A bridge to impactful sustainable investments - ESG Portfolio ...
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A bridge to impactful
sustainable investments
Wirestock Images/Shutterstock.com
August 2021
Stand: 11. August 2020
Only for professional clients and eligible counterparties. No onward transmission to private clients.
1
Agenda
1. Executive Summary
2. Company profile
3. Our Investment philosophy
4. Investment process
5. Customer-oriented implementation solutions
6. Appendix
2
Executive Summary
Measurable positive impacts on Sustainable Development Goals
(SDGs) should increase the expected performance of our funds.
The selection of issuers with high ESG qualities should reduce the
risk of the investments.
We use careful research with internal credit rating models to
construct our sustainable portfolios.
Low carbon intensity and Paris Climate Agreement aligned funds.
3
Our Funds - Objectives
SDG EVOLUTION FLEXIBEL: Conservative European Multi-Asset Strategy
Financial Sustainability
1. Attractive absolute return 1. Average portfolio ESG rating of at least AA*
2. Positive total return target of over 4%
2. Minimum portfolio SDG impact of 40%*
Pay-out target at least 2%
3. Hedging loss risks through ESG integration and 3. Achieves 1.75 degree target of the Paris Climate
use of put options Agreement
MAYENCE FAIR VALUE BOND FONDS: Conservative European investment grade fixed-income strategy
Financial Sustainability
1. Attractive return compared to the European
1. Average portfolio ESG rating of at least AA*
investment grade universe
2. Positive total return target of over 2%
2. Minimum portfolio SDG impact of 30%*
Pay-out target at least 1%
3. Hedging loss risks through ESG integration and 3. Achieves 1.75 degree target of the Paris Climate
use of put options Agreement
*Data source: MSCI ESG; see appendix for metholdology
4
Company profile
• 2018 June: Foundation of ESG Portfolio Management GmbH
July: Takeover of the mixed fund SDG Evolution Flexibel
• 2019 February: Takeover of the bond fund Mayence Fair Value Bond Fonds
Conversion of both funds to the highest level of sustainability
November: Both funds awarded the FNG label (three stars)
• 2020 January: Received the German Excellence Award
April: Highest rating in TELOS ESG Check
June: Awarded as Sustainable Investment Award Multi-asset manager of the year
October: Acceptance into the Leaders’ Group of the Principles for Responsible Investment
November: Confirmation of the FNG label with three starts for both funds
• 2021 January: ESG Investing Awards, Winner Best Fixed Income Fund, Winner Best Multi-Asset Fund
July: German Award for sustainablility projects: first price in the category sustainable investing
5
Company profile
Team
Christoph Klein Frank Rothauge Lars Behl
CFA, CEFA CFA
Founder & Managing Partner Junior Portfolio Manager
Co-Portfoliomanager
▪ 2018: Foundation of ESG Portfolio Management
▪ More than 20 years of professional equity ▪ Joined ESG Portfolio Management in August
GmbH 2020
▪ Partner and Portfolio Manager nordIX AG, 2017-2018 experience
▪ Advised as equity analyst many fund managers ▪ M.Sc. Business Administration with focus on
▪ Head Non-Financial Credit, Head ESG Credit, Senior „Financial Markets and Institutions“, Justus-
Multi Asset Manager at Deutsche Asset Management, regarding equity selection
2007-2017 ▪ Head of the technology sector research team at Liebig University Giessen, 2017-2020
▪ Credit Hedge Fonds Manager at Credaris and Tripoint, Sal. Oppenheim ▪ Master’s thesis on climate sensitivity of stock
2004-2007 ▪ Multiple winner as Germany‘s best telecom returns in different industries and regions
▪ Credit Portfolio Manager at Deutsche Bank and analyst ▪ B.Sc. Economics with focus on
Deutsche Asset Management, 1998-2004
▪ Contributed to more than 40 capital market „Environmental Management and Energy
transactions Economics“, TU Dresden, 2014-2017
▪ Visiting Scholar New York University, 2000 ▪ Training as bank clerk, Sparkasse Burbach-
▪ Graduate in Business Administration, University of ▪ Head of the audit committee at the supervisory
board of the TecDax-company Drillisch AG, Neunkirchen, 2011-2014
Trier, 1999
