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Brummer & Partners AB

PRI reporting framework 2020

You are in Direct - Hedge Funds » Investment process

投資プロセス

HF 06. ESG data, research and other resources used

貴組織の投資意思決定プロセスで使われるESGリソースおよびツールを記載してください。
ESGのカテゴリー
使用の理由
          To analyse all material factors that may affect the value of an investment, whether labelled ESG or not, is common sense and part of the role description of a PM.
        
          See above.
        
          ISS-ESG is used for screening and exclusion purposes as well as to get additional information about ESG issues in flagged companies.
        
          
        
項目を選択し、それらのリソースがどのように投資およびリスク管理プロセスに組み込まれているか説明してください。
ESGのカテゴリー
投資/リスク管理プロセス
追加の説明(任意)​
ESGデータ (自社、第三者等)
          ESG integration, investment restrictions and engagement with portfolio holdings.
        
ESGリサーチ(ブローカー等)
          ESG integration, investment restrictions and engagement with portfolio holdings.
        
コンサルタント
          Screening, ESG integration, investment restrictions and engagement with portfolio holdings.
        

HF 07. ESG incorporation into quantitative and fundamental analysis

07.1. 貴組織は定量分析を採用していますか。

ESGがいずれのレベルで定量分析に組み込まれるか示してください。
定量モデリング
ESGの組み込み
結果および評価/レビュー

具体的に記述してください。

          Certain markets excluded from trading
        

具体的に記述してください。

          Investment restrictions
        
          Alpha generating ESG parameters are identified as a result of ongoing processes to identify financially material parameters in general.
        

07.2. 貴組織はファンダメンタル分析を採用していますか。

ESGがいずれのレベルでファンダメンタルズ分析に組み込まれるか示してください。
ファンダメンタル・アプローチ
ESGの組み込み
結果および評価/レビュー

Please specify

          ESG treated as any factor
        
          Well informed investment decisions
        

07.3. 追加情報  [任意]

ESG is not treated separately but as any other material factor (risk/opportunity) and hence included in analysis and investment decisions where relevant. Also, it is rarely labelled ESG but instead political risk, regulatory risk, demographical trends, changes in consumption patterns, technological disruption, sustainability etcetera. We are however continuously educating our investment teams on what constitutes ESG to better communicate with clients on our responsible investment practices.  


HF 08. Changes to the RI incorporation process over the past 12 months

08.1. 過去12カ月間に貴組織のRI組み込みプロセスに変更(追加リソース、情報源等)があったか教えてください。

08.2. 「はい」の場合、変更の内容を記述してください。

          Sustainability and responsible investment is an area of continuous learning and we are constantly working on improving and enhancing our investment analyses.   
During 2019, ESG integration was a core focus point for some of the investment teams within the group. On a group level we decided initiate a process to acquire additional ESG data tied to climate risk and opportunities, which will feed into a project that is carried out during 2020.
        

HF 09. Integration of Active Ownership

09.1. 項目を選択し、アクティブオーナーシップ実務がどのように投資判断に組み込まれているか説明してください。

          The funds may vote and typically do so when they believe it is relevant and in their clients' best interest.
        
          The investment teams engage with portfolio companies on ESG issues when they believe it is relevant and they can make a difference. Brummer & Partners Sustainability team supports this process when required.
        
          The funds may vote on shareholder resolutions, and are not prohibited from acting in collaboration with other investors through for example filing and voting shareholder resolutions as long as it is in the clients’ best interest.
        

HF 10. Examples of ESG risks/opportunities in investment decisions

10.1. 過去12カ月間で貴組織の投資判断に組み込まれたESGのリスクおよび機会の例を示してください。

ヘッジファンド戦略
Equity Hedge|Relative value
ESGファクター
Governance
ESGリスク/機会
          Executive remuneration
        
財務リスク
          When CEO's or senior management's compensation packages are misaligned with the goals of the company, or with shareholders' values, there is a risk that it will affect the share price of a company (equity risk).
        
範囲およびプロセス
          Qualitative assessment
        
結果
          Engagement, voting and sometimes a decision to sell/short or not invest at all.
        
ヘッジファンド戦略
Equity Hedge|Relative value
ESGファクター
Social
ESGリスク/機会
          Technological disruption
        
財務リスク
          Companies that are unable to adapt to changing consumer patterns, new business models etc risk going out of business.
        
範囲およびプロセス
          Fundamental analysis
        
結果
          Go long in companies that adapt and take advantage of technological change, short or stay away from those that do not. Capitalize on credit valuation developments and possibly pair with acting on insight of long term yield requirements for certain issuers.
        
ヘッジファンド戦略
Equity Hedge
ESGファクター
Governance
ESGリスク/機会
          Aggressive accounting/forensic accounting
        
財務リスク
          Changing accounting methods may signal problems which may affect the share price of a company at a later stage
        
範囲およびプロセス
          Forensic accounting/fundamental analysis
        
結果
          Short the company
        
ヘッジファンド戦略
Global macro
ESGファクター
Social|Governance
ESGリスク/機会
          Systematic trend following strategies are dependent upon the health and well functioning of financial markets. Only markets with sufficient liquidity and daily traded volumes should be traded and positions sized to minimise the risk of driving prices.
        
財務リスク
          If the models start to affect the price they will distort investment signals and risk affecting the return of a fund.
        
範囲およびプロセス
          Quantitative modelling/analyses
        
結果
          Exclude certain markets from trading
        

10.2. 上記で示された貴組織の例に基づいて、ESGファクターの組み込みが貴組織ヘッジファンドのリスク調整後リターンに影響したか否か教えてください。


HF 11. Derivatives products and ESG impact

11.1. 貴組織は、デリバティブ商品をヘッジファンドおよび/またはファンズ・オブ・ヘッジファンズ戦略の一部として利用しますか?

利用するデリバティブの該当するカテゴリーをすべて選択してください。
上場/店頭(OTC)​
デリバティブのカテゴリー​

11.3. それらのデリバティブが貴組織のヘッジファンド投資のリスク調整後リターンに影響したか、またどのように影響したかを説明してください。

影響

結果

          Derivatives are in some cases a central part of the investment strategies and as such, they contribute to the performance and risk management of the funds. Derivatives are also used as a pure hedging tool to eliminate for example currency risk.
        

11.4. デリバティブの利用がファンド・レベルでESGリスク/機会を誘発したか教えください。

11.5. 追加情報[任意]

          
        

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