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Wolfgang Pinner, Head of SRI - Erste-Sparinvest KAG - Austria.
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TBLI Conference Asia 2009
Workshop 11 – Fixed Income‘Fixed Income and ESG - A Strategic Fit’
Wolfgang Pinner, MBA
2TBLI Conference Asia 2009
ERSTE-SPARINVEST Overview
Market acceptance and performance
Characteristics of SRI bond vs equity management
Agenda
Fact sheets and contact details
3TBLI Conference Asia 2009
WWF… Partner for thematic fundsVINIS… Brand for sustainable funds Verantwortung (Responsibility), Innovation,
Nachhaltigkeit (Sustainability), Investment, Sicherheit (Safety)
ESPA VINIS BOND
ESPA VINIS STOCK AUSTRIA
ESPA VINIS STOCK EUROPEESPA VINIS STOCK GLOBAL
ESPA WWF STOCK UMWELT
ESPA WWF STOCK CLIMATE CHANGE
2001 2002 2003 2004 2005 2006 2007
ESPA VINIS STOCK EUROPE-EMERGING
2008
ESPA’S fund management has long term experience in SRI
ESPA VINIS CASH
Timeline Responsible Investment Funds
4TBLI Conference Asia 2009
ESPA VINIS SRI Concept
Total Universe
SRI Universe
BUY HOLD SELL
Portfolio Optimisation
SRI- RETURN
Economic Filterfor timing purposes
Ratios,TE-Analysis
‘Ethics-Committee‘/ Stakeholder Know-how
SRI Sector Research
Environment & Stakeholders CG/ Ethics
‘Investment Board‘/ Investment Know-how
Cooperation ICCSR/Nottingham University
SRI - Process & financial
quantification of extra-financial
items
ERSTE-SPARINVESTFinancial Rating
Portfolio Creation-Process
style ERSTE-
SPARINVEST
Voting & Engagement Process
I
II
III
IV
Specialised Rating Agencies
Ris
k M
anag
emen
t
Res
po
nsi
bili
ty -
SR
I Tea
m E
RS
TE
-SP
AR
INV
ES
T
Research SRI Team ERSTE-
SPARINVEST
The ESPA VINIS management concept
5TBLI Conference Asia 2009
ERSTE-SPARINVEST Overview
Market acceptance and performance
Characteristics of SRI bond vs equity management
Agenda
Fact sheets and contact details
6TBLI Conference Asia 2009
- Ratings of issuers
- Liquidity of bonds
- Engagement & voting
- Is sufficient (SRI)research available?
- Which styles of SRI (screening, best-in-class etc.) fit best?
Questions for day-to-day SRI fixed income management
7TBLI Conference Asia 2009
- Ratings of issuers- corporate bonds = equity rating?, covered bonds = equity rating?, government bonds = separate rating?
- Liquidity of bonds- unforeseen liquidity trap more likely than in case of equities
- Engagement & voting- engagement is possible, but rather unusual
- Is sufficient (SRI)research available?- availability has improved, but still lags that of equity ratings
- Which styles of SRI (screening, best-in-class etc.) fit best?- Screening is easier to explain, best-in-class for governments has rather low visibility
SRI equity versus fixed income management
8TBLI Conference Asia 2009
- Risk: elimination of FX risk – focus on Euroland
- Diversification: inclusion of corporates (financials and industrials), collateralized bonds and supranationals, government bonds
- Rating category: investment grade (better SRI-research coverage and ratings)
- Screens: fixed-income specific exclusionary screens (death penalty, freedom of association, human rights, labour rights, nuclear power, nuclear weapons) and positive screens (climate change politics) for sovereign and non-sovereign issuers
- Performance: dependence on spread investments
- Sustainability focus: add other sustainable topics (micro finance etc.)
