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Quoniam Asset Management GmbH

PRI reporting framework 2019

You are in Direct - Fixed Income » ESG incorporation in actively managed fixed income » (C) Implementation: Integration

(C) Implementation: Integration

FI 10. Integration overview

10.1. Describe your approach to integrating ESG into traditional financial analysis.

Quantitative ESG KPIs such as E,S, G and aggregate ESG scores are sourced for all issuers in the investment universe. These are subsequently translated into standardized scores. The standardized scores are then used during portfolio construction to "shift" the portfolio towards superior ESG characteristics. In addition, carbon footprint analysis is conducted using carbon intensity as a key metric.

10.2. Describe how your ESG integration approach is adapted to each of the different types of fixed income you invest in.

Corporate (financial)

The above mentioned process is not applied to SSA and covered bonds but to the entire corporate and financials segment. There is no difference in the process between corporates and financials.

10.3. Additional information [OPTIONAL]


FI 11. Integration - ESG information in investment processes

11.1. Indicate how ESG information is typically used as part of your investment process.

Select all that apply
Corporate (financial)
ESG analysis is integrated into fundamental analysis
ESG analysis is used to adjust the internal credit assessments of issuers.
ESG analysis is used to adjust forecasted financials and future cash flow estimates.
ESG analysis impacts the ranking of an issuer relative to a chosen peer group.
An issuer's ESG bond spreads and its relative value versus its sector peers are analysed to find out if all risks are priced in.
The impact of ESG analysis on bonds of an issuer with different durations/maturities are analysed.
Sensitivity analysis and scenario analysis are applied to valuation models to compare the difference between base-case and ESG-integrated security valuation.
ESG analysis is integrated into portfolio weighting decisions.
Companies, sectors, countries and currency and monitored for changes in ESG exposure and for breaches of risk limits.
The ESG profile of portfolios is examined for securities with high ESG risks and assessed relative to the ESG profile of a benchmark.
Other, specify

11.2. Additional information [OPTIONAL]

In Quoniam's quantititative investment process, portfolio weightings are determined in a systematic portfolio construction process. It calculates optimal weights combining forecasts for returns, risk, transaction costs as well as ESG KPIs such as average ESG score and carbon intensity. The ESG metrics are treated as risk factors, so that the process is typically allocating towards superior ESG metrics at the portfolio level.


FI 12. Integration - E,S and G issues reviewed

12.1. Indicate the extent to which ESG issues are reviewed in your integration process.

Environment
Social
Governance
Corporate (financial)

Environmental

Social

Governance

12.2. Please provide more detail on how you review E, S and/or G factors in your integration process.

Corporate (financial)

In Quoniam's quantititative investment process, portfolio weightings are determined in a systematic portfolio construction process. It calculates optimal weights combining forecasts for returns, risk, transaction costs as well as ESG KPIs such as average ESG score and carbon intensity. The ESG metrics are treated as risk factors, so that the process is typically allocating towards superior ESG metrics at the portfolio level.

12.3. Additional information.[OPTIONAL]


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