▪ Bank clerk at Deutsche Bank Bremen, 1991-1993 until October 2017
▪ Portfolio Manager of the fund Universal – AHP
▪ Member of the UN PRI Fixed Income Working Group Aristoteles UI
▪ Speaker at DVFA and Moody‘s Analytics ▪ Managing Partner of AHP Capital Management
▪ Member of the DVFA Sustainable Investing
Commission
▪ Volunteer at CFA Institute
6
Our Investment philosophy
We believe:
High ESG-qualities
and positive SDG-impact
in combination with detailed credit analysis
and equity research are requirements
to generate long-term competitive attractive
risk-adjusted returns
7
Our Investment philosophy
ESG & SDG
ESG – Environmental, Social, Governance
Risk management – to be able to sleep well
SDG – Sustainable Development Goals
Positive impact – reasons to get up in the morning
8
Unsere Investment-Philosophie
Engagement und Proxy Voting
We engage with companies to For instance, we
improve their ESG quality and launched a global
SDG impact. In particular, we initiative via UN
fight for education, climate PRI with Kelloggs
protection, product quality and to reduce their
the avoidance of plastic waste. plastic
consumption.
We report transparently on
We report transparently on our proxy voting:
our engagements: https://www.esg-portfolio-
https://www.esg-portfolio- management.com/wp-
management.com/wp- content/uploads/2021/05/Pro
content/uploads/2021/05/Enga xy-Voting-Report-2021-May-
gement-Report-2021-May- 1.pdf
1.pdf
We use proxy voting of shares in
our funds to improve ESG quality
and SDG impact. We exercise
constructive criticism to improve,
for example, labour safety and
climate protection.
9
Investment process
Multi-stage selection procedure
Number of individual stocks: 20,000 • Investment universe of MSCI World
• exclusion criteria and exclusion of
3,800 controversies
1,500 • ESG criteria. Minimum ESG rating: BBB
400 • sustainability impact of more than 5% on the SDGs
• Alignment with 1.75 degree sectoral targets of Paris
250 Climate Agreement
200 • Carbon intensity below peers
100 • Detailed economic analysis and relative value analyses
10Investment process
Broad diversification (using the example of SDG Evolution Flexibel)
Equities by country equities by industry sectors
10.09 % Norway 11.14 % Materials
5.95 % France 9.96 % Consumer Staples
5.92 % Australia
7.74 % Utilities
4.61 % Germany
3.56 % Switz erland 7.05 % Real Estate
2.98 % Canada 3.76 % Health Care
2.93 % Sweden 2.81 % Industrials
2.76 % Den mark
2.45 % Spain 2.30 % Consumer Discretionary
4.04 % Other 0.54 % Financials
Fixed Income by country Fixed Income by sectors
13.22 % United States
8.58 % France
5.57 % Sweden 37.75 % Corporates
4.83 % United K in gd om
4.62 % Germany 8.45 % Financials no n-banking
4.01 % Neth erlands
3.32 % Financials
3.05 % Belgium
2.84 % Finland
0.94 % Spain
1.87 % Other
For fund composition of the Mayence Fair Value Bond Fund see: Source: Universal Investment, July 30th 2021
https://fondsfinder.universal-investment.com/de/DE/Funds/DE000A2AQZE9/portfolio
11Investment process
ESG analysis & extensive exclusion criteria
Maximum share of
exclusion criterion
turnover
▪ Weapons of mass destruction and controversial weapons
▪ Coal mining, processing & services
▪ High risk oil & gas (Fracking, Arctic Drilling, Oil Sands)
We apply extensive exclusion 0%
▪ Nuclear power generation
criteria and thoroughly analyse ▪ Uranium mining
internally for individual relevant ▪ Embryonic stem cell research
ESG factors before purchase to and cloning technology
minimise the risk of loss. ▪ Coal-fired power generation
▪ Oil extraction, processing and power generation
▪ High risk oil & gas (services)
▪ Production and distribution of key components for nuclear power plants
▪ Biocides
▪ Animal testing 5%
▪ Genetic engineering in food production
▪ Civilian weapons
▪ Conventional tobacco products and alcohol
▪ Entertainment media (gambling, gaming,
See appendix for methodology pornography)
12Investment process
Consideration of adverse impacts at the corporate level
In the company analysis, we consider principal adverse impacts on sustainability factors. This
ensures that the funds' investment objective is not achieved through adverse impacts on other
sustainability areas.
