
but they all share common them, is a crucial part of how we keep
to demonstrate how they implement it
negative impacts in our portfolio, and
principles when it comes ESG issues central to our work. creating a more positive impact through
through detailed reporting. By spotting
engagement. Most of our investments
to making ESG part of this early, we can engage constructively
Choosing fund managers are through pooled funds, but we still
investments. before selecting a manager to
want to take responsibility for their
We select fund managers based on encourage the change we want to see,
potential and actual adverse impacts.
factors including their investment making investment more likely.
This is linked to our ambition to follow
process, how their investments have
the OECD Guidelines and the UNGPs.
performed and their costs. But just as Stewardship: engagement,
As well as minimising negative impacts,
important is their commitment to ESG monitoring and voting
we aim to have a positive impact on the
issues. Our ESG scorecard is a new
Our engagement has two main world by engaging in specific topics in
part of our due diligence process in
objectives: line with the SDGs, and our values.
assessing fund managers.
A better portfolio – influencing financial We engage with:
In this process, we also ask managers
markets to better embed material ESG
to follow our RI policy or explain why fund
managers, based on our
risks in the investment process. We
they can’t. We look for managers with ESG scorecard
believe that ESG issues can be financially
an RI policy and an investment process
material and need to be considered in companies
and policy makers
that takes ESG factors into account.
a systematic way. We aim to influence through external service providers
We also look at engagement and voting
our managers to improve transparency
records. And ideally, our managers will clients
and stakeholders.
and ESG integration in their investment
be PRI signatories.
MATCHING OUR INVESTMENTS TO OUR VALUES CONTINUED
Our managers are closer to

