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

London, UK, 3/4/19,  by Amundi

  • 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

GENERAL

Management company

CPR Asset Management

Legal form

Sub-fund of the Luxembourg SICAV CPR Invest

Inception date

06/12/2018

Minimum recommended period

More than 3 years

Reference currency

EUR

Registration countries

Austria, Belgium, Czech Republic, Finland, France, the Netherlands, Spain, Sweden,

Switzerland (pending), United Kingdom

SHARE CLASS

A-Acc / A-Dist

I-Acc

E-Acc

R-Acc

 

ISIN code

C : LU1902444584
D : LU1902444667

LU1861294582

LU1902445045

LU1902444824

 

Investor type

All investors

Institutional investors

Institutional investors "Early birds"*

Distributors without retrocessions

Share class launch date

06/12/2018

Share class reference currency

EUR

Currency hedge

Non-euro investments are aimed to be hedged against the euro.

Appropriation of income

Accumulation or distribution

Accumulation

Accumulation

Accumulation

ORDERS

A-Acc / A-Dist

I-Acc

E-Acc

R-Acc

Minimum 1st subscription

1 fraction of share

€ 100 000

€ 100 000

1 fraction of share

Valuation frequency

Daily

Centralisation time (Luxembourg time)

Before 2:00 p.m. on the basis of the NAV as at D

S/R value date

D+2

Custodian

CACEIS Bank, Luxembourg branch

FEES**

A-Acc / A-Dist

I-Acc

E-Acc

R-Acc

Max. subscription fee

5,00 %

Max. redemption fee

None

Max. management fee p.a. (incl. tax)

1,00%

0,50%

0,40%

0,60%

Max. administration fee p.a.

0,30 %

0,20 %

0,20 %

0,30 %

Max. conversion fee (incl. tax)

None

5,00%

Performance fees***

20% of the performance of the sub-fund above the reference assets, incl. tax, within the limit of 1% of net assets

PROFILE

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.

Reference indicator: Bloomberg Barclays Euro-Agg corporate Total Return Index denominated in the currency of each relevant Share Class.

Investment universe

Bonds denominated in euro issued by private issuers around the world

Duration range (interest rates)

[0; +6]

Duration range (credit)

[0; +6]

RISKS**

Risk of capital loss

Yes

Interest rates and credit risk

Yes

Market risk

Yes

Counterparty risk

Yes

Liquidity risk

Yes

RISK SCALE (SRRI)****

Lower risk,

 

Higher risk,

 

typically lower rewards

 

typically higher rewards

 

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Amundi is Europe’s largest asset manager by assets under management and ranks in the top 10[1] globally. It manages more than 1.470 trillion[2] euros of assets across six main investment hubs[3]. Amundi offers its clients in Europe, Asia-Pacific, the Middle East and the Americas a wealth of market expertise and a full range of capabilities across the active, passive and real assets investment universes. Clients also have access to a complete set of services and tools. Headquartered in Paris, and listed since November 2015, Amundi is the 1st asset manager in Europe by market capitalization[4].

 

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Footnotes

 

  1. ^ [1] Source IPE “Top 400 asset managers” published in June 2018 and based on AUM as of end December 2017
  2. ^ [2] Amundi figures as of September 30, 2018
  3. ^ [3] Investment hubs: Boston, Dublin, London, Milan, Paris and Tokyo
  4. ^ [4] Based on market capitalization as of September 30, 2018

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