Within the framework of the EU Sustainable Finance Disclosure Regulation, we consider
indicators on greenhouse gas emissions, biodiversity, water, waste and social and employee
matters.
See appendix for methodology of Principal Adverse Impact Analysis
13Investment process
ESG analysis (important part of risk management)
Data sources: We use licenses
from MSCI ESG, Bloomberg and
CDP (Carbon Disclosure Project)
and external research
Method: We filter by ESG ratings
and exclusion criteria and
thoroughly analyse internally for
individual relevant ESG factors
before purchase to minimise risk of
loss
The minimum ESG rating of
individual portfolio positions of
our funds is BBB (currently the
worst ESG rating is A).
At fund level, we aim for average
ESG ratings of AAA MSCI Portfolio ESG rating of the fund SDG Evolution Flexibel
Source: https://www.msci.com/esg-fund-ratings/funds/sdg-evolution-flexibel-ak-i/68243264
See appendix for methodology
14Investment process
ESG risk management and investment example (ESG ratings from MSCI ESG)
The mining company Vale S.A. had high environmental The electrical engineering group Schneider Electric SE
risks due to the dam burst in 2019 and was given an was given the highest MSCI ESG rating of AAA.
MSCI ESG rating of CCC. We use ESG ratings as a risk We were happy to invest in this company. The low
management tool and accordingly did not invest in this environmental risks also supported the good
company. performance of 32% in 2020.
Sources: Der Spiegel, February 8th 2019; MSCI ESG Sources: Bloomberg; MSCI ESG
See appendix for methodology See appendix for methodology
15Investment process
SDG analysis
Data sources: For SDG impact SDG impact measurement for the fund SDG Evolution Flexibel:
measurement, we use licences from
MSCI ESG and ESG Screen17 as well
as other external research. 45.3 %
Method: We select companies with
positive SDG impacts that have no
negative impacts.
Top 5 SDGs:
The SDG impact of each position and
20.4 % 11.3 % 3.4 % 2.9 % 2.2 %
of the fund as a whole is measured as
the proportion of revenue that can be
clearly attributed to an SDG.
This value should be above 30% for all The values reflect the portfolio-weighted average of the percentage of revenues of each
our portfolios. Most sustainable company generated by products and/or services with sustainable impacts.
benchmarks only achieve a value of Sources: MSCI ESG, July 30th 2021, own calculations
See appendix for methodology
around 5%.
16Investment process
Examples with a positive SDG impact
Fixed income: 2.25% Xylem INC. 2023 Private equity: Scatec Solar
Source: http://www.xylem.com Source: http://scatecsolar.com
• Xylem INC. is a manufacturer and service provider • Scatec Solar develops, builds and operates solar
of water technologies such as water purification plants worldwide
systems.
• The company achieves the maximum SDG impact
• The company operates the cycle of water collection,
of 100% and received an ESG rating upgrade to
purification and reuse
AAA
• Xylem INC. has an SDG impact of 44% and received
an ESG rating upgrade to AAA by MSCI ESG in
February 2019 due to successful waste reduction and
increased focus on research and new product
development
17Investment process
Context: climate risks
• Climate risks are the most serious threats and are now receiving the highest attention from society, politicians,
regulators and investors.
• We are committed to ensuring that our funds meet and fall below the Paris targets of 1.75 degrees.
