CPR AM expands fixed income range with ESG fund

Ridhima Sharma
CPR AM expands fixed income range with ESG fund

CPR AM has expanded fixed income range with CPR Invest - Smart Beta Credit ESG fund. It 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. 

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.

CPR Invest - Smart Beta Crédit ESG is registered in Austria, Belgium, Spain, Finland, France, Netherlands, Czech Republic, United Kingdom and Sweden. It is designed for investors wishing to gain exposure to investment grade bonds denominated in euros with a defensive risk profile and/or an awareness of ESG criteria.