the real economy, where we
want to see change happen.
Selecting managers that take
into account both sustainability
risks and opportunities in
For our actively managed fund the reporting improves and becomes
investments, we engage with our external specific enough for us to compare and a meaningful way is key to
managers, and our managers engage and aggregate their results.
vote with the invested companies.
our investment process.
Engagement themes
By February 2021, about half of our
equities managers were able to report for Most of our external managers focus
2020 on the strategies we invest in. This engagement on financially material
included environmental supply chain, companies before voting in
is an improvement on previous years, issues or sustainability risks. Some of
GHG reduction, TCFD reporting, Annual General Meetings (AGMs).
when most would be able to report only these overlap with principal adverse
environmental policies, alignment to Engagement themes match the
on a firm level. For fixed income, we see impacts, like climate change or
Paris Agreement targets and climate AGM agenda: board structure,
improvement in engagement reporting, labour practices. While it is difficult
strategy. general governance and accounting,
though it is still in its infancy and this to aggregate and report on precise
shareholder rights, say on pay/
is why we are improving our own numbers of engagements, we have Social:
about 600 engagements
remuneration, and also more ethical
engagement on this topic. collated a qualitative assessment were on issues including COVID-19,
issues, like anti-corruption, diversity
showing the most common topics, diversity and inclusion, labour
and culture.
Monitoring our managers’ and giving us an overview of voting practices and health and safety.
engagement and voting activities. Most of the focus was on financially
Voting through our external managers
material social risks, as well as
Our managers’ engagement and voting Managers engaged roughly 5,500 times
principal adverse impacts from Voting is only relevant to equities, and
on sustainability risks and adverse on different levels, with many of the
modern slavery, child labour and all our external managers have policies
impacts adds substantially to our same companies.
community rights. and well-developed governance around
impact on the world and makes us a
Environment:
roughly 1,500 it, mostly voting through proxy service
more active owner of assets. All our Governance:
about 1,000
engagements were on topics such providers. They voted in about 15,000
external managers have well-developed engagements were on governance,
as climate change and environmental meetings in 2020.
policies for engagement and voting. historically a common theme,
pollution. More specific topics
We engage with them to make sure as many managers engage with
MATCHING OUR INVESTMENTS TO OUR VALUES CONTINUED
Reporting still varies. The best managers The most common voting topics, and Excluding investments international standards, in line with our
report in more detail with overviews the biggest sources of votes against values of human dignity, sustainability
Responsible investors face a choice.
specific to the strategies we invest management, were: director elections, and good corporate citizenship, we
They can withhold investment from
in. The less developed approach is executive pay, mergers, non-salary aim to exclude or avoid companies with
companies whose business conflicts
a quarterly report combining all the compensation and preferred shares. exposure to these industries beyond a
with their values or detracts from the
separate votes for each company, level we can tolerate:
Engagement and voting are most outcomes they want. Or they can invest
without a contextualising summary. We controversial weapons
common in the US, followed by Europe, knowing this conflict exists and try
believe this will improve. Most proxy conventional weapons
Asia and Australia. to steer the company towards more
voting guidelines are informed by the gambling
sustainable conduct.
ICGN Global Corporate Governance tobacco
Voting directly
Standards and the OECD Principles of We believe that to bring about adult entertainment.
Corporate Governance, and take local Direct voting only applies for clients the change we want to see in the
When investing in pooled funds in
market standards into account. who invest in a segregated mandate. world, we should not strive to keep
some asset classes, it might not be
We provide voting for them through a our portfolio clean just by avoiding
The reports tell us that, on average, possible to exclude these fully. But we
proxy service. Sometimes our clients investments in areas that don’t
managers voted for management do monitor them and engage with our
have a direct relationship or organise this match our values. This is why we see
proposals in 87% of cases and against in managers to keep them to a minimum.
through the external manager responsible exclusion as a minimum standard
13%. We will discuss the outcomes with Also, we ask managers to consider
for the mandate. The voting guidelines reserved only for issues that we
the managers who differ from this trend adding our exclusions to their product
are always in line with the Dutch feel that we cannot change through
to understand their reasoning. exclusion list or, in the case of private
Stewardship Code, and standards that engagement, or as a last resort once
equity, providing an excuse clause in
we set with our voting service provider. we have done all we can to make
the side-letters before investment.
ESG part of an investment. Following
GOVERNANCE
Holding ourselves
to account Steering
Committee
Project
working group
Focused
sub-groups
Chair
Head of Investment Department
Membership Membership Membership
The values we apply to our Our governance structure Management Team, Director of Director of Responsible Different teams, depending
investments are just as relevant In 2020, we established a more
Responsible Investment, Head of Investment, Project Lead, on the subject matter.
Investment & Strategy Research, delegates from each
to how we govern ourselves. structured approach to our RI and Project Lead (for all RI plans). Anthos team.
As part of adding rigour and governance, to help make sure we Role Role Role
method to our investment apply our principles consistently
Maintains oversight of RI Monitors, manages and drives
Sustainable Finance
across the whole of Anthos. The planning implementation of the RI plan Disclosure Regulation (SFDR)
practices, we are doing
Sets strategic RI objectives, for the year
Climate Change Advisory
Steering Committee, chaired by the
the same with our internal and decides on and approves Advises on policy and goals. Group
Head of our Investment Department, RI policy and related position
Impact Committee
governance. This includes our is supported by a project working papers.
Sustainability at Anthos.
approach to remuneration, group that monitors, manages and
where we are streamlining drives implementation of our RI plan A responsible employer into the KPIs for our investment
arrangements so that our RI and advises on policy and goals. professionals:
We include a statement in all our job
principles are reflected in how The working group comprises the RI
postings committing us to diversity, Be
ahead of the curve in
we reward our people. Director, project lead and delegates
equity and inclusion. We check implementing RI as part of overall
from each Anthos team. The Steering
our job description language and portfolio construction
Committee is supported by various
requirements to make sure they are
sub-groups convened around Contribute
to our Multi-Asset Impact
inclusive and equitable.
emerging issues. fund to generate ideas and assess
opportunities
Including responsible investment
in remuneration Contribute
to integrating
climate change, ESG and impact
We have a remuneration policy in
considerations into multi-asset
line with the relevant EU regulation.
portfolio construction and investment
As part of our incentive scheme and
strategy implementation.
remuneration policy, we have integrated
these sustainability-related measures
PART 3
Our investment
approach in action
We believe that good
investment returns are
sustainable returns.
Equities
Equities accounts for 45% of Anthos’ assets under
management. That makes it our biggest asset class.
Robert Helderman Boudewijn de Haan
Managing Director Managing Director
Equities Equities
To contribute to being a force for Engaging with managers “ Responsible investors must always think “ ESG has figured in our investment
good, we invest responsibly and carefully about what they will and will not approach since well before it became
Engaging with managers is crucial. invest in, and where possible conflicts with part of investment industry language.
sustainably. We rely largely on external
And by documenting all our engagement their values lie. On the whole, we would Because we have always used it to
fund managers. So the choice of those
meetings, we resolve issues more rather influence a fund by investing in it. If assess investment risks and returns,
managers, and how we engage with
quickly. That might mean making ESG it means an energy company speeds up its we have been early investors in some
them, is critical.
a bigger factor across managers’ funds, transition from fossil fuels to renewables, important funds, including Hermes
When we choose managers, we are or improving their reporting. we have had a bigger positive effect as an Impact Opportunity Fund, Generation
very specific about three things: their investor than if we had turned our back. Global and the Morgan Stanley Global
We are seeing some telling results. Sustain Fund, as well as the Ninety One
investment process, how they treat
For example, our equities portfolio In 2020, a fund manager launched a Global Environment Fund. Now that
ESG in their portfolio, and their costs.
out-performs MSCI benchmarks for sustainable fund after taking our feedback. understanding of ESG has evolved, there
We look for evidence that the process We switched to it from another of their
carbon emissions and carbon intensity are even more possibilities to combine
is repeatable and consistent, and that funds. They took most of our exclusions
by capital invested. We are less looking for good returns with seeking a
there is continuity independent of into account, but kept one. Later in
exposed to sectors with higher carbon positive impact on the world.”
individual team members. Also, we look the year, they made the one remaining
intensity, like energy and consumer
at the track record when it comes to exclusion too.”
staples, and more exposed to those
investment returns. All our managers
with low intensity, like IT. We are also
are PRI signatories, with an average
less exposed than the benchmark to PRI scores
rating of A. This makes it more likely
climate risks associated with stranded
that they have an RI policy and that Strategy and Listed equity – Active Active ownership Active ownership
assets and the transition to a low- governance incorporation ownership – engagement band – (proxy) voting band
A+ A+ A+ A+ A
ESG issues will be a factor in their
carbon economy, and more exposed to
investment process and how they
companies looking for solutions.
build their portfolios.
IMP categorisation Strategies PRI signatories (% AUM) Total carbon emissions (Scope 1+2) (ktCO2e)
Portfolio (equities excl. infra) 165.4
May cause harm 0% Active – quantitative 6.5% PRI signatories
Act to avoid harm 85.6% Active – fundamental 52.7% 100% Benchmark (MSCI world) 258.9
Benefit stakeholders 5.4% Active – infrastructure 4.5%
Contribute to solutions 7.7% Passive 36.3% Carbon intensity (tCO2e/EUR sales)
Out of scope 1.3% Portfolio (equities excl. infra) 139.4
Benchmark (MSCI world) 182.5
Carbon metrics ©2020 MSCI ESG Research LLC. Reproduced by permission.

