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France's ERAFP measures carbon footprint of listed equities portfolio

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French public sector pension fund ERAFP has said its equity portfolio has a carbon footprint 19% smaller than the overall market as a result of its environmental best-in-class investment strategy. 

The €15bn pension fund said the data emerged after it commissioned the first carbon audit of its listed equities investment. 

According to the analysis, ERAFP’s consolidated equity portfolio had a carbon intensity of 329 metric tonnes of CO2 equivalent per million euros of sales. 

This means the carbon intensity of the pension fund’s portfolio is 19% less than that of the MSCI All World Index, it said.

The fund said it had asked environmental data firm Trucost to gauge the level of greenhouse gas (GHG) emissions its equity portfolio of large listed companies was responsible for. 

ERAFP said it carried out the exercise because of its policy of responsible investment for the long term, and also because of its commitment as a member of the Institutional Investors Group on Climate Change (IIGCC).

The audit had been done using data disclosed by the companies on direct – or level 1 – GHG emissions, as well as indirect GHG emissions and main suppliers, the pension fund said. 

ERAFP said: “The portfolio’s relatively better performance against the index partly reflects ERAFP’s best-in-class strategy, consisting of investing only in the best companies in each sector in terms of environmental social and governance criteria.” 

The pension fund said it decided to analyse only the portfolio of large listed companies because it could be reasonably confident the data disclosed by this type of issuer was complete and reliable.

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