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Fulcrum Asset Management LLP

PRI reporting framework 2019

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Investment process

HF 06. ESG data, research and other resources used

Please describe the ESG resources and tools used in your investment decision-making process.
Category of ESG
Reason for use
          
        
          
        
          
        

specify

          External Managers
        
          We engage with our external managers on ESG matters as part of our investment and due-diligence processes both initial and on-going.
        
Select and explain how these resources are incorporated into the investment and risk management process?
Category of ESG
Investment/risk management process
Additional text (optional)
Other resources/tools/practices
          
        

HF 07. ESG incorporation into quantitative and fundamental analysis

07.1. Does your organisation uses quantitative analysis?

07.2. Does your organisation uses fundamental analysis?

Please indicate at which level ESG is incorporated into the analysis.
Fundamental approach
ESG incorporation
Outcomes and assessment/review

Please specify

          Managers' approach to sustainability investing
        
          Feedback and monitoring
        

07.3. Additional information [OPTIONAL]


HF 08. Changes to the RI incorporation process over the past 12 months

08.1. Could you please indicate whether there have been any changes to your RI incorporation process over the past 12 months (e.g. additional resources, information sources)?

08.2. If yes, please describe them.

          We have initiated several firm-wider initiatives that also influence our hedge fund strategies and external manager selection process. We have also added additional questions to the annual hedge fund monitoring questionnaire.
        

HF 09. Integration of Active Ownership

09.1. Please select and explain how active ownership practices are integrated into investment decisions.

          Engagement with hedge fund managers
        

HF 10. Examples of ESG risks/opportunities in investment decisions

10.1. Please provide examples of where ESG risks and opportunities were incorporated into the investment decisions over the past 12 months.

Hedge Funds Strategy
Global macro|Equity Hedge|Event driven|Relative value
ESG factors
Environmental|Social|Governance
ESG risks/opportunities
          We seek to understand the extent to which ESG risks and opportunities are incorporated in all the hedge funds we invest in. Regrettably, today, there are very few that offer strong ESG alignment but we are positively seeking out such opportunities.
        
Financial risks
          We always consider leverage, alpha share, liquidity and many other risks as part of our investment due-diligence.
        
Scope and process
          We have formal investment and operational due-diligence processes which incorporates the above.
        
Outcomes
          We rate all hedge funds we invest in on a scale of 1 to 4 and this forms part of our decision to invest.
        

10.2. Based on your example(s) provided above, please specify whether the incorporation of ESG factors affected the risk-adjusted returns of your hedge funds.


HF 11. Derivatives products and ESG impact

11.1. Do you use derivatives instruments as part of your hedge funds strategies and/or Funds of Hedge Funds?

Please select all the applicable categories of derivatives used.
Listed/OTC
Category of derivatives

11.3. Could you please explain whether and how these derivatives impacted the risk-adjusted returns of your hedge funds investments?

Impact

Outcomes

          The use of derivatives is an integral part of optimising risk-adjusted returns.
        

11.4. Would you indicate whether the use of derivatives triggered ESG risks/opportunities at the fund level?

11.5. Additional information [OPTIONAL]

          
        

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