Designing an SRI bond or cash product
9TBLI Conference Asia 2009
ERSTE-SPARINVEST Overview
Market acceptance and performance
Characteristics of SRI bond vs equity management
Agenda
Fact sheets and contact details
10TBLI Conference Asia 2009
- Diversification: the asset class SRI is regarded as different with regards to risk/return characteristics
- Pure SRI portfolios: fixed income plays an important role at least in portfolios on the European continent
- Performance: SRI portfolios show no underperformance versus traditional products, primarily the ‘information effect’ leads to advantage in performance
- Exclusionary criteria: traditional exclusions for fixed income like death penalty and ILO standards become best practice
Driving forces for SRI fixed income products
11TBLI Conference Asia 2009
The essential characteristics of sustainable investments are also strong arguments for SRI
Main Arguments for SRI
Positive
Neutral
Slightly Negative
Information Effect
Anticipation Effect
Positive Selection Effect
Small Companies Effect
Diversification Effect
12TBLI Conference Asia 2009
Performance history of ESPA VINIS BOND – since inception
ESPA VINIS BOND versus government resp. corporate benchmark
13TBLI Conference Asia 2009
Performance history of ESPA VINIS BOND – for 2008
ESPA VINIS BOND versus Fixed Income sub asset classes
EUR BIG Performance
-6,00%
-4,00%
-2,00%
0,00%
2,00%
4,00%
6,00%
8,00%
10,00%
12,00%
Tage
% V
erän
der
un
g
EUR BIG All
Government
Collateralized
Corporates
Financials
ESPA VINIS Bond
12/2007 12/2008
14TBLI Conference Asia 2009
CEE Overview
Market acceptance and performance
Characteristics of SRI bond vs equity management
Agenda
Fact sheets and contact details
15TBLI Conference Asia 2009
ESPA VINIS BOND
Ratios (monthly/ 36 month):
Volatility /STABW (1 year):Tracking Error:Beta (1 year):Corr.coef.:Convexity:
Performance per 30.04.09 (since 31.12.08): • relative Performance:Performance per 30.04.09 (since 28.02.05)• relative Performance:
2.760 %0.706 %
0.9140.971
43.404
Time to maturity
Type: Fixed income fund, Stile: SRIISIN: (T) AT0000686084, (A) AT0000A01G95
Benchmark: Customized CompositeManagement fee: 60 Bp
Volume per 30.04.09: EUR 66,0m
Kennzahlen:
Performance since 01.01.2006
+ 1.19 % - 0.95 %+ 10.07 % - 6.41 %
Yield:Average yield:Duration:Modified Duration:
4.76 %6.38 years5.10 years4.87 %
96
98
100
102
104
106
108
110
112
ESPA VINIS Bond Customized Composite0% 5% 10% 15% 20% 25% 30% 35%
0 - 3 yrs
3 - 5 yrs
5 - 7 yrs
7 - 10 yrs
> 10 yrs
16TBLI Conference Asia 2009
ESPA VINIS CASH
Ratios straight bonds:
Average yield:Average coupon:Average time to maturity:Duration:
4.08 %5.08 %
2,33 years2,17 years
Type: Money market fund, Stile: SRIISIN: (T) AT0000A03969, (A) AT0000A03951
Benchmark: 3-Mo-EuriborManagement fee: 24 Bp
Volume per 30.04.09: EUR 29,7m
Ratios money market FRNs:
Perforrmance since 01.01.2007
Average coupon:Average time to maturity:Duration:Average spread:
2.33 %3.64 years0.17 years521.5 Bp.
Fund breakdown
Performance per 30.04.09 (since 31.12.2008): • relative Performance:Performance 2007:Performance 2008:
- 0.61 % - 1.46 %+ 2.64 % - 2.91 %
Straight Bonds < 1 yr
17,45%
Cash-1,94% Straight Bonds
1 - 2 yr37,58%
FRN46,91%
96,0
97,0
98,0
99,0
100,0
101,0
102,0
103,0
104,0
105,0
ESPA VINIS Cash
17TBLI Conference Asia 2009
Experience
2007 Head of Sustainability Funds at ERSTE-SPARINVEST KAG / Vienna
2006 CEO of VINIS (consulting company for SRI investments)
2001 Chief Investment Officer VBV pension fund
1996 Chief Strategist Investment Bank Austria (1997 merged with CAIB)
1992 Head of Research Erste Bank
1988 Analyst at Erste Bank
Education
2007 Executive MBA University of Nottingham
1989 Degree of a Mag.rer.soc.oec. from Vienna University of Economics and BA (comparable to ‚master‘ degree in UK)
Activities Lecturer at Vienna University of Economics and Business Administration, University of Linz, University of Applied Sciences in Vienna
Wolfgang Pinner, MBA, Head of Sustainability Funds
18TBLI Conference Asia 2009
Disclaimer
This presentation was prepared for your personal use and for information purposes only. Any form of reception, publication, duplication or dissemination of the content by anyone other than the designated addressee is prohibited. The presentation was not prepared with the intention to give legal or tax advice. We cannot be held liable for the completeness, reliability, and accuracy of the material or any other information that is passed on or made accessible to the addressee either in writing, orally, or in any other form. We assume the data that are contained in this presentation on the basis of publicly available information to be accurate, but they have not been verified independently. The contents of this presentation are not legally binding, except where the presentation or parts thereof are confirmed in writing to this effect. The statements made to the addressee are subject to the provisions of the underlying offer or agreement, if any.Past performance is not necessarily indicative for future income. We cannot guarantee that a portfolio will achieve the gains or losses exemplified or that a projection will predict the actual performance of a portfolio with the same degree of accuracy as earlier projections. In contrast to the actual development of the portfolio, simulations are not based on actual transactions – hence their significance is limited. Since no actual trading takes place, the influence of some market factors cannot be modelled adequately, such as for example liquidity shortages.
Agenda