Measuring ESG Effects in Systematic InvestingAuthor :
Hardback
Published : Thursday 11 April 2024
Description
A unique perspective on the implications of incorporating ESG considerations in systematic investing In Integrating ESG in Systematic Investing, a team of authors from Barclays top-ranked Quantitative Portfolio Strategy group (ranked #1 by Institutional Investor in its 2022 Global Fixed Income Research Survey in both the US and Europe) delivers an insightful and practical discussion of how to reflect ESG considerations in systematic investing. The authors offer a cross-asset class perspective-incorporating both credit and equity markets in the United States, Europe, and China-a unique coverage scope amongst books on this subject. They discuss the interaction between ESG ratings and various other security characteristics, suggest a methodology for isolating the ESG-specific risk premia, analyse the impact of an ESG tilt on systematic strategies and risk factors, and identify several ESG-based signals that are predictive of future performance. Youll also discover: Analysis of companies in the process of improving their ESG ranking ("ESG improvers") vs. firms with best-in-class ESG ratingsA study using natural language processing (NLP) to predict changes in corporate ESG rankings from company job postings for sustainability-related positionsIn-depth explorations of ESG equity fund performance and flows and the information content of ESG ratings dispersion across several providersPerfect for portfolio managers including non-quantitative, fundamental investors, risk managers, and research analysts at financial institutions such as asset managers, pension funds, banks, sovereign wealth funds, hedge funds, and insurance companies, Integrating ESG in Systematic Investing is also a must-read resource for academics with a research interest in the performance and risk implications of ESG investing.
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