Fixed income Hicham Zemmouri Rochdi

Managing Director
Fixed Income
The overwhelming majority of our fixed income portfolio is aligned with our RI
policy. It is invested through managers with an ESG policy that we see as effective, “ Engaging with our managers is important,
or through mandates with customised RI benchmarks using exclusions. especially in this asset class, as bond
holders do not have the same influence
over companies as shareholders. This
All our listed fixed income managers effective direct comparison between Outperforming benchmarks makes it even more vital to choose
are PRI signatories, with an average managers and their practices. managers with an approach that is in
By focusing on RI principles and ESG
score of A+ for governance and A step with our values.”
Approximately 3% of the portfolio is risks in our approach, we ultimately aim
on implementation. In 2020, our ESG
invested with managers in the IMP to produce good financial returns in the
scorecard added a new dimension
category ‘Benefit stakeholders’. Not medium to long term. Sustainalytics
to how we select and assess our
only do they integrate ESG in their concludes that the ESG risk in our Rodrigo Araya Arancibia
managers and engage with them using Managing Director
investment process, their investments listed investments is 18% lower
a structured approach. It means we can Fixed Income
have objectives to contribute to a than its benchmark. Also, our listed
look closely at how their ESG policies
specific theme, but are not yet able to holdings outperform the Investment “ Being a force for good through our
work in practice and translate them into
fully measure or report on the impact. Grade benchmark for climate impact, investments is both a challenge and
investment decisions and risk analysis. an opportunity. A blanket exclusion
Their strategies focus on climate measured in carbon emissions and
This has been a big help to us. It change and social goals, alongside carbon intensity. So there are social and policy undermines returns and stops us
has made our methods and analysis active engagement. environmental returns too. bringing change through engagement.
This is why we prefer to work with
consistent, as well as allowing a more
managers who share our ethos and
work towards the same goals.”
PRI scores Total carbon emissions (Scope 1+2) (ktCO2e)

IG portfolio 25.1
Strategy and Implement Active ownership
Barclays EU Aggregate Corporate Index 52.1
governance
A+ A A
Carbon intensity (tCO2e/EUR sales)
IG portfolio 134.5
Barclays EU Aggregate Corporate Index 224.7
IMP categorisation Strategies PRI signatories (% AUM) Total carbon emissions (Scope 1+2) (ktCO2e)
HY portfolio 106.8
May cause harm 0.8% Sovereign bonds 57.0% PRI signatories
Act to avoid harm 64.7% Corporate bonds 100% Barclays Global Aggregate HY Index 117.0
Benefit stakeholders 3.1% (High Yield) 22.0%
Contribute to solutions 0.0% Corporate bonds Carbon intensity (tCO2e/EUR sales)
Out of scope 31.4% (Investment Grade) 21.0% HY portfolio 338.6
(government bonds and cash)
Barclays Global Aggregate HY Index 358.3

Global real estate John Linck

Managing Director
Global Real Estate
Real estate is a vital part of responsible investment.
It meets basic social needs, from affordable housing “ESG is rapidly gaining ground with real
to offices or shopping centres. estate managers. All our managers are
including ESG considerations more and
more in their investment approach and in
Through design, planning and Tracking our ESG performance Our ESG scorecard is a key part of their reporting. We can’t take sole credit for
architecture, real estate can improve choosing and engaging with managers. this, because other investors engage too.
ESG measurement and monitoring is
the fabric of urban environments and We use it in our due diligence, and to But our activity is part of the reason why
an important way to control investment
make cities more livable. Buildings have track goals and any gaps in their ESG managers have to be able to show they’re
outcomes. We joined the GRESB in really committed to ESG.”
an environmental impact through the approach, as well as reviewing the
2018 to access reliable data on the ESG
energy and resources it takes to build, fund’s results.
performance of our underlying assets.
run and travel to and from them. These
We also use GRESB participation in our Around 10% of the portfolio is
all contribute to emissions. Buildings
side-letter to would-be managers. invested in countries where ESG is Robert Lie
can also have an impact on wellness.
less developed, like India and Vietnam. Managing Director
GRESB benchmarks score the portfolio Global Real Estate
As investors, we are accountable for Here, we pay more attention to social
for RI. Percentage scores are an overall
that positive or negative impact. We can issues. For instance, before investing
measure of ESG performance, and our “ESG helps us to be a responsible real
be involved in real estate in more ways in development projects, we will visit
overall portfolio score exceeds the estate investor and a force for good. It also
than before, by backing anything from construction sites to see that they makes business sense. A more sustainable
GRESB average. So do our scores for
student accommodation and housing are safe, well organised and use no building is more attractive to tenants and
implementation and measurement, and
for the elderly to medical facilities. Each child labour. investors. Such a building is more likely to
management and policy. Of our fund
investment is a chance to contribute to be futureproof because it anticipates future
investments, around 75% are invested
a positive, responsible outcome. regulations and taxation. So responsible
with GRESB participants and almost
investing supports financial objectives.”
Around 33% of our portfolio is directly 67% with PRI signatories.
invested in buildings, and 67% is
invested in non-listed or private real
estate vehicles.
IMP categorisation Strategies PRI signatories (% AUM) GRESB scores of our external managers
May cause harm 9.9% Direct real PRI signatories Overall score Management score Performance score
78/100 28/30 50/70

Act to avoid harm 45.5% estate 33% 67%
Benefit stakeholders 0.0% Indirect real
Contribute to solutions 0.0% estate 67%
Not mapped 44.6%
GRESB average: 70/100 GRESB average: 27/30 GRESB average: 49/70
Private equity Steven van de Wall

Managing Director
Private Equity
Private equity is a lifeline for innovation. It can be the catalyst for new ideas and
technologies that answer unmet needs, or improve what a business already does. “ We want to create value by focusing on
Investing can move businesses forward, as well as society as a whole. the financial issues that matter, while at the
same time being a responsible investor. We
see our managers as partners in pursuing
The vast majority of our portfolio is Managing risk, seeing opportunity While only around 24% of our managers this, and work with them to make ESG a
invested through funds where, through are PRI signatories, the number of PRI bigger factor in their investments.”
ESG is important to us when we
side-letters, we exclude sectors in line signatories in private equity is growing.
choose investments. ESG factors can
with our exclusion policy, like weapons, The larger funds were the first movers.
help mitigate risks in a private equity
tobacco and adult entertainment. We And, encouraged by investors, smaller
portfolio, as well as reveal opportunities.
invest mainly in EUR 250m-600m mid- ones are following suit, especially in
These could be companies involved
market buy-out funds, in global or Europe. For us, this is a sign that private Engaging with managers more widely
in creating solutions to sustainability
developed markets, and have some equity is beginning the move towards RI. is also becoming more important, and
challenges or ones that are managing
exposure to distressed credit funds and is starting to yield results. For example,
their climate risks well. The IMP categorisation chart below
special situations funds. Our managers one of our managers recently announced
shows a large amount of funds in the
invest in businesses with positive We use Sustainalytics sector ESG they intended to start a new fund, and
‘may cause harm’ category. This does
earnings and the potential to scale up, risk ratings to see if investments are while returns on their existing funds were
not mean that they are necessarily
become leaner or improve in other ways. potentially exposed to ESG risks that good, we were concerned about the lack
causing harm, rather that they have
could affect returns. Then our ESG of a strong ESG proposition. As a result
We like operationally-focused managers not yet vocalised any intention beyond
scorecard helps us see how their ESG of our engagement, the manager created
with a solid track record in segments financial return and level of risk.
practices and RI policy manage those and implemented an RI policy and will
where they can find a premium. At this
risks. We also use the scorecard to work Our mapping and ESG scorecard from now on give much more attention
moment, we are particularly interested in
with managers on how to protect value analysis shows that these funds to ESG-orientated investing. This means
managers who target companies that do
and enhance returns. will need to ramp up their efforts in we will now also invest in their new fund.
not have asset-heavy balance sheets, for
formalising and professionalising their
instance in IT and healthcare.
RI intention and work. This is something
we are engaging with them on.
IMP categorisation PRI signatories (% AUM)
May cause harm 52.0% PRI signatories 24%

