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Systematica Investments

PRI reporting framework 2020

You are in Strategy and Governance » Objectives and strategies

Objectives and strategies

SG 05. RI goals and objectives

05.1. Indicate if and how frequently your organisation sets and reviews objectives for its responsible investment activities.

05.2. Additional information. [Optional]

Systematica’s Investment Committee reviews all components of the systematic investment strategies. These also include the ESG considerations taken into account by Systematica’s research team when developing an investment idea. Further, given Systematica’s management has sustainable development at heart and tracks progress on the ESG front, these are also taken into account by Systematica’s Executive Committee. Furthermore, departments other than the research team also have their share of responsibility in ensuring our Resonsible Investment Policy is correctly implemented and observed. These include Systematica’s investment team, compliance team and risk team.

SG 06. Main goals/objectives this year

06.1. List the main responsible investment objectives that your organisation set for the reporting year.

Responsible investment processes

Key performance indicator

          Number of meetings in which we reported on the progress of our strategic ESG efforts.

Progress achieved

We have reported 4 times in 2019 at the Executive Committee level.

During our company-wide offsite weekend, we did a session on the state of ESG integration in the industry and our company progress.

Durng the company wide monthly meetings, we touched on the progress of the ESG integration on at least 3 occasions.


Key performance indicator

          Exclusion list in place
Full ESG integration in place in our alternative risk premia products

Progress achieved

We currently have an exclusion list in place covering all of our managed AUM.

We have completed the research in 2019, onboarded additional data vendors in Jan 2020. Completed the final Investment committee review and released the integration factor in production in Feb 2020. As of March 2020, the integration has been ramped up to full risk. 

Financial performance of investments

Key performance indicator

          Contribution of ESG factor to performance

Progress achieved

While this factor is not expected to deliver performance to the program as reliably over a similar time-frame than our other sources of alpha. We were pleased to see the integration effort improve the last years of the backtest. 

So far the ESG integration has also contributed positively to performance in live trading.

ESG characteristics of investments

Key performance indicator

          Net exposure to ESG best in class and ESG exclusion companies

Progress achieved

We have developed a methodology for measuring and improving the sustainability of our fund holdings. Our program had in average (over last 20 years of simulation) a net long exposure to best in class companies of about +13% and a +10% net long exposure to worst offenders (or a total net +3% average exposure to a L/S basket of Best-Worst ESG stocks). Following integration, these values moved to +34% long exposure to best in class stocks and short 6% exposure to worst offenders or a total net exposure of +40% (instead of +3%).


Other activities

Key performance indicator

          Number of initiatives joined

Progress achieved

In the last reporting period,

1. We licensed the SASB framework: "Systematica Investments GP Limited licenses and applies the SASB Materiality Map® General Issue Categories in our work.”

2. We joined the Carbon Disclosure Project

3. We started supporting the TCFD publicy

4. We co-founded the ESG working group within SBAI




06.2. Additional information.