Investment Grade Corporate Bonds (SRI)
For the Investment Grade Corporate Bonds (SRI) strategy, risk premia investing is a core part of our credit investment process. The approach is bottom-up driven analysis of companies and building on a combination of the in-house developed multi-factor risk premia model as well as a qualitative due diligence of the corporate issuers.
The aim of our multi-factor strategy is to utilize and benefit from structural and behavioral anomalies in credit markets in order to generate superior excess returns through the economic cycle. The strategy draws upon a combination of Value, Momentum and Quality factor strategies inspired by the original work of Fama and French (1993) but tailored to work with the complex nature of credit markets. The risk premium factors historically perform differently through market cycles but their low or even negative correlation makes it possible to combine all three into a multi-factor strategy that shows very attractive performance attributes.
Investment Policy and Restrictions
The Investment Grade Corporate Bonds (SRI) strategy is managed according to specific principles of socially responsible investments (SRI) and excludes certain companies or securities that violates generally recognized international conventions and standards relating to environment, human rights and business ethics— with revenue from the production or distribution of weapons (0%), alcohol (5%), tobacco (0%), fossil fuels (5%), gaming or adult entertainment (5%). Service companies within oil, gas and coal may, however, account for up to 5% of earnings
These exclusions are binding and the list of excluded companies is constantly changing. If a company does not comply with the criteria, the company cannot be included in the portfolio. Companies and sectors, which are deemed norm-breaking and highly controversial, including fossil fuels, are not selected for the sub-fund. In this way, the investments seek to target companies with a better handling of sustainability risks. The sub-fund also supports environmental targets by building a portfolio with a lower carbon footprint than the benchmark in order to be more resilient to sustainability risks.
The sub-fund promotes, among other characteristics, ESG characteristics. In connection with the selection of assets, Jyske Capital makes an overall assessment of the sustainability risk of the investment. The assessment of sustainability risk is made on the basis of the individual company’s ESG profile and an assessment of the company’s ability to handle such risks.
On an ongoing basis, Jyske Capital screens the sub-fund’s portfolio. Such screenings are based on data from an external service provider with a view to ensuring that the sub-fund solely invests in companies that meet the above-mentioned criteria in respect of responsible investment.