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Systematica Investments

PRI reporting framework 2020

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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
          Our process is data driven and automated.
          We use the research as a source of inspiration and to keep up with recent development in the RI space.
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)
ESG data (proprietary, 3rd party, etc.)
          see the description of the process in the SG module.
ESG research (broker, etc.)

HF 07. ESG incorporation into quantitative and fundamental analysis

07.1. Does your organisation uses quantitative analysis?

Please indicate at which level ESG is incorporated into the analysis.
Quantitative modelling
ESG incorporation
Outcomes and assessment/review
          So far we have found non-statistically significant impact on alpha but we believe that on a forward looking basis these factors will become more and more material for alpha and risk given the urgency of topics such as climate change, raising water levels, loss of biodiversity and the growing policy, regulatory, fiscal and legal pressure to solve these ongoing problems

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
          Once the fundamental bottom-up approach is completed, we cross check ESG disclosures in IR Materials and during company meetings

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 subscribed to SASB. 
We have finalized our proprietary ESG score. 
We have integrated it into the investment process with significant risk. 
We have also signed up to CDP and are evaluating their data.

HF 09. Integration of Active Ownership

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

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
Equity Hedge
ESG factors
ESG risks/opportunities
          Climate transition risk. De-carbonization opportunities. 
Reputational risks and hiring opportunities.
Financial risks
          Carbon tax, lawsuits, cost of capital.
Scope and process
          Our ESG integration process was rolled out on our Alternative Risk Premia funds. The geographic Scope is Europe and North America. The process is described in module SG.
          The integration process resulted in an average decrease of 62 thousand tons of yearly CO2e emissions in simulation (Total Carbon Emissions), with a reduction 98% of the time. It also resulted in an average exposure of 34% to best in class stocks and 9% short worst offender stocks.

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.
Category of derivatives

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



          The large majority of our funds rely exclusively on derivatives and most of them would not be implementable without derivatives.

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

11.5. Additional information [OPTIONAL]