According to heat strips from 1850-2018, global Increase in carbon emissions, especially in Asia:
temperatures rise sharply from 1990 onwards:
1850 1870 1890 1910 1930 1950 1970 1990 2010
Source: Prof. Ed Hawkins: Warming stripes for 1850-2018.
https://showyourstripes.info/ Source: https://www.consultancy.uk/news/13553/global-co2-emissions-
and-the-20-most-polluting-countries-in-the-world
18Investment process
Context: climate risks
Expected economic implications for different warming scenarios
„It is up to the credit
institutions to identify these
opportunities and prepare for
them in their business models
and structures. In the long
term, institutions failing to
adapt might not be able to
attract any more investors
and customers as well as
young, motivated employees. I
dare say that in the long term
only those credit institutions
geared to sustainability will
themselves have a sustainable Source: based on Chief Risk Officers Forum, 2019
existence on the market.“
19Investment process
Context: climate risks
Map of US population
particularly exposed to sea
level rise. Darker colours
indicate higher population
density and areas coloured
blue will be at risk of flooding
in the future.
TOP 5 countries with the highest climate risks in 2040
Source: Four Twenty Seven, Measuring what matters, 2020
20Investment process
In-depth economic analysis - proprietary credit rating model
We use in-house quantitative rating
models as part of our credit rating
analyses:
We applied the discriminant analysis
method to calculate the internal
credit rating models.
Quelle: http://www.thejei.com/quantitative-credit-rating-models-including-esg-factors/
21Investment process
In-depth economic analysis - proprietary credit rating model
We show here our model for industrial
companies as an example:
Internal Credit Rating Model:
✓ Linkage to Bloomberg data
✓ Modeling of internal ratings
✓ Allows simulations and scenario analyses
✓ Comparison with ratings of credit rating
agencies
22Customer-oriented implementation solutions
Fund tranches overview
SDG Evolution Flexibel SDG Evolution Flexibel
Tranchen Mayence Fair Value Bond Fonds
AK I AK R
Share class Institutional Retail -
WKN A1W9AZ A1W9AA A2AQZE
ISIN DE000A1W9AZ5 DE000A1W9AA8 DE000A2AQZE9
Volume EUR 8.2 million EUR 0.7 million EUR 16.9 million
Min. order volume From EUR100,000 Unlimited From EUR 25,000
Distribution Distributing Distributing Distributing
Current Benchmark No Benchmark No Benchmark No Benchmark
Costs
Total costs* p.a. 1.14% 1.85% 1.11%
Advisor ESG Portfolio Management GmbH ESG Portfolio Management GmbH
Investment Management
Universal-Investment-Gesellschaft mbH Universal-Investment-Gesellschaft mbH
Company
Custodian State Street Bank International GmbH Donner & Reuschel AG
*related to the previous fiscal year or estimates or the case of new funds Source: Universal Investment, July 30th 2021
23Customer-oriented implementation solutions
Extremely high ESG quality of our funds and transparent reporting
ESG scores of 9.5 (SDG Evolution Flexibel) and 9.6 (Mayence Fair
Value Bond) are top values! (Maximum:10)
6% of the positions in Flexible and 7% of the positions in Mayence
were recently upgraded, whereas none of the positions in Flexible and
in Mayence were downgraded.
Both funds receive the highest marks of the most valuable certification
of sustainable funds in Germany:
The FNG label with three stars each
Both funds receive five globes from Morningstar (highest
sustainability rating)
Sources: MSCI ESG, July 30th 2021, https://fondstrends.lu/produkte-und-vertrieb/erfahrungsbericht-unsere-bewerbung-um-das-fng-siegel/;
https://www.morningstar.de/de/funds/snapshot/snapshot.aspx?id=F00000SDU1 24Low Carbon Emissions
Our funds meet the goal of the Paris Climate Agreement
The climate risk experts of "right. based on Our funds receive the highest climate rating by
science" calculate: Climetrics:
If all companies worked the way the companies
in our funds do, global warming could be limited
to around 1.75 degrees by 2050. Only about 3% of all funds analysed receive
the maximum rating of five leaves.
Source: https://www.right-basedonscience.de Source: https://www.cdp.net/en/investor/climetrics
We also invest in companies that do not currently operate in a climate-neutral way, but show high
efforts to reduce emissions. Through our investment, we can support them in the transition to a
climate-neutral economy.
