This report shows public data only. Is this your organisation? If so, login here to view your full report.

Quoniam Asset Management GmbH

PRI reporting framework 2020

Export Public Responses
Pdf-img

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.

Quoniam's holistic integration approach serves to reflect that ESG is an integral part of the investment process, with ESG data and criteria being incorporated into the traditional financial analysis during portfolio construction. ESG integration results in a portfolio with a better sustainability profile, optimised in terms of ESG scores, ecological footprint and the UN's Sustainable Development Goals.

ESG scores: ESG scores are widely used in the context of ESG ratings. They allow us to cover a broad spectrum of sustainability metrics when picking securities for our funds.

Ecological footprints: A prominent example of an ecological footprint is the carbon footprint (carbon intensity) of companies. In pursuit of the internationally accepted 'two-degree target' and the decarbonisation of our economic system in the medium to long term, emissions are of particular - and growing - relevance. To calculate the carbon intensity of an investment portfolio, we look at the carbon emission of a company in comparison with their revenue. The weighted metrics for each portfolio company then yields the portfolio's carbon footprint. With this calculation methodology, it is possible to look at the carbon footprint of a portfolio without it being distorted by the portfolio's absolute value, or the value of the capital invested. Other examples of ecological footprints include waste and water footprints. Calculation and aggregation of these intensity metrics are similar to the approach used for carbon intensity.

UN Sustainable Development Goals (SDGs): The UN has defined 17 Sustainable Development Goals, also known as the Global Goals. Amongst these are an end to poverty and hunger, and the insurance of affordable and clean energy by 2030. More and more companies report on how they contribute to these SDGs.

 

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 applied to the entire corporate and financials segment. There is no difference in the process between corporates and financials.

Corporate (non-financial)

The above mentioned process is applied 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)
Corporate (non-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 in Additional Information

11.2. Additional information [OPTIONAL]

In Quoniam's quantitative investment process, portfolio weightings are determined in a systematic portfolio construction process. It automatically calculates optimal weights combining forecasts for returns, risk, transaction costs as well as ESG KPIs such as ESG scores, ecological footprint and the UN's Sustainable Development Goals. The ESG metrics are treated as risk factors, so that the process is typically allocating towards superior ESG characteristics at the portfolio level.

Comprehensive data on the quality of a company's management are provided by MSCI ESG research. These data as well as internal derivatives of them are available to portfolio managers and used to monitor exposures.


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

Corporate (non-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)

ESG integration results in a portfolio with a better sustainability profile, optimised in terms of ESG scores, carbon footprint and the UN's Sustainable Development Goals.

In Quoniam's quantitative investment process, portfolio weightings are determined in a systematic portfolio construction process. It automatically calculates optimal weights combining forecasts for returns, risk, transaction costs as well as ESG KPIs such as ESG scores, ecological footprint and the UN's Sustainable Development Goals. The ESG metrics are treated as risk factors, so that the process is typically allocating towards superior ESG characteristics at the portfolio level.

Comprehensive data on the quality of a company's management are provided by MSCI ESG research. These data as well as internal derivatives of them are available to portfolio managers and used to monitor exposures.

 

Corporate (non-financial)

Our methodology for financial and non-financial issuers is the same.

12.3. Additional information.[OPTIONAL]


Top