Newsroom
CPR AM expands fixed income range with CPR Invest - Smart Beta Credit ESG Fund
London, UK, March 4, 2019
- Fund will invest in euro-dominated investment grade credit bonds
- Defensive risk profile (aims to achieve a return comparable to the euro-denominated investment grade credit market, with a lower risk over the long term)
- Integrates CPR AM’s ESG criteria to exclude companies with the worst overall ESG scoring and the worst ratings on specific E, S, and G criteria
- Follows the recent launch of Education and Climate Change thematic equities funds
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 on 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 overweighs 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 to gain exposure to investment grade bonds denominated in euro 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
CARACTERISTIQUES – CPR INVEST – SMART BETA CREDIT ESG
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GENERAL |
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Management company |
CPR Asset Management |
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Legal form |
Sub-fund of the Luxembourg SICAV CPR Invest |
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Inception date |
06/12/2018 |
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Minimum recommended period |
More than 3 years |
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Reference currency |
EUR |
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Registration countries |
Austria, Belgium, Czech Republic, Finland, France, the Netherlands, Spain, Sweden, Switzerland (pending), United Kingdom |
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SHARE CLASS |
A-Acc / A-Dist |
I-Acc |
E-Acc |
R-Acc |
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ISIN code |
C : LU1902444584 |
LU1861294582 |
LU1902445045 |
LU1902444824 |
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Investor type |
All investors |
Institutional investors |
Institutional investors "Early birds"* |
Distributors without retrocessions |
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Share class launch date |
06/12/2018 |
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Share class reference currency |
EUR |
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Currency hedge |
Non-euro investments are aimed to be hedged against the euro. |
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Appropriation of income |
Accumulation or distribution |
Accumulation |
Accumulation |
Accumulation |
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ORDERS |
A-Acc / A-Dist |
I-Acc |
E-Acc |
R-Acc |
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Minimum 1st subscription |
1 fraction of share |
€ 100 000 |
€ 100 000 |
1 fraction of share |
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Valuation frequency |
Daily |
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Centralisation time (Luxembourg time) |
Before 2:00 p.m. on the basis of the NAV as at D |
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S/R value date |
D+2 |
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Custodian |
CACEIS Bank, Luxembourg branch |
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FEES** |
A-Acc / A-Dist |
I-Acc |
E-Acc |
R-Acc |
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Max. subscription fee |
5,00 % |
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Max. redemption fee |
None |
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Max. management fee p.a. (incl. tax) |
1,00% |
0,50% |
0,40% |
0,60% |
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Max. administration fee p.a. |
0,30 % |
0,20 % |
0,20 % |
0,30 % |
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Max. conversion fee (incl. tax) |
None |
5,00% |
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Performance fees*** |
20% of the performance of the sub-fund above the reference assets, incl. tax, within the limit of 1% of net assets |
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PROFILE |
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Management objective: outperform the Reference indicator with lower risk, over any 3-year period, while integrating Environmental, Social and Governance (E, S, and G – or, when taken together, ESG) criteria in the investment process. |
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Reference indicator: Bloomberg Barclays Euro-Agg corporate Total Return Index denominated in the currency of each relevant Share Class. |
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Investment universe |
Bonds denominated in euro issued by private issuers around the world |
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Duration range (interest rates) |
[0; +6] |
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Duration range (credit) |
[0; +6] |
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RISKS** |
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Risk of capital loss |
Yes |
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Interest rates and credit risk |
Yes |
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Market risk |
Yes |
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Counterparty risk |
Yes |
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Liquidity risk |
Yes |
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RISK SCALE (SRRI)**** |
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Lower risk, |
Higher risk, |
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typically lower rewards |
typically higher rewards |
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