25Customer-oriented implementation solutions
Risk management
To reduce the equity exposure, we use In volatile market phases
puts on relevant equity indices such as we use short-term tactical
DAX or EuroStoxx and carefully select the and longer-term anti-cyclical hedging
portfolio weight, strikes and maturities to strategies
be cost-efficient and achieve a positive
convexity in the portfolio.
We manage interest rate sensitivity via
different instruments in order to avoid a We hedge currency risks
"Bund future squeeze risk“
26Customer-oriented implementation solutions
Where does the performance come from? Scenario analysis:
Historic performance is no indication for future performance
base case best worst
(Equities+7%, (E+10, Y flat, (E-10, Y-1,
Yields+0.5) Spread -10Bp) Spread +20Bp)
Equity exposure x equity-portfolio-beta x equity market
2.3 3 -3
development
Equity exposure x dividend yield (average: 2.5%) 0.75 0.75 0.75
Active Management of equity allocation and beta 0.5 0.5 0
Alpha from equity selection 0.5 1 -0.3
Fat tail management with equity options -0.5 -0.5 2.0
Interest duration (currently 1) -0.5 0 1
Active Management of interest duration and credit beta 0.5 1 -0.5
Credit duration (currently 4) 0 0.26 -0.52
Carry and oll own 0.33 0.33 0.33
Alpha from bond selection 0.5 1 -0.3
Cash -0.03 -0.03 -0.03
Sum 4.4 7.3 -0.6
Source: own estimates and calculations
27Customer-oriented implementation solutions
Individual solutions to your needs
We use international
We can implement all
investment universes
guidelines and criteria
and a variety of suitable
requested by clients
investment instruments
We actively manage We provide high quality
your risk reporting
We can support you in We can train your
the process of employees in
achieving the FNG label sustainable investments
for your funds and/or and also in the EU
mandates taxonomy.
28Important Information & Disclaimer
This information is intended exclusively for professional customers or suitable counterparties as defined in the WpHG and is not intended for private
customers. This advertisement does not constitute investment advice. No guarantee is given as to the accuracy and completeness of the information and
any liability for any damage resulting from the use and / or disclosure of this information is rejected.
The information is directed only at investors in the countries in which the respective fund is authorized for distribution. They are not intended for
publication or use by persons or companies in a country in which the fund is not authorized for distribution. In particular, the units of the respective fund
may not be offered for sale or sold within the USA nor to or for the account of US citizens or US persons resident in the USA. The documents published
here, and the information contained therein may not be distributed in the USA or in other countries in which distribution is not permitted.
The fund portrait is for information purposes only and does not constitute investment advice or solicitation to buy or sell shares in the fund. The sole
basis for the purchase of units is the sales documents (key investor information, sales prospectus, annual and semi-annual reports) relating to the fund.
Sales documents relating to all of the investment funds of Universal-Investment are available free of charge from your adviser / broker, the responsible
depositary or Universal-Investment at http://www.universalinvestment.com.
The fund has increased volatility due to its composition and investment policy, which means that unit prices may be subject to significant upward and
downward fluctuations within a short period of time. Calculations or yield data are not to be understood as a yield commitment; they are purely
indicative and based on data and assumptions that may possibly not be realized in practice, only in a different form or at different times. As a result, there
is a risk that, in reality, lower returns or even losses, even total loss, will be achieved. Past performance is no indication of future performance.
ESG Portfolio Management GmbH, headquartered in Frankfurt am Main, is an owner-managed company with core competence in bank-independent
advice on capital market products. It develops tailor-made solutions for professional investors in order to generate sustainably adequate income despite
rather low risk budgets. ESG Portfolio Management is initiator and advisor to the funds SDG Evolution Flexibel and Mayence Fair Value Bond Fonds.
The information may not be reproduced in extracts or as a whole without the written permission of the creator or passed on to other persons. ESG
Portfolio Management GmbH is part of the investment brokerage of financial instruments and investment advice pursuant to Sec. § 1 KWG exclusively
on account and under the liability of AHP Capital Management GmbH, Weißfrauenstraße 12-16, 60311 Frankfurt am Main, active (§ 2 para 10 KWG).
