2021 Impact Report Methodology

The following description refers to the methodology Etica Funds used to prepare the 2021 Impact Report, the document that measures the results of environmental, social and governance impact.

Each year, Etica measures the impact of securities selection (in comparison to a reference market or benchmark[1], as well as  engagement activities, carried out through dialogue with the corporate bodies of the companies in which the mutual funds managed by Etica invest.

More information is available in the Impact Report.

Calculating “The impact of selection”

The results presented in this document derive from an Etica process of analysis, research and evaluation based on data provided by Bloomberg, CDP and the Science Based Targets Initiative. In this edition, the reference parameter for the analysis concerns the entire equity portfolio and, for the first time, also the corporate bond portfolio of Etica’s[2] Italian funds and the subfunds belonging to the Luxembourg Multilabel Sicav[3] launched by Etica for the international market and for institutional investors. The issuers under analysis are compared to the benchmark for the equity part of Etica’s Italian funds, i.e. the MSCI World Net Total Return Index (in euro), as a market reference. The companies taken into account in the analysis for Etica investments and the benchmark refer to their composition as of 31 December 2020.

This edition of the Impact Report also details the analysis data separately for the Valori Responsabili Line, the Etica Impatto Clima fund — belonging to the Futuri Responsabili Line — and the three Multilabel Sicav subfunds. Overall, over 570 ESG indicators were considered, which Etica Funds associated with the Sustainable Development Goals. Among these, only the indicators with a coverage threshold higher than 65% were identified and taken into consideration for the companies in the Etica portfolio and those in the benchmark. As in previous years, the exceptions are the indicator relating to greenhouse gas emissions — for which the available data cover approximately 60% of the benchmark — and the indicator relating to the definition of emission reduction targets — whose data are only available for companies that have defined the targets or have signed a commitment to that effect. Considering only the companies that have actually defined a target, the coverage ratio is the indicator used to calculate the delta.

In this report, only a selection of the indicators analysed has been published, taking into consideration the areas with a high level of indirect materiality, as defined by the Etica Social Responsibility Policy, and those defined as strategic for dialogue with the companies, defined in the Etica Engagement Policy. Furthermore, the indicators reported for each area into which the report is divided have been associated with specific targets that refer to the United Nations Sustainable Development Goals. Many of the indicators selected refer to the thematic areas identified for reporting the main adverse impacts of investment choices on sustainability factors, defined by regulatory technical standards (RTSs), standards relating to the content, methodologies and presentation of the disclosures required by the Sustainable Finance Disclosure (SFDR) Regulation of the European Union.

Each impact indicator is calculated as the delta of the percentage of companies which meet a specific criterion in Etica investments (a) and the same percentage for the benchmark (b), i.e.:

delta = (a-b)/b multiplied by 100

Example. Companies developing initiatives to protect biodiversity: Etica Funds = 42%, Benchmark = 35%. The impact is +20%, i.e. (42-35)/35 multiplied by 100.

Calculating “The impact of dialogue”

The data on dialogue were processed on the basis of the data collected by Etica and the assessments Etica analysts assigned to the answers provided by the companies with which there was dialogue during the year. The evaluation of the answers is based on a scale ranging from 0 to 5, on an increasing scale. Scores are assigned based on the completeness of the response, the degree of detail provided and how proactive the company was.

The data relating to the response rates in the various dialogue areas are calculated as the ratio between the questions asked by Etica for each area and the responses received, to which it was possible to attribute an assessment. The questions posed within collaborative dialogue initiatives together with other institutional investors are not included in the calculation in this document, but only those posed directly by Etica to the companies.

Example. “Has the company defined targets for reducing greenhouse gas emissions approved by the Science Based Targets Initiative?” If the company’s response “partially satisfactory” according to Etica evaluations, this response is given a score of 3 (on a scale from 0 to 5).


[1] MSCI World Net Total Return (in euro).

[2] Funds belonging to the Valori Responsabili and Futuri Responsabili lines (currently only the Etica Impatto Clima Fund).

[3] The three Luxembourg subfunds are part of Multilabel Sicav, a Luxembourg investment company established by Gam (Luxembourg), one of the leading companies in Europe specialised in providing private labelling services (branded products). GAM (Luxembourg) S.A. is the management company and domestic agent of MULTILABEL SICAV, while Etica Sgr is the investment manager and global distributor of the three subfunds. The subfunds, launched at the end of 2019, tend to replicate some of the consolidated strategies of the Etica Funds Italian product range. They are registered in Luxembourg, Switzerland, Spain and Italy (for Italy, limited to institutional customers).