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Research paper titled "Fixed Income ESG Model and Performance Analysis" was published in "Nomura Sustainability Quarterly" Autumn 2020 edition (issued in December).
Authors: Jason Mortimer, Head of Sustainable Investment, Fixed Income, Taro Nagao, Senior Investment Officer, Fixed Income, Nomura Asset Management Co., Ltd.

Jason Mortimer, Head of Sustainable Investment, Fixed Income, and Taro Nagao, Senior Investment Officer, Fixed Income, contributed a research paper to the "Nomura Sustainability Quarterly" Autumn 2020 edition (Published in December).

Nomura Asset Management has developed a proprietary ESG quantitative assessment model for fixed income investment. The aim of the model is to reduce downside risk due changes in issuer creditworthiness. Long-term back-testing has confirmed a positive relationship between ESG quantitative assessments and risk-adjusted returns in U.S. and European fixed income markets. This research paper discusses the motivation and methodology for developing a systematic ESG integration approach for fixed income portfolio management and presents a unique quantitative analysis of the relationship between ESG evaluation and performance.

Nomura Asset Management Jason Mortimer, Taro Nagao

"Nomura Sustainability Quarterly" is a quarterly publication that explains the sustainable finance market in Japan and overseas, including ESG/SDG-related topics and events, and summarizes the issues. The quarterly publication also includes statistical data on the sustainable finance market.

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