Product info - SFDR

AAF Parnassus US Sustainable Equities

Investment objective
To provide long term capital appreciation with a diversified and actively managed portfolio of US sustainable equities, without any specific restriction on tracking error. The portfolio will be composed of companies that are flexible in ESG bestpractices. The Funds seek to invest in companies with positive performance on environmental, social and governance criteria.
Investment policy
The sub-fund promotes environmental and social characteristics and qualifies as an investment product in accordance with article 8(1) of Regulation (EU) 2019/2088 on sustainability related disclosures in the financial services sector.
To select eligible securities, the External Investment Manager performs both a financial and non-financial analysis, using ESG (Environmental, Social, Gouvernance) criterias.
The sub-fund invests predominantly in transferable equity securities such as equities, other equity shares such as cooperative shares and participation certificates issued by, or warrants on transferable equity securities of, companies which are domiciled in or exercise the predominant part of their economic activity in North America.
The sub-fund is actively managed through a bottom-up/stock-picking, sustainable approach, designed to identify significantly undervalued companies according to the investment manager, with quality management team, and a high competitive advantage that shows relevancy for the long term. All companies should meet the sustainability criteria put in place by the Portfolio manager and the Management Company.
In that respect, the External Investment Manager has set up a process that integrates fundamental and ESG ( Environment, Social and Governance) research to assess the business quality and valuation of potential companies. The ESG assessments include both exclusionary screens and a bottom-up ESG evaluation. After implementation of the sustainability filters (exclusions and ESG scoring), the bottom quartile of companies is excluded from the investable universe. Thus, the ESG score of the portfolio is better than the one of the investible universe.The sustainability analysis covers 100% of the securities in portfolio (cash, deposit are not covered by the ESG analysis).
In order to determine ESG performance, the ESG analysis team of the portfolio manager reviews scoring from third-party ESG ratings providers (MSCI, ISS and Sustainalytics), evaluates how business controversies may materially impact companies, eliminates companies with exposure to controversial business lines, and performs a qualitative assessment on a broad range of ESG factors.
In a first step, the ESG analysts team evaluates Investments to ensure that they are compliant with External Investment Manager fund’s exclusionary screens. The sub-fund applies the exclusion rules of the Sustainable Investment Policy of the ManCo and so does not invest in activities and companies deemed as severely controversial. In addition, the sub-fund excludes companies involved (over 10% thresold of revenue) i. in the extraction, exploration, production and/or refining of fossil fuels defined by the Portfolio manager as oil and gas (exception : companies that use fossil-based energy to power operations or other) ii. in Nuclear Power iii. in the manufacture of Alcohol.
In a second step, the ESG analysts Team performs an extensive analysis of retained companies in ordrer to évaluate their ESG profile including ESG relevant issues (material risks and opportunities) wihtin the context of the underlying sector and industry.
The ESG analysts then assign a proprietary rating to each company depending on their assessment of how well the company is managing material and reputational risks. These scores help determine whether the company meets the ESG threshold to be considered for investment.
The sustainability approach relies on the following screens:
  • Product involvement (revenue based screens)
  • ESG rating (this is an input to the analyst evaluation)
  • Analyst evaluation
  • Company plans and targets related to ESG
  • Controversy involvement
Here below, some example of the Extra-financial criteria (the list is not exhaustive):
Governance : governance structures, compensation, management turnover etc.
Workplace : Diversity and Inclusion, employee benefits, safety, etc.
Community : relation with stakeholders, public benefits, human rights etc.
As part of the Management Company’s Sustainable Investment Policy the sub-fund complies with the sets of exclusions applying to article 8 investment product.
The methodological limits is based on the definition of the process. These process are fed with datas provided bu thirdparties ( such as ISS, Sustainalitics and MSCI). If a company does not report sustainability metrics, or does not share information with our team through the diligence process, the portfolio manager may not be able to develop a full view of the firm and be able to approve it for investment.
The final portfolio is rather focused (typically between 35 and 45 holdings, however this range could vary depending on market conditions), and built with pre-determined diversification guidelines.
The minimum asset allocation in such securities on a consolidated basis (direct and indirect investments) will be of 60% of the sub-fund's net assets. Moreover, the minimum sub-fund’s investment in equity securities will be of 75% of the subfund's net assets.
The sub-fund may also hold on an ancillary basis cash and cash equivalents including certificates of deposit and shortterm deposits.
The sub-fund may invest for maximum 10% of its net assets in funds that have been selected in accordance with a number of qualitative and quantitative criteria. The qualitative analysis assesses the stability and strength of the investment manager, as well as its investment process and philosophy. The quantitative selection process aims to select only funds with proven risk-adjusted performance.
Investments in debt securities will not exceed 15% of its net assets.
The instruments describeb below are not covered by the ESG analysis.
The sub-fund may invest up to 10% of its net assets in derivative instruments and other financial instruments as described in Appendix 2 of the full prospectus for investment, efficient portfolio management or hedging purposes. 
This sub-fund is actively managed and is compared to the risk benchmark as described in Appendix 2 for performance and risk level indicator purposes. However, the reference to this index does not constitute any objective or limitation in the management and composition of the portfolio and the sub-fund does not restrain its universe to the index components.
The index does not evaluate or include its constituents on the basis of environmental and/or social characteristics and is
therefore not aligned with the ESG characteristics promoted by the sub-fund.
Therefore, returns may deviate materially from the performance of the reference index.