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Systematica Investments

PRI reporting framework 2020

You are in Strategy and Governance » ESG issues in asset allocation

ESG issues in asset allocation

SG 13. ESG issues in strategic asset allocation

13.1. Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).

Describe Our process is data driven and we aim to evaluate and assess applicability of new ESG-related datasets as they become available.
Describe On the equity single stock side we use disclosed GHG Emissions, Water usage and Waste to assess sensitivity of issuers to the inevitable policy response

13.2. Indicate if your organisation considers ESG issues in strategic asset allocation and/or allocation of assets between sectors or geographic markets.

We do the following

13.3. Additional information. [OPTIONAL]

As part of the ESG process, Systematica’s research team continuously evaluates multiple sources of ESG raw and derived data - whether this is data voluntarily disclosed by issuers as part of their sustainability fillings or collected by experts in the field - with the goal of obtaining the best possible indicators to incorporate in our systematic investment approach.

Within the single stock strategies, the automated ESG integration model consists in selecting a small set of material issues in each industry (SASB aligned), and ranking each issuer on their level and improvements along these dimensions. That ranking is combined with the alpha signals in order to tilt the portfolio towads more sustainble holdings. 
When applicable, and in the scope of responsible investing, sustainability of the portfolio holdings can be assessed via characteristics such as ethical, environmental, social or governance related metrics. This includes the identification and triage between ‘best in class’ (i.e. sectors, companies or projects selected for positive ESG performance relative to industry peers) and ‘worst offenders’ (i.e. companies that do not meet certain ESG performance thresholds) and TCFD recommended measures such as total Emissions in the portfolio or weighted Carbon intensity.

SG 13 CC.

SG 14. Long term investment risks and opportunity (Private)

SG 14 CC.

SG 15. Allocation of assets to environmental and social themed areas (Private)