Act to avoid harm 29.3%
Benefit stakeholders 0.0%
Contribute to solutions 0.5%
Not mapped 18.2%
Absolute return strategies Reinoud van Ieperen Bokhorst

Managing Director
Absolute Return Strategies
We want to achieve exceptional investment performance while incorporating
RI principles and integrating ESG considerations at both the overall portfolio “ Managers of absolute return strategies
level and with all our external managers. are becoming much more open to
incorporating ESG into their work, and see
us as partners in making these changes.
Our portfolios include allocations to Capitalising on a changing mood enhance their reporting and run their While reporting is the toughest challenge,
ESG-focused strategies that are designed portfolios using systems that provide some of our biggest successes have
We will selectively support launches
around important environmental and data on ESG issues. come with managers creating responsible
of new ESG-focused funds where we
social themes. We do this because we investment and ESG policies.”
expect compelling returns. Conversely, In 2021, we plan to continue on this
expect them to achieve exceptional
we do not invest where a core part path, evaluating the ESG characteristics
investment returns and to amplify our
of strategies is to allocate capital to of our managers and working with them
values and RI principles. We also see
activities that are detrimental to society to improve their ESG analysis, better
these funds benefiting as capital moves Matthew Kaplan
or the environment. Increasingly, align their investment decisions with ESG
in the long term towards activities that Managing Director
managers are in step with this policy, objectives and enhance ESG reporting. Absolute Return Strategies
tackle global sustainability challenges.
avoiding investment in industries, like
As with private equity, the IMP “ We work with our managers on
This overlap between investment firearms or tobacco, and setting targets
categorisation chart below shows that incorporating ESG into their investment
performance and ESG is visible now. for carbon neutrality. processes not just because it’s good for
most funds in this portfolio fall into the
For example, we have seen excellent the world, but because it leads to better
Absolute return managers are ‘may cause harm’ category. This does
results from a fund investing in the investment outcomes.”
increasingly embracing RI principles. not mean that they are necessarily
most resource-efficient companies
While it can be challenging to causing harm, rather that they have
across all sectors and taking short
influence absolute return managers not yet vocalised any intention beyond
positions on the most inefficient users
on RI, we sense the mood is changing financial return and level of risk. We are
of energy and water and the biggest
and managers are open to debate. working with absolute return managers
producers of waste.
In addition to investing in ESG-focused in our portfolio to improve this.
strategies, we partner with managers to
IMP categorisation PRI signatories (% AUM)
May cause harm 81.8% PRI signatories 53%

Act to avoid harm 15.2%
Benefit stakeholders 0.6%
Contribute to solutions 0.0%
Not mapped 2.4%
Investing for impact Dimple Sahni

