Methodology

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The SRI methodology chosen by ABN AMRO Investment Solutions is based on a combination of the following two approaches:

Exclusion

A number of sectors and/or businesses are excluded from the investment universe. Companies that generate more than 25% of their turnover in the tobacco, weapons, gaming and pornography industries are excluded, as are companies that sell cluster bombs or anti-personnel mines. 
Moreover, ABN AMRO draws up a list of companies, known as the Controversial Weapons List, in which investment is forbidden. This list is comprised of companies involved, directly or indirectly, in the manufacture of controversial arms such as cluster bombs and anti-personnel mines. This exclusion list is reviewed at least once a year, circulated to all ABN AMRO entities and applied within ABN AMRO Investment Solutions.

Best-in-class filter*

After the initial exclusion phase, a best-in-class filter is applied. This filter consists of ranking stocks in order to identify the “star pupil” within each business sector. We quantify the quality of their approach in each of the three ESG aspects applying the following weightings: 50% for environmental, 30% for social and 20% for governance. We thus obtain a global score; the “SRI rating”.

ABN AMRO Investment Solutions has concluded a partnership with the extra-financial rating agency Sustainalytics** to enhance the analysis process and broaden the investment universe covered from an extra-financial point of view.

Impact on the Euro money-market (EMME)

EMME (in French, Empreinte sur le marché monétaire euro) is an internally developed criterion, applied specifically to the money market.

We have an innovative SRI process for our money-market funds. Our approach combines “sector exclusion” and market governance (assessment of the efficiency of issuers in the money market, transparency of documentation, exclusion of non-cooperative States and territories***. This approach is in addition to the three ESG criteria.

A team of expert fund managers and operational internal control teams ensure compliance with this investment process.

* “Best in-universe” filter: ‘Best-in-universe’ is an ESG selection approach consisting of favouring issuers with the highest extra-financial ratings regardless of their business sector, in contrast to the “best-in-class” approach.

** Sustainalytics is one of the world’s leading ESG research and analysis agencies. It provides extra-financial ratings and advisory services to institutional investors and asset managers

*** NCST (Non-Cooperative States and Territories): Under French law as from 1 January 2010, a State or territory is qualified as non-cooperative if it fulfils the three following cumulative conditions: