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.

• Special contribution: "Fixed Income ESG Model and Performance Analysis"

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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