Managing Director
Impact Fund Portfolios
We aim to make investments that yield competitive returns while
“ Impact investing has changed a lot,
contributing to the common good through social impact and change.
particularly in the last few years. The
COVID-19 pandemic has demonstrated the
potential of impact investing by showing
We have been investing for impact strategic approach through funds that now accounts for the majority of our the interconnectedness of inequity in
since 2012. In that time, our approach look for returns as well as systemic impact investing. This reflects wider healthcare and climate change, as well
has evolved. We have moved from impact. We have also broadened from changes in impact investing, which give as racial and social injustice. We feel the
opportunistic funds and direct, private emerging markets to take a more us new options in liquid asset classes, best way to address this opportunity is
investments for grassroots impact global approach. such as green bonds, as well as real a mixture of systemic investing, where
through the Brenninkmeijer family’s assets like affordable and social housing we can influence larger companies, and
While we still invest directly, fund-based grassroots investing where we affect
endowment to a multi-asset, global, and renewable infrastructure.
investment across all our asset classes outcomes more immediately. This is
In 2021, we will make a further tangible diversified financial risk and return, and
commitment to this approach through impact risk and return.”
Intentionality Additionality Materiality Measurability Impact risk Engagement
a new multi-asset impact fund, which
Has the An investment Positive Measuring Negative Clear forms of draws on what we have learned in
intention must increase outcomes are and managing externalities influence or
to achieve the quantity or of material the process or unintended engagement the past.
social or quality of the significance of creating consequences are explicitly
environmental fund’s social to the social and have been stated, as well How we choose our impact
goals, with a outcomes beneficiaries. environmental carefully as evidence on
clear theory beyond Impact impact in order considered. how they are
investments
of change or what would generation to maximise Proposed helping impact
transmission otherwise have accounts for and optimise it. mitigants are leaders, as well
We use a set of criteria (left) to target outcomes, as well as how measurable
mechanism occurred (i.e. a material also in place as transitioning our capital in the best way. They help this contribution is and how well risks
executed in line if a particular proportion for these companies to us make sure we allocate capital where are managed. To be classed as impact
with Anthos’ investment of the fund’s impact risks. achieve their
it is needed most and can have the investing, an investment proposal must
values. had not been overall impact goals.
made). commercial biggest effect. The criteria gauge meet all six criteria.
activities. the intention behind the investment,
and the difference it makes to social
IMP categorisation Strategy allocation Thematic breakdown Regional allocation
May cause harm 0.0% Private equity 21.3% Access to credit 25.1% Developed 8.0%
Act to avoid harm 54.5%* Private debt 19.6% Access to energy 10.5% Emerging markets 22.3%
Benefit stakeholders 0.0% Listed debt 4.6% Access to education 6.6% Frontier markets 15.2%
Contribute to solutions 45.5% ESG MMF 54.5% Access to information 1.8% ESG MMF 54.5%
Access to healthcare 1.5%
Not mapped 54.5%
* ESG MMF
INVESTING FOR IMPACT CONTINUED
Andreas Ernst
Managing Director
and Head of Skopos
Impact Funds
“ Our most important objective has always

been to invest in line with our values
How we spread our impact of human dignity and sustainability,
Impact mandate fit: core thematic areas
investments and to find the right vehicles to do that
Population effectively. We have now found a balance
Poverty alleviation Resilient climate WASH* Access to finance
development
It is important to us for our capital to between risk and results that puts us on a
Contributes to Contributes Contributes to Contributes to the Provides financial have a wide range of impacts. We use firm footing to generate financial returns
dealing with to reducing dealing with supply, processing services and
demographic vulnerability, the causes and and distribution technologies
the SDGs to make sure we achieve a alongside social gains.”
change and/ supporting consequences of of water. Assures serving the tangible impact across a broad range
or population economic climate change. access to individuals and of issues that affect people, planet How we measure impact
explosion. independence sanitation and businesses at the
and prosperity.
Provides access by improving hygiene. bottom of the We measure impact using an impact
to healthcare, education, food pyramid.
We have chosen our impact investment scorecard to forecast and collect data
housing, relevant supply and access
technology, etc. to information, etc. themes to link to the vast majority annually. This gives us quantitative and
of the 17 SDGs, as they are a widely qualitative data to plot financial returns
Sub-themes recognised framework that covers and social impact at the fund level. We are
Healthcare Education Clean energy Water suppliers Fintech a broad range of social needs and working on a method to aggregate impact
environmental challenges. Each of our across our different investments that is
Gender lens IT Clean air Water treatment Banks
five themes links to one or more of the aligned to our investment approach and
Housing Media Real assets Water distribution Microfinance SDGs, with sub-themes under each. gives insight into impact on the ground.
E-mobility Food and agri Sustainable land/ Sanitation Insurers Our direct impact investments focus Our criteria for choosing impact
forestry
on areas including circular economy investments have become the basis for
Corresponding SDGs
businesses and sustainable infrastructure, the IMP framework now used by more and
and on solving a specific problem. Our more asset managers to map their funds.
approach here has evolved from looking Using the framework’s ‘ABC’ categories
for social outcomes by being first to allows us to frame our ambitions and
invest in unfunded areas to looking at plot our progress in terms of how much
specific impact theses. An example of our investments benefit stakeholders
this is our investment in a clean energy and contribute to solutions to social and
fund where the results include decent environmental challenges (see the table
employment, educational opportunities on page 14). We use this framework to
through social giving and avoided measure the impact of all our investments,
CO2 emissions. not only impact investments.
*WASH – water, sanitation, hygiene
Appendices
30 Asset classes – exposure to excluded industries
31 Dutch Climate Agreement reporting

