Measuring Esg Effects in Systematic Investing

PRAISE FOR MEASURING ESG EFFECTS IN SYSTEMATIC INVESTING "Over the years Lev Dynkin and team have shown a remarkable talent to address complex and topical themes in a practical fashion. This book is yet another example. ESG has been around for quite some time, but most proof points remained a narrative. In line with previous work by Dynkin and team, this book introduces quantitative approaches to get a better grip and gain more insights in the financial reality of ESG factors. This book is a must for every investor who wants to fully integrate ESG factors in their investment process." -- Eduard van Gelderen, Senior Vice President and Chief Investment Officer, PSP Investments, Canada "ESG is a generational investment theme of critical importance to many institutional investors. In this insightful and unique book, the Quantitative Portfolio Strategy Group at Barclays Research, builds on their prior successful research to provide valuable ESG insights to practitioners. Readers will achieve a strong base knowledge of current state of research, while laying the scientific foundations for new insights. A must-have book for fixed income and equity investors with an ESG lens." --Alex Khein, Chief Executive, BlueCove Limited, United Kingdom "ESG is among the most active research areas in the industry. This book explores various aspects of ESG investing from both a top down and a bottom-up perspective, over time and across asset classes. It addresses the delicate relationship between ESG characteristics and performance and raises the question of whether ESG is a real risk factor. This opus provides a sound methodological framework for identifying bias and controlling for systematic risk exposures, helping practitioners to see beyond the distorted view stemming from simple comparison of sustainability indices with standard ones. A must-read if you're looking for a comprehensive yet detailed overview of ESG investing, based on figures while bearing in mind the constantly evolving regulatory landscape." -- Ibrahima Kobar, Global CIO Fixed Income, Research & Structuring, Ostrum Asset Management, France "This book is a true gem for anyone with a passion for ESG and impact investing. It is groundbreaking in quantifying the risk/return impact of ESG factors and provides practical solutions for improving portfolio construction and the application of ESG data. It does so in a highly objective and very precise manner, with reliable methodologies. All these features are an absolute prerequisite to scale ESG investing with integrity." --Eloy Lindeijer, (Interim Chair of) Board of Directors, Global Impact Investing Network, the Netherlands "Measuring ESG Effects in Systematic Investing is a comprehensive exploration of how ESG criteria impact investment portfolios. This book offers invaluable insights, backed by data and analysis, that will help both seasoned and novice investors to navigate the ESG landscape, integrate ESG considerations in their investment process and correctly measure its implications for performance in credit and equity markets." --George Mussali, CIO of Equity, PanAgora Asset Management, USA "The authors take an agnostic, bias-free approach, and develop methodologies and tools to assist portfolio managers in optimizing fixed-income and equity portfolios given different ESG measures. The book assesses the impact of ESG-consciousness on various aspects of the active investment industry, from portfolio and factor construction to fund flow and performance. It also finds the time series and cross-sectional variation in ESG scores to be informative. The book makes an excellent contribution and can serve as a leading guide to any quantitative institutional investor seeking to incorporate ESG scores into their investment models." --Ronnie Sadka, Haub Family Professor of Finance, Carroll School of Management, Boston College, USA "Lev Dynkin and the QPS team are the pioneers in the research field of ESG and its impact on financial markets. Over the years they have examined the different ESG methodologies, they have derived ideas on measuring the ESG risk premiums and most importantly they made great suggestions to consider for portfolio implementation. Now this extraordinary research is all bundled into this great book, another must-read for modern investment professionals." --Herman Slooijer, CIO Capital Markets, APG Asset Management, the Netherlands