About the Book
"Integrating ESG in Systematic Investing is unique in two respects. Firstly, given that ESG scores and policies are relevant at firm level, the book looks at integrating ESG in both equity and credit markets. Secondly, the book examines ESG through a fully quantitative and systematic lens, as opposed to existing ESG-related research, which tends to be mostly fundamental in nature. The book begins by setting out methods for measuring the ESG-specific risk premium, and moves on to cover ESG considerations in portfolio construction, the performance implications of companies' ESG Policies and the investment implications of a lack of uniformity in ESG Definitions."--
Book Synopsis
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.
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, 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.
From the Back Cover
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
About the Author
LEV DYNKIN, PHD is the founder and Global Head of the Quantitative Portfolio Strategy (QPS) Group at Barclays Research. Lev and QPS joined Barclays in 2008 from Lehman Brothers, where they had been a part of Global Research since 1987 and helped launch the Lehman fixed income indices. QPS was ranked #1 in its category in the US and Europe in the 2023 Institutional Investor Global Fixed Income Research survey and was top-ranked for the past 15 years. Lev and QPS co-authored 4 books: Systematic Investing in Credit, Wiley, 2021; A Decade of Duration Times Spread (DTS), Barclays, 2015; Quantitative Credit Portfolio Management, Wiley, 2011; Quantitative Management of Bond Portfolios, Princeton Univ. Press, 2007.
ARIK BEN DOR, PHD is a Managing Director and a QPS member since 2004. In addition to originating innovative fixed income research for over two decades, he initiated and oversaw QPS extension into equity markets, and the development of cross-market signals between equity and credit markets. Arik co-authored 3 QPS books on quantitative investing, 30 articles in leading industry journals, and is a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and worked at Lehman Brothers and Morgan Stanley prior to Barclays.
ALBERT DESCLÉE is a Managing Director in Barclays QPS based in London, and is responsible for its European activities. He advises investors on all aspects of portfolio construction. He was ranked 1st in Institutional Investor European Fixed Income Research Survey in the Quantitative Analysis Category from 2019 to 2023. He joined Barclays in 2008 from Lehman Brothers. He graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD.
JINGLING GUAN, PHD is a Director in Barclays QPS. She works on research related to systematic investing in both equities and credit, including signal development (especially cross-asset-class signals), portfolio construction, and risk hedging. She joined Barclays in 2015. Jingling holds a PhD in Finance from Kellogg School of Management, Northwestern University.
JAY HYMAN, PHD is a Managing Director in Barclays QPS. He advises investors and publishes research on all aspects of portfolio structuring and risk management, across multiple asset classes. He has co-authored four books with QPS colleagues. Jay joined Barclays in 2008 from Lehman Brothers, where he worked on quantitative portfolio strategies since 1991. Jay holds a PhD in Electrical Engineering from Columbia University.
SIMON POLBENNIKOV, PHD is a Managing Director in Barclays QPS. He is responsible for empirical research of all quantitative aspects of the investment process including systematic strategies and investment styles in fixed income, benchmark customization, tactical allocation, and hedging. Simon joined Barclays in 2008 from Lehman Brothers. Simon holds a PhD in Empirical Finance from Tilburg University, Netherlands.
