Unigestion Research Projects 2022

Project Objectives
Equities ESG Score Integrate SASB materiality map in our ESG score
Equities Physical Risk Control Implement physical risk constraints within our risk management approach
ESG policy for Derivatives Implement ESG policy for derivatives used in our portfolios
Incorporating SBTi in due diligence Considering forward looking emissions and alignment for investment
TCFD Reporting TCFD report for PE funds
PAI Reporting Principal Adverse Impact dedicated report
Climate Action Policy Methodology for climate change control (forward-looking objectives)
Alternative ESG Data for PE / SDG Use alternative PE data (beyond traditional and internal data) to measure contributions to SDG
ESG policy for cash instruments Design and implement an ESG policy for cash instruments used in our portfolios
Climate stress testing Investigate potential improvements of our Climate scenario analysis
Improvement in downside/upside capture asymmetry Explore new approaches to risk forecasting / modelling such as instrumental PCA and macro-economic conditionality
Explore new approaches to portfolio construction, testing ideas other than a conventional Minimum Variance optimisation
Cross-fertilization between fundamental stock ratings and machine learning Explore the interaction between the existing machine-learning forecasting model/other quant outputs and fundamental ratings to improve performance and optimize coverage
Suggest improvements to portfolio construction for a better transmission of fundamental ratings to portfolio return
Robo-Analyst Increase the impact of analysts through a better collaboration with machines (e.g. NLP)
Private Equity
PE quant company scoring tool Forecast return of private companies, based on structured and non-structured data Finalize the implementation of the model for monitoring and/or funds and companies
Quartile benchmarking Analysis of biases in quartile benchmarking and associated solutions
Cross Asset Solutions
Dynamic Allocation Apply to sector allocation
Risk Model Macro factors used in correlation modelling
Incorporation of higher frequency (intra-day) data into risk model
Alternative Risk Premia / Systematic Defensive Strategies Introduce new strategies that offer performance or diversification benefits (rate value, VIX timing, credit options replication)
Offer Long Term Vega through different wrappers to investors