Asset classes
– exposure to excluded industries
Here, we set out how our various asset classes are exposed to excluded industries.
This exposure is very low in all cases. Where we invest for our clients in mandates,
exposure to excluded industries and products is zero by default. Where we invest
via external funds this is beyond our control. We still actively seek to keep such
exposures at a minimum and we monitor such levels, both ex ante and ex post.
Here we set out such exposures for the various asset classes.
Exposure to Biological Military

exclusion Nuclear and chemical contracting Adult Depleted Anti-personnel Cluster
criteria1 weapons weapons weapons Small arms Gambling Tobacco entertainment uranium mines weapons
Equities 0.92% 0.27% 0.00% 0.55% 0.00% 0.08% 0.06% 0.00% 0.20% 0.00% 0.00%
Fixed income – high yield 1.66% 0.18% 0.00% 0.89% 0.07% 0.76% 0.52% 0.41% 0.00% 0.00% 0.00%
Fixed income – investment grade 0.27% 0.05% 0.00% 0.11% 0.00% 0.00% 0.16% 0.00% 0.00% 0.00% 0.00%
Powered by Sustainalytics
Country screening
Fixed income – emerging markets debt 8.25%2
Fixed income – sovereign debt 0.00%
Powered by Sustainalytics
Exposure to exclusion criteria
Absolute return strategies Gross (long) Net (long – short)
3.03% 2.01%
1 Note that the ‘Total Exposure to Exclusion Criteria’ may not equal the sum of the individual exposures to the exclusion criteria, as one investment/company can have exposure to multiple exclusion criteria.
2 The exposure in EMD is due to the exposure to Russia, related to EU sanctions against Russia. It is next to impossible to invest in pooled funds that exclude Russia as a country.
Dutch Climate Agreement reporting

financial year 2020
1 Measuring CO2e impact
1.1 Is the CO2e impact being measured? Partly

We report equities and fixed income AUM which is >70% of the total. These are all part of the assets we manage on behalf of
our clients via external managers. In Equities >90% of the portfolio is covered. For fixed income we report Investment Grade
(>80% coverage) and High Yield (>65% coverage). We do not report the sovereign bonds direct or indirect this year, which
is a substantial part of the fixed income portfolio we manage. We are taking part in a PCAF working group on the topic to
better understand the best methodology to do this. Cash is assumed to have zero emissions.
2 How is it measured?
2.1 Which CO2e impact indicator(s) does The included measures are:
the institution use to monitor the i) Total carbon emissions
performance of the overall portfolio? ii) Carbon intensity
iii) Weighted average carbon intensity.
2.1.1 Which measurement method is being About 70% of the CO2e data for equities and 50% for fixed income is based on reported values (source: MSCI ESG Research).
used for these indicators? For companies that have reported in the past, a company specific model is used to estimate the carbon data as described
in MSCI’s 2019 Carbon Emissions Estimation document. This company specific model uses the previously reported carbon
emissions and revenues to calculate carbon intensity and uses current revenues to make an estimate of the current carbon
emissions. In cases where companies have no historically reported CO2e data, then an industry specific model is used in
order to derive carbon intensity from industry averages.
2.2 Which attribution method is being used For the attribution of CO2e emissions, we are following the PCAF method, meaning we use the enterprise value, including
(per asset class)? cash, to determine the percentage ownership.
2.3 What data sources are being used? The reported CO2e intensities in MSCI ESG Research are based on USD. The USD sales figures were used to calculate these
And which data providers? intensities to EUR using the WMCO Fixing rates. We then used these EUR sales figures to recalculate carbon intensities
based on per EUR sales. CO2e emissions data, as well as the EVICs and sales data are all extracted from MSCI ESG Research.
2.4 Describe the quality of used data For Equities:

to measure the CO2e impact About 70% of the CO2e data is based on actual reported data (PCAF Score 1–2 see below example from PCAF). 5% of the
(per asset class) data is modelled based on previous reported company specific data (PCAF Score 1–3), while the rest (approximately 20%), is
modelled based on industry averages (PCAF Score 3).
For Fixed Income Investment Grade:
About ~76% of the CO2e data in the Investment Grade portfolio is based on actual reported data (PCAF Score 1–2). 2% of the
data is modelled based on previous reported company specific data (PCAF Score 1–3), 5% is modelled based on industry
averages (PCAF Score 3) and 17.3% has no coverage.
For Fixed Income High Yield:
About ~33% of the CO2e data in the High Yield portfolio is based on actual reported data (PCAF Score 1–2). 4% of the data
is modelled based on previous reported company specific data (PCAF Score 1–3). About 30% is modelled based on industry
averages (PCAF Score 3) and about 33% has no coverage.
DUTCH CLIMATE AGREEMENT REPORTING CONTINUED
3 What is being measured?
3.1 What is the scope of the CO2e reporting? For Equities, the CO2e reporting concerns the total equity portfolio, including the active, passive and infrastructure
portfolios. This is using the lookthrough of the underlying investee companies that our external managers invest in.
For fixed income, it concerns the corporate part, investment grade and High Yield bonds. The emerging markets local
debt and return/matching portfolios are left out of scope.
3.2 What are the relevant investments and CO2e contributions are estimated using the EUR amount invested in each company (using lookthrough).
financing?
3.3 What scope is being reported on (from the For this analysis we took Scope 1 (Direct) and Scope 2 (Upstream) emissions into account.
perspective of investments/financing)?
4 The disclosure on the CO2e impact should contain the following information
Of which CO2e tCO2e emissions tCO2e emissions tCO2e emissions Carbon intensity Weighted intensity
Holdings/equities % total AUM Of which relevant impact reported – Scope 1 – Scope 2 – Total Scope 1 + 2 Scope 1 + 2
Total Equities 47% 98% 98% 146,906 44,756 191,662 156.4 152.5
Total FI 27%
Corporate IG 30% 83% 19,766 5,370 25,136 134.5 119.9
Fixed Income Corporate HY 32% 67% 88,777 18,053 106,830 338.6 298.4
PCAF data quality scorecard

