MSCI SFDR PAI Attribution Framework
Research Paper
November 4, 2024
Preview
The MSCI SFDR Adverse Impact Metrics Methodology serves as a guide for investors in understanding the complexities of Principal Adverse Impact (PAI) indicators. With the increasing practice of reporting on PAIs, there is a need to provide clear explanations for the year-on-year changes observed in portfolio PAIs.
We present attribution frameworks for 16 mandatory PAIs. The frameworks are designed to help investors pinpoint how variations in underlying variables influence the evolution of portfolio PAIs. The frameworks allow users to understand whether year-on-year changes are within the influence of the portfolio manager or driven by factors outside their control. They also offer a tool through which investors can assess and adjust their strategies to meet the objectives of sustainable investing.
The exhibit below provides an illustration of an attribution framework, using PAI 8 (emissions to water) as an example.
Attribution tree of portfolio water emissions
Source: MSCI ESG Research
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
A Framework for Attributing Changes in Portfolio Carbon Footprint
We present a framework that allows investors to understand to what extent changes in a portfolio's carbon footprint are due to companies' real-world decarbonization efforts, a portfolio manager's investment decisions or changes in companies' financing.
MSCI SFDR Adverse Impact Metrics Methodology
The Sustainable Finance Disclosure Regulation (SFDR) is one of the legislative streams of theEuropean Union (EU) Sustainable Finance Package.
Sustainability Reporting Services
ESG and climate reporting requirements have expanded and are evolving globally at an unprecedented rate.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.