将可持续性因素纳入系统化主动固定收益策略

关键论点

• 可持续性因素可被嵌入系统性主动固定收益框架，而非作为单独的叠加策略处理。
• SAFI气候策略与标准SAFI策略的差异主要体现在相对于美国与欧元区投资级公司债指数的行业配置及气候指标偏离。
• 气候相关指标与碳强度在不同行业间差异显著，并与所观察到的行业偏离模式一致。
• 回测结果仅为示意性质，系对事后开发的模型进行追溯应用所得，具有内在局限。

对应原文证据

1. Executive summary Systematic Active Fixed Income Climate strategies 4 The SAFI Climate Strategy is designed to reduce exposure to issuers with higher carbon emissions and fossil-fuel-related activities relative to a market- weighted corporate bond index by reallocating capital towards companies better positioned to manage the risks associated with climate change.
2. Strategy profile: SAFI Climate Systematic Active Fixed Income Climate strategies 5 Figure 1: Select metrics and targets for the SAFI Climate Strategy Category Metric Purpose Target relative to the benchmark Backward Looking GHG Intensity CO 2e emissions per $M revenues Considers a company’s emissions in relation to its output.
3. Remove bonds scored 24 or lower (climate laggards) † Product & Norms-Based Sustainability Risks 1.