Certain
(5-10% error margin in estimations)
SCORE 1 Audited GHG emissions data or actual primary energy data
SCORE 2 Non-audited GHG emissions data or actual primary energy data
SCORE 3 Average data that is peer/(sub)-sector specific
SCORE 4 Proxy data on the basis of region or country
Uncertain
(40-50% error margin in estimations)
SCORE 5 Estimated data with very limited support

Disclaimers
Disclaimer Disclaimer MSCI

This document is being furnished on a confidential No opinion or information expressed in this Although Anthos Fund & Asset Management’s
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Published [June 2021]

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Anthos Ri 2021 Final LR

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Over nearly a century, we have invested

PART 1 PART 2 PART 3

4A bout Anthos Fund 11 Introduction by 22 Equities

ABOUT ANTHOS FUND & ASSET MANAGEMENT

Doing well by doing good

We began to take a more

2009 environment, social and

1841 Commemorating the founding of COFRA

THE ISSUES WE CARE ABOUT

Guided by our values

The UN Guiding Principles on Business and

THE ISSUES WE CARE ABOUT CONTINUED

Our equities and fixed income portfolios

THE ISSUES WE CARE ABOUT CONTINUED

Good corporate citizenship

We are a signatory to the PRI, and scored

FROM OUR CHIEF EXECUTIVE OFFICER

effect in the real world.

OUR INVESTMENTS AT A GLANCE

Direct and indirect investments Segregated mandates Developed, emerging

Adding rigour ESG is the industry’s way of recognising that

A SUMMARY OF HOW WE INVEST

Our Matching our Governance

See pages 13-16 See pages 17-19 See page 20

OUR INVESTMENT APPROACH

OUR INVESTMENT APPROACH CONTINUED

Act to avoid harm

1 Signal that impact matters 0.1% 8.6% 0.1% 8.8%

Total 14.2% 63.7% 3.5% 4.4%

OUR INVESTMENT APPROACH CONTINUED

OUR INVESTMENT APPROACH CONTINUED

MATCHING OUR INVESTMENTS TO OUR VALUES

Looking for Our values

Human dignity Sustainability Good corporate governance

MATCHING OUR INVESTMENTS TO OUR VALUES CONTINUED

Our managers are closer to

MATCHING OUR INVESTMENTS TO OUR VALUES CONTINUED

Carbon metrics ©2020 MSCI ESG Research LLC. Reproduced by permission.

Fixed income Hicham Zemmouri Rochdi

PRI scores Total carbon emissions (Scope 1+2) (ktCO2e)

Carbon metrics ©2020 MSCI ESG Research LLC. Reproduced by permission.

Global real estate John Linck

78/100 28/30 50/70

Private equity Steven van de Wall

IMP categorisation PRI signatories (% AUM)

May cause harm 52.0% PRI signatories 24%

Absolute return strategies Reinoud van Ieperen Bokhorst

IMP categorisation PRI signatories (% AUM)

May cause harm 81.8% PRI signatories 53%

Investing for impact Dimple Sahni

IMP categorisation Strategy allocation Thematic breakdown Regional allocation

INVESTING FOR IMPACT CONTINUED

“ Our most important objective has always

31 Dutch Climate Agreement reporting

Exposure to Biological Military

Fixed income – emerging markets debt 8.25%2

Fixed income – sovereign debt 0.00%

Exposure to exclusion criteria

Absolute return strategies Gross (long) Net (long – short)

Dutch Climate Agreement reporting

1 Measuring CO2e impact

1.1 Is the CO2e impact being measured? Partly

4A bout Anthos Fund 11 Introduction by 22 Equities

May cause harm 52.0% PRI signatories 24%

May cause harm 81.8% PRI signatories 53%

“ Our most important objective has always