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Brummer & Partners AB

PRI reporting framework 2020

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Monitoring and reporting

HF 12. Long/short exposure and reporting

12.1. Could you indicate whether you report separately on your funds’ long/short/net exposures?

12.2. Please explain your reporting process.

Exposure

ESG data/reporting process

          We do not report on ESG exposures separately
        

KPI and assessment

          We do not report on ESG exposures separately
        

ESG data/reporting process

          We do not report on ESG exposures separately
        

KPI and assessment

          We do not report on ESG exposures separately
        

12.3. Additional information [OPTIONAL]

          
        

HF 13. Metrics/KPI for RI progress

13.1. Please describe what metrics/initiatives (internal and/or external) your organisation uses to measure its progress in incorporating RI into the investment process.

Hedge Funds Strategy
Global macro|Equity Hedge|Relative value|Fund of Hedge Funds
Metrics/Initiatives
Internal/external
Metrics/Initiatives definition
          Number of flagged companies in the quarterly screenings and the ESG issue behind the flag.  
Number of engagements/dialogues with portfolio holdings, topics of engagement and its outcome.  
PRI reporting and the following assessment.
        
Assessment/outcomes
          The portfolio is compliant with the RI policy.
        
Hedge Funds Strategy
Global macro|Equity Hedge|Relative value|Fund of Hedge Funds
Metrics/Initiatives
Internal/external
Metrics/Initiatives definition
          Responsible investment is a continuous learning process. The investment teams together with the Sustainability team, the investor relations team, and senior management team regularly discuss how the group’s responsible investment activities can evolve and improve.
        
Assessment/outcomes
          As the responsible investment activities evolve over time, RI policies are updated accordingly.
        
Hedge Funds Strategy
Global macro|Equity Hedge|Relative value|Fund of Hedge Funds
Metrics/Initiatives
Internal/external
Metrics/Initiatives definition
          The framework and integration of ESG metrics evolves over time, insight and continuous learning is important.
        
Assessment/outcomes
          Climate change and the SDGs were focus areas for several investment managers during 2019.The assessment and measurement of climate change risk and opportunities from a fundamental perspective has improved and resulted in a project to measure the funds’ WACI in 2020.
        
Hedge Funds Strategy
Global macro|Equity Hedge|Relative value|Fund of Hedge Funds
Metrics/Initiatives
Internal/external
Metrics/Initiatives definition
          Brummer & Partners Sustainability team will during 2020 perform scenario analysis on climate-related risks and opportunities for the funds within the group, focusing on BMS. The work is in progress.
        
Assessment/outcomes
          Work is currently ongoing.
        

13.2. Additional information [OPTIONAL]

          
        

HF 14. Exposure to climate risk

14.1. Does your organisation assess the funds’ exposure to climate-related risks, measure and monitor the carbon footprint of its investment portfolio?

14.2. If yes, explain the methodology followed and assessment process.

Hedge Fund Strategy
Global macro|Equity Hedge|Relative value|Fund of Hedge Funds
KPI
Methodology
          ISS-ESG has been consulted to advise and calculate the WACI across a majority of the group assets, with a specific focus on BMS. BMS invests in 10 of the funds in the group and has indirect exposure to a large range of asset classes and strategies.

In order to calculate the WACI for the assets in scope, we applied the regular WACI methodology for corporates, and amended the WACI intensity measure so that it also can be applied across sovereigns and commodities. The results were compounded on portfolio levels, and the metrics were calculated for direct and indirect derivative exposure to equities, fixed income or commodities. As a result, it was possible to aggregate WACI on a BMS level with a significant coverage of the asset classes in scope. 

The following asset level metrics are the results of that approach which is then appropriately aggregated on portfolio levels.

Tons Co2e / Million USD Revenue (Corporations)

Tons Co2e / Million USD GDP (Sovereigns) 

Tons Co2e / Million USD Implied revenue (Commodities)
        
Assessment
          The metric has been calculated in order to monitor and assess exposure to climate change risks and opportunities.  

The information is primarily intended to be one of the components of analysing exposure to climate change risks and opportunities for the majority of the group assets. 

There are clear limitations to the metric as it needs to be adjusted before being applied to the asset classes that we are exposed to. However, it can be adjusted, which is less easily done with other metrics relying on ownership of carbon emissions. A specific limitation is accuracy in determining the emissions intensity of commodities and inter-commodity comparison using WACI. One example of a limiting complexity is that some commodities are traded and measured in different stages of their product refinement lifecycles such as soybeans and soybean meal or oil. Another complexity sits in the credibility of the determined carbon emissions factors of commodities over any part of their life cycles, as carbon emissions in production and extraction processes is not identical for any unit of the same commodity. 

It remains to be concluded how material and useful the insight of the calculated WACI is.
        

HF 15. Reports to investors

15.1. How often and in what format (e.g. meetings, written reports) does your organisation report to its investors on ESG activities risks assessments? Please provide reporting examples.

Frequency of reporting
Format
ESG activities
Portfolio ESG risks assessment

specify

          We report on how we integrate ESG risks and opportunities on the website, in annual and semi-annual reports, information materials etc
        
Outcomes
          See above
        
Frequency of reporting
Format

specify

          Meetings and e-mails
        
ESG activities
Portfolio ESG risks assessment

specify

          We engage with clients on ESG matters important to them and seek their feedback.
        
Outcomes
          See above
        

15.2. Additional information [OPTIONAL]

          Brummer & Partners value transparency and good business ethics. We were one of the founding partners of the SBAI and as a firm we strive to contribute to the development of industry best practices, where transparency is an important aspect.
        

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