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Dimensional Fund Advisors

PRI reporting framework 2020

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.

For Dimensional’s fixed income sustainability portfolios, a combination of internal and external data is used to evaluate issuers on a focused set of sustainability concerns. Issuers are evaluated relative to their peers, and issuers with more environmentally sustainable business practices are emphasized while those with less sustainable business practices are deemphasized or excluded.

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

SSA

In sustainability strategies, supranational and agency issuers are evaluated relative to other supranational and agency issuers on greenhouse gas emissions intensity. Those with higher greenhouse gas emissions intensity are excluded, while those with lower greenhouse gas emissions intensity are emphasized.

Corporate (financial)

In sustainability strategies, financial companies are evaluated relative to other financial companies on certain environmental metrics (such as greenhouse gas emissions intensity), and companies with more environmentally sustainable business practices are emphasized while those with less sustainable business practices are deemphasized.

Corporate (non-financial)

In sustainability strategies, non-financial companies are evaluated relative to other non-financial companies on certain environmental metrics (such as greenhouse gas emissions intensity), and companies with more environmentally sustainable business practices are emphasized while those with less sustainable business practices are deemphasized.

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
SSA
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]


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
SSA

Environmental

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.

SSA

In sustainability strategies, supranational and agency issuers are evaluated relative to other supranational and agency issuers on greenhouse gas emissions intensity. Those with higher greenhouse gas emissions intensity are excluded, while those with lower greenhouse gas emissions intensity are emphasized.

Corporate (financial)

In sustainability strategies, financial companies are evaluated relative to other financial companies on certain environmental metrics (such as greenhouse gas emissions intensity), and companies with more environmentally sustainable business practices are emphasized while those with less sustainable business practices are deemphasized.

Corporate (non-financial)

In sustainability strategies, non-financial companies are evaluated relative to other non-financial companies on certain environmental metrics (such as greenhouse gas emissions intensity), and companies with more environmentally sustainable business practices are emphasized while those with less sustainable business practices are deemphasized.

12.3. Additional information.[OPTIONAL]


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