Performance of ESG Strategies
TBLI Conference, Amsterdam
28th and 29th October 2014
Lise Moret
Head of ESG Quantitative Solutions
28th October 2014
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Our Proposition
AXA IM’s Responsible Investment Offer
Our RI proposition provides 2 different fund product approaches as well as tailored
solutions
(€5 bn AuM)Impact investing &
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RI expertise provides three tools to Fund managers
� How ESG dimensions are integrated into the Protfolio Management decisions?
1. Quantitative
solutions
Investment universe
Portfolio scoring
2. ESG
analysis/advice
By sector,
by companies,
by themes
3. Voting and
engagement
Dialogue with
companies on ESG
issues
1. Carbon intensity and Price to book in the European Utilities sector
3. Corporate Governance and Long term EPS growth
� E >> Carbon risks and equity valuation
� S >> Human Capital and productivity
� G >> Corporate Governance and long
term growth
Sources: AXA IM, Vigeo, GMI, Trucost
2. Human Capital and productivity
Small Caps
companies
Mid Caps
companies
Large Caps
companies
5
5.5
6
6.5
7
7.5
8
Bottom quartile Lower-middle
quartile
Upper-middle
quartile
Top quartile
5-year Long Term Earning per Share growth (in quartile)
5-y
ear avera
ge G
MI G
lobal score
40
45
50
55
60
65
70
100 300 500 700 900 1100
Revenue per employee (average 2007-2012) in thousands euros
Avera
ge H
um
an C
apital score
2004-2
007
Greater than 1000
0
500
1000
1500
2000
2500
3000
3500
0 0.5 1 1.5 2 2.5 3 3.5
Price to Book Value
CO
² fo
otp
rint in
Tons C
o2e / m
illio
ns $
revenue
ESG factors materiality
The figures refer to back test simulations. Such simulations and data
performances are not a reliable indicator of future results
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ESG factors as a signal for financial performance
Best vs. Worst ESG countries
� During the financial crisis, ESG factors became - and remained - important sovereign differentiators
Divergence in performance of best and worst ESG countries
The figures refer to back test simulations. Such simulations and data performances are not a reliable indicator
of future results
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ESG factors as a signal of « risk-adjusted » returns
ESG and market risk indicators
� Over the period 2003-2007, the
traditionnal market risk indicators were
inversely correlated to the quality of
corporate governance (global universe).
Sources: AXA IM 2003-2007 Governance study, Governance
Metrics International
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
07
/0
1/2
008
07
/0
7/2
00
80
7/0
1/2
00
9
07
/0
7/2
00
9
07
/0
1/2
01
0
07
/0
7/2
01
0
Low carbon-FTSE350 Carbon-intensive-FTSE350
Annualised volatility of "Low Carbon-FTSE350" and
"Carbon intensive - FTSE350" simulated portfoliosHistorical Beta and Annualised volatility per level of
Corporate Governance quality (Global Universe
2003-2007)
� Between 2005-2010, on the UK equity
market (FTSE350), the lower the direct
carbon intensity, the higher the risk adjusted
performance.
Sources: AXA IM 2010 study, Trucost
The figures refer to back test simulations. Such simulations and data performances are not a reliable indicator of future results
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Performance of “ESG-embedded” strategies
� Cheap (lowest market price to intrinsic value) companies with the best board scores
returned 40%, whereas cheap companies with the worst board scores returned -
0.3% on an annualised basis.
7 15471
Sources: AXA IM, 2012
The figures refer to back test simulations. Such simulations and data performances are not a reliable indicator of future results
Board scores and cheap company performance in the UK Equity market (FTSE 350)
Disclaimer
� This promotional document is for informational purposes only and does not constitute, on AXA
Investment Managers Paris part, an offer to buy or sell or a solicitation or investment advice.
Due to its simplification, this document is partial and the information can be subjective. AXA
Investment Managers Paris may but shall not be obligated to update or otherwise revise this
document without any prior notice. All information in this document is established on the
accounting information or on a market data basis. The accounting information is un-audited.
AXA Investment Managers Paris disclaims any and all liability relating to a decision based on
or for reliance on this document.
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having its registered office located at Cœur Défense Tour B La Défense 4, 100, Esplanade du
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�
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