29Appendix
Parameters: SDG Evolution Flexibel
SDG EVOLUTION FLEXIBEL: Conservative European Multi-Asset Strategy
Min Max
Gross equity exposure 25% 45.3 49%
Net equity exposure 0% 35.1 49%
Rating BB- BBB+ AAA
Net Effective Duration
0 0.63 5
Incl. derivatives
Spread Duration 4 5.61 7
HY/NR exposure 0% 9.4 20%
EM exposure 0% 0 10%
Currency risks are hedged by at least 99%.
Source: Universal Investment, July 30th 2021
30Appendix
Low carbon footprint and transparent reporting
ESG, SDG and carbon intensity over time
lines: SDG Evolution Flexibel
dots: Benchmark (30% iShares MSCI Europe ESG Screened /
70% db x-trackers II ESG EUR Corporate Bond UCITS ETF)
60 0
CO2 t/m sales
SDG, ESG
SDG (45.3)
50 20
40
40
60 BM: CO2 t/m
30 (80.7)
CO2 t/m (69.9) 80
20 BM: SDG
100 (9.9)
ESG (9.5)
10 120
BM: ESG
0 140 (8.5)
Nov
Nov
Nov
Jul
Jul
Juli
Jul
Sep
Jan
Feb
Jun
Sep
Jan
Feb
Jun
Sep
Jan
Feb
Jun
BM
Dez
Mrz
Dez
Mrz
Dez
Mrz
Aug
Aug
Aug
Apr
Apr
Apr
Mai
Mai
Mai
Okt
Okt
Okt
2018 2019 2020 2021
ESG SDG CO2 t/m sales
Source: MSCI ESG, July 30th 2021
See appendix for methodology
31Appendix
SDG Evolution Flexibel AK I
Since 02.07.2018 ESG Portfolio Management GmbH advises the fund (green fields) and integrates sustainability from 2019
ISIN: WKN: Currency: Volume: Total fund size:
DE000A1W9AZ5 A1W9AZ EUR 8.2 Mio. EUR 11 Mio. EUR
Cumulated performance (in %)
Since
1M 1Y 3Y 5Y CY 2018 2019 2020
inception
fund -0.4 2.7 1.8 6.3 7.4 -1.8 -4.8 2.6 5.4
fund p.a. 0.6 1.2 1.0
Monthly performance (in %)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dez YTD
2015 2.58 0.63 -0.49 -0.38 -2.49 1.52 -4.97 -1.13 4.00 1.90 -1.86 2.19
2016 -3.02 -2.12 1.21 -0.19 -0.17 -1.83 0.64 0.50 -0.47 -0.37 -0.93 1.41 -5.32
2017 0.16 1.13 1.51 0.85 0.28 -1.33 0.34 -0.72 2.96 0.84 -0.62 -0.32 5.12
2018 0.92 -1.36 -1.01 1.38 -1.23 -0.53 1.16 -0.84 -0.12 -1.57 0.42 -2.09 -4.84
2019 1.78 1.65 0.44 1.17 -1.07 -1.13 0.03 -1.22 -0.83 -0.08 1.18 0.68 2.55
2020 0.32 0.52 -6.43 2.72 0.20 3.22 0.53 0.63 -0.81 0.53 2.86 1.30 5.37
2021 0.03 -1.67 0.85 -0.19 -0.31 -0.05 -0.40 -1.75
Source: Universal Investment, July 30th 2021 32Appendix
Parameters: SDG Evolution Flexibel
SDG EVOLUTION FLEXIBEL: Conservative European Multi-Asset Strategy
Financial Sustainability
Ø net equity 35% (max. brutto 49%)
Carbonintensity (tCO2e/ $m sales)
share
85
number positions 40 - 75 (Ø 60) 80
75
Return 1Y Sharpe Ratio 1Y
70
12% 2
65
10%
1,5 60
8%
