A unique perspective on the implications of incorporating ESG considerations in systematic investing
In Measuring 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.
You’ll also discover:
- Analysis of companies in the process of improving their ESG ranking (“ESG improvers”) vs. firms with best-in-class ESG ratings
- A study using natural language processing (NLP) to predict changes in corporate ESG rankings from company job postings for sustainability-related positions
- In-depth explorations of ESG equity fund performance and flows and the information content of ESG ratings dispersion across several providers
Perfect 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, Measuring 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.
Table of Contents
MEASURING ESG EFFECTS IN SYSTEMATIC INVESTING
Foreword - C.S. Venkatakrishnan, Barclays Chief Executive Officer
Preface - Jeff Meli, Barclays Head of Research
Introduction - Lev Dynkin, Global Head of Quantitative Portfolio Strategy, Barclays Research
Part I. Effect of ESG Constraints on Portfolio Performance and Valuation: Introduction to Part I
1. How Do ESG Criteria Relate to Other Portfolio Attributes?
2. Measuring the ESG Risk Premium: Credit Markets
3. Measuring the ESG Risk Premium: Equity Markets
4. Performance Impact of an ESG Tilt in Sovereign Bond Markets
5. Effect of SRI-Motivated Exclusion on Performance of Credit Portfolios
Part II. Systematic Strategies and Factor Construction subject to ESG Constraints: Introduction to Part II
4. Effect of ESG Constraints on Credit Active Returns
5. Incorporating ESG Considerations in Equity Factor Construction
Part III: Performance Implications of Companies’ ESG Policies: Introduction to Part III
8. ESG Rating Improvement and Subsequent Portfolio Performance
9. Predicting Companies’ ESG Ratings Changes Using Job Posting Data
10. The Relationship Between Corporate Governance and Profitability
Part IV. The Lack of Uniformity in ESG Definitions - Investment Implications: Introduction to Part IV
11. ESG Equity Funds: Looking Beyond the Label
12. Combining Scores from Multiple ESG Ratings Providers
13. The Informational Content of Dispersion in Firms’ ESG Ratings Across Providers
