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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recipient. By accepting this information, the recipient agrees that it will not divulge any such

information to any other party. Any reproduction of this information, in whole or in part, is

prohibited.

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having its registered office located at Cœur Défense Tour B La Défense 4, 100, Esplanade du

Général de Gaulle 92400 Courbevoie, a “société anonyme” with capital of euros 1 384 380

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�

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