6% 1 SDG Evolution Flexibel Benchmark
4%
0,5
2%
0% 0 ESG Score SDG Impact
SDG Evolution Benchmark SDG Evolution Benchmark
Flexibel Flexibel 10 100%
9,5 80%
Sources: Universal Investment, MSCI, DWS, iShares, finanzen.net 9 60%
As of: July 30th 2021 8,5 40%
Benchmark: 30% iShares MSCI Europe ESG Screened / 8 20%
70% db x-trackers II ESG EUR Corporate Bond UCITS ETF 7,5 0%
SDG Evolution Benchmark SDG Evolution Benchmark
Flexibel Flexibel
Sources: Universal Investment, MSCI, DWS, iShares
See appendix for methodology
As of: July 30th 2021
33Appendix
MSCI Sustainable Impact Assessment
Source: MSCI Sustainable Impact Portfolio Snapshot, July 30th 2021
34Appendix
MSCI Sustainable Impact Assessment (Themes)
Source: MSCI Sustainable Impact Portfolio Snapshot, July 30th 2021
35Appendix
Allocation of MSCI Sustainable Impact Themes to SDGs
SDG Evolution Flexibel as at 30th July 2021
USD according to allocation
MSCI ESG Area MSCI ESG Theme in %
MSCI ESG SDG
Basic Needs Nutrition 123.877 2 1 No poverty 2.162 0,3
Affordable Real Estate 2 1 2 Zero hunger 162.781 20,4
Major Desease Treatment 13.196 3 3 Good health and well-being 13.196 1,7
Sanitation 11.880 6 4 Quality education 22.933 2,9
5 Gender equality 0 0,0
6 Clean water and sanitation 12.983 1,6
Empowerement SME Finance 4.320 1, 8 7 Sustainable energy 27.274 3,4
Education 22.933 4 8 Decent work and economic growth 2.160 0,3
Connectivity 705 9 9 Industry, innovation and infrastructure 5.751 0,7
10 Reduce inequalities 0 0,0
Climate Change Alternative Energy 17.219 13 11 Sustainable cities and communities 5.046 0,6
Energy Efficiency 27.274 7 12 Sustainable consumption and production 90.627 11,3
Green Building 10.092 9, 11 13 Climate action 17.219 2,2
14 Life below water 0 0,0
Natural Capital Sustainable Water 1.103 6 15 Life on Land 0 0,0
Pollution Prevention 90.627 12 16 Peace, justice and strong institutions 0 0,0
Sustainable Agriculture 38.904 2 17 Partnerships for the goals 0 0,0
Summe 362.132 45,3% 45,3%
Source: MSCI Sustainable Impact Portfolio Snapshot & own allocation to SDGs, 30th July 2021
36Appendix
Parameters: Mayence Fair Value Bond Fonds
MAYENCE FAIR VALUE BOND FONDS: Conservative European investment grade fixed-income strategy
Min Max
Credit Rating BB- BBB+ AAA
Net Effective Duration
1 3.09 5
Incl. derivatives
Spread Duration 4 6.43 7
HY/NR exposure 0% 5.32 20%
EM exposure 0% 0.0 10%
Currency risks are hedged by at least 99%.
