Unigestion Research Projects 2022

Equities ESG ScoreIntegrate SASB materiality map in our ESG score
Equities Physical Risk Control Implement physical risk constraints within our risk management approach
ESG policy for DerivativesImplement ESG policy for derivatives used in our portfolios
Incorporating SBTi in due diligenceConsidering forward looking emissions and alignment for investment
TCFD ReportingTCFD report for PE funds
PAI ReportingPrincipal Adverse Impact dedicated report
Climate Action PolicyMethodology for climate change control (forward-looking objectives)
Alternative ESG Data for PE / SDGUse alternative PE data (beyond traditional and internal data) to measure contributions to SDG
ESG policy for cash instrumentsDesign and implement an ESG policy for cash instruments used in our portfolios
Climate stress testingInvestigate potential improvements of our Climate scenario analysis
Improvement in downside/upside capture asymmetryExplore 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 learningExplore 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-AnalystIncrease the impact of analysts through a better collaboration with machines (e.g. NLP)
Private Equity
PE quant company scoring toolForecast 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 benchmarkingAnalysis of biases in quartile benchmarking and associated solutions
Cross Asset Solutions
Dynamic Allocation Apply to sector allocation
Risk ModelMacro factors used in correlation modelling
Incorporation of higher frequency (intra-day) data into risk model
Alternative Risk Premia / Systematic Defensive StrategiesIntroduce new strategies that offer performance or diversification benefits (rate value, VIX timing, credit options replication)
Offer Long Term Vega through different wrappers to investors