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Lombard Odier

PRI reporting framework 2020

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Monitoring and reporting

HF 12. Long/short exposure and reporting

12.1. Could you indicate whether you report separately on your funds’ long/short/net exposures?

12.2. Please explain your reporting process.

Exposure

ESG data/reporting process

          TerreNeuve Sustainability Rating System
        

KPI and assessment

          We constantly monitor the sustainability ratings of our companies and review the weightings we allocate to different ESG factors in our rating system.
        

ESG data/reporting process

          TerreNeuve Sustainability Rating System
        

KPI and assessment

          We constantly monitor the sustainability ratings of our companies and review the weightings we allocate to different ESG factors in our rating system.
        

ESG data/reporting process

          TerreNeuve Sustainability Rating System
        

KPI and assessment

          We constantly monitor the sustainability ratings of our companies and review the weightings we allocate to different ESG factors in our rating system.
        

12.3. Additional information [OPTIONAL]

          As explained previously, the TerreNeuve investment team has developed a proprietary sustainability rating system for their investment universe over the last decade, which acts as an extended company due diligence framework. 
40% of a company’s sustainability rating feeds through from external ESG data sources such as: Sustainalytics, Trucost, Glassdoor, Company Reports, Google Trends, Bloomberg and ISS data. The remaining 60% comes from internally generated qualitative and quantitative inputs from the team. The majority of these inputs feed through from an intensive company meetings program, of around 700 each year. We have formed very strong relationships with company management teams in our sectors and benefit a lot from these meetings, both in terms of issuer specific factors as well wider industry dynamics. 
We also directly ask companies for particular non-publically available inputs that feed into our sustainability rating system (e.g. employee turnover data). In addition, we regularly interact with private companies, consultants, industry experts, NGOs and policy makers. 
The rating system allows us to constantly monitor the ESG performance of our investments. Our data rating is fully transparent and we are happy to share our findings with investors.

The above information is reflective of our 1798 TerreNeuve strategy.
        

HF 13. Metrics/KPI for RI progress

13.1. Please describe what metrics/initiatives (internal and/or external) your organisation uses to measure its progress in incorporating RI into the investment process.

Hedge Funds Strategy
Equity Hedge
Metrics/Initiatives
Internal/external
Metrics/Initiatives definition
          As previously mentioned, the TerreNeuve investment team has developed a proprietary sustainability rating system for their investment universe over the last decade, which acts as an extended company due diligence framework. 40% of a company’s sustainability rating feeds through from external ESG data sources such as: Sustainalytics, Trucost, Glassdoor, Company Reports, Google Trends, Bloomberg and ISS data. The remaining 60% comes from internally generated qualitative and quantitative inputs from the team. The majority of these inputs feed through from an intensive company meetings program, of around 700 each year. We have formed very strong relationships with company management teams in our sectors and benefit a lot from these meetings, both in terms of issuer specific factors as well wider industry dynamics. 
We also directly ask companies for particular non-publically available inputs that feed into our sustainability rating system (e.g. employee turnover data). 
In addition, we regularly interact with private companies, consultants, industry experts, NGOs and policy makers.
        
Assessment/outcomes
          The sustainability rating we give a company is only one component of the extensive due diligence we carry out. Therefore it is hard to quantify/assess the direct impact of the integration of ESG data. 
However, as the rating system forms a key component of the strategy's investment process the effectiveness can be measured through headline strategy performance.
        

13.2. Additional information [OPTIONAL]

          This information is reflective of our 1798 TerreNeuve strategy.
        

HF 14. Exposure to climate risk

14.1. Does your organisation assess the funds’ exposure to climate-related risks, measure and monitor the carbon footprint of its investment portfolio?

14.2. If yes, explain the methodology followed and assessment process.

Hedge Fund Strategy
Equity Hedge
KPI
Methodology
          We measure a company’s absolute carbon emission as well as the trend using external data from Trucost.
        
Assessment
          We measure a company’s climate change impact through their carbon emission. We also carry out a materiality assessment of the company and apply different weightings to the climate change factor depending on its importance to the company’s business model. We also analyse a company’s portfolio of goods and services to determine whether they stand to benefit or suffer from climate change. For example, we try to factor in the cost of externalities (e.g. higher cost of CO2 credits for materials companies).

This information is reflective of our 1798 TerreNeuve strategy.
        

HF 15. Reports to investors

15.1. How often and in what format (e.g. meetings, written reports) does your organisation report to its investors on ESG activities risks assessments? Please provide reporting examples.

Frequency of reporting
Format

specify

          Newsletters
        
ESG activities
Portfolio ESG risks assessment

specify

          Monthly performance reporting. Stock specific commentary, (particularly around sustainability driven investment theses).
        
Outcomes
          To provide investors with an insight into how sustainability is integrated into our idea generation process. 

This information is reflective of our 1798 TerreNeuve strategy.
        
Frequency of reporting
Format
ESG activities
Portfolio ESG risks assessment

specify

          Annual strategy outlook discussing the sustainability themes we believe will drive our coverage sectors going forwards and how portfolios are positioned to benefit.
        
Outcomes
          To provide investors with insight into how we believe sustainability issues will influence our sector coverage and how we aim to benefit from these trends.
        
Frequency of reporting
Format

specify

          Investor meetings.
        
ESG activities
Portfolio ESG risks assessment

specify

          Meetings with investment team to discuss current positioning, particularly around sustainability driven investment theses.
        
Outcomes
          Transparency allowing investors to gain more insights into how we incorporate sustainability into our investment process. We want to further discuss sustainability issues which we believe will influence our sector coverage and how we aim to benefit from these trends.
        

15.2. Additional information [OPTIONAL]

          The above information is reflective of our 1798 TerreNeuve strategy.
        

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