Source: Universal Investment, July 30th 2021
37Appendix
Low carbon footprint and transparent reporting
ESG, SDG and carbon intensity over time
lines: Mayence Fair Value Bond Fonds
dots: Benchmark (db x-trackers II ESG EUR Corporate Bond UCITS ETF)
SDG, ESG
CO2 t/m sales
40 0
SDG (33)
35 20
40
30
60
25 80 BM: CO2 t/m
CO2 t/m (49.8) (50.2)
20 100
15 120
BM: ESG
ESG (9.6) 140 (8.6)
10
160
5 180 BM: SDG
(7.9)
0 200
Jul
Nov
Juli
Nov
Jul
Feb
Jun
Sep
Feb
Jun
Sep
Feb
Jun
BM
Mrz
Dez
Mrz
Dez
Mrz
Aug
Aug
Apr
Apr
Apr
Mai
Mai
Mai
Okt
Okt
Jan
Jan
Jan 2019 2020 2021
ESG SDG CO2 t/m sales
Source: MSCI ESG, July 30th 2021
See appendix for methodology
38Appendix
Mayence Fair Value Bond Fonds
Since February 2019 ESG Portfolio Management GmbH advises the fund (green fields) and integrates sustainability
ISIN: WKN: Currency: Volume:
DE000A2AQZE9 A2AQZE EUR 16.9 Mio. EUR
Cumulated performance (in %)
Since
1M 1Y 3Y 5Y CJ 2018 2019 2020
inception
Fonds 0.5 0.8 -0.3 -0.1 -0.2 -3.1 -0.1 1.7
Fonds p.a. -0.1 0.0
Monthly performance (in %)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -0.54 1.62 -0.15 1.04 -0.20 -0.35 -0.46 0.09 0.39 0.79 -0.66 0.03 1.58
2018 -0.55 0.07 -0.66 0.61 -0.41 -1.75 1.31 -0.56 0.81 -0.68 -0.73 -0.52 -3.07
2019 1.06 0.63 -0.37 0.68 0.01 -0.30 0.07 -0.98 -0.72 0.12 -0.29 0.04 -0.06
2020 0.4 0.45 -3.93 0.65 0.75 1.55 0.95 0.16 0.00 0.56 0.34 -0.14 1.65
2021 0.02 -0.64 -0.13 0.29 -0.26 0.04 0.51 -0.16
Source: Universal Investment, July 30th 2021
39Appendix
Parameters: Mayence Fair Value Bond Fonds
MAYENCE FAIR VALUE BOND FONDS: Conservative European investment grade fixed-income strategy
Financial Sustainability
number positions 40 - 60 (Ø 50)
Carbonintensity (tCO2e/ $m sales)
Return 1Y Sharpe Ratio 1Y 50,4
3,0% 2 50,2
2,5%
1,5
2,0% 50
1,5% 1
1,0% 49,8
0,5
0,5%
0,0% 0 49,6
Mayence Fair Benchmark Mayence Fair Benchmark Mayence Fair Value Bond Fonds Benchmark
Value Bond Value Bond
Fonds Fonds
Sources: Universal Investment, DWS, finanzen.net ESG Score SDG Impact
As of: June 30th 2021 10 100%
Benchmark: db x-trackers II ESG EUR Corporate Bond UCITS ETF 9,5 80%
9 60%
8,5 40%
8 20%
7,5 0%
Mayence Fair Benchmark Mayence Fair Benchmark
Value Bond Value Bond
Fonds Fonds
Sources: Universal Investment, MSCI, DWS
See appendix for methodology
As of: July 30th 2021
40Appendix
Methodology for calculating sustainability indicators
Data provider KPI/Tool Further information
MSCI ESG ESG Ratings 1.)
https://www.msci.com/documents/1296102/21901542/MSCI+ESG+Ratings+Methodology+-
+Exec+Summary+Nov+2020.pdf
2.)
https://www.msci.com/documents/10199/1283513/MSCI_ESG_Metrics_Calc_Methodology_Dec
2020.pdf/92a299cb-0dbc-63ba-debb-e821bd2e2b08
ESG Fund Ratings https://www.msci.com/documents/1296102/15388113/MSCI+ESG+Fund+Ratings+Exec+Summar
y+Methodology.pdf
SDG Alignment https://www.msci.com/documents/1296102/16472518/ESG_ImpactMetrics-cfs-en.pdf/7a03ddab-
46fd-cef7-5211-c07ab992d17b
Principle Adverse Impacts https://www.msci.com/documents/1296102/26144308/Issuer-level-data-EU-Sustainable-Finance-
Module-cfs-en-DMC.pdf
Carbon Intensity https://www.msci.com/documents/10199/1283513/MSCI_ESG_Metrics_Calc_Methodology_Dec
2020.pdf/92a299cb-0dbc-63ba-debb-e821bd2e2b08 (chapter 3.2)
right. based on XDC-Gap-Analyse https://www.right-basedonscience.de/en/xdc-model/
science (Temperature Alignment)
ESG Screen17 Screening for exclusion criteria https://www.screen17.com/#product
Last retrieved: July 13th 2021
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