Monday 04 March 2019

PRESS RELEASE - CPR AM expands fixed income range with CPR Invest - Smart Beta Credit ESG Fund

London, 4 March 2019 - CPR Invest - Smart Beta Credit ESG is an open-ended fund incorporated in Luxembourg that aims to achieve a return comparable to the euro-denominated investment grade credit market, with a lower risk over the long term.

The Fund is managed by Fanny Jacquemont and is based on a quantitative model developed by CPR AM’s research team.  

Julien Daire, head of fixed income and credit, said: “Investors are constantly searching for yield in this low interest rate environment. But because of on-going geopolitical uncertainty, accessing credit with the lowest level of risk possible is more critical than ever.”

To achieve the optimal risk-reward ratio over a long-term horizon, the Fund’s investment universe focuses on securities with a maturity of less than five years within the BBB- to BB rated segments of the market. The team will closely look at the specific risks associated with credit issuers, because especially for the credit markets performance is not significantly better when premium securities are selected, but returns can be largely impacted if lower quality securities are selected. Specific risk is therefore determined by non-financial and financial criteria:

  • Integrating ESG criteria in the investment process provides additional non-financial data that complements traditional market and credit risk analysis. This sustainable approach allows the manager to exclude companies based on both the worst overall ESG scoring and the worst ratings for some specific E, S and G criteria, chosen for their financial materiality.
  • Our team of credit analysts also excludes any issuers with default or downgrade risk.

The fund underweights securities most impacted by an increase in spreads and overweights those offering higher returns.

CPR AM’s quantitative model incorporates a liquidity risk factor which is particularly important for credit.  The team carefully monitors micro-level asset class liquidity that is of critical importance in times of market stress. The final portfolio contains about 300 securities.

The Fund is registered in Austria, Belgium, Spain, Finland, France, Netherlands, Czech Republic, United Kingdom and Sweden.

Noémie Hadjadj-Gomes, Deputy Head of Research at CPR AM, added: “Smart Beta credit strategies are attractive in the current environment as they provide diversification to traditional credit without incurring duration risk, additional credit risk, or behavioural investing bias.”

CPR Invest – Smart Beta Crédit ESG is designed for investors wishing togain exposure to investment grade bonds denominated in euros with a defensive risk profile and/or an awareness of ESG criteria.

More information :

CPR AM risk based ESG approach also works for corporate bonds by Antoine Gougeon, Research Engineer

How do you build a low-risk credit strategy? by Noémie Hadjadj-Gomes, Deputy Head of Research

Find below the full press release.

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