Measuring ESG Effects in Systematic Investing (eBook)
416 Seiten
Wiley (Verlag)
978-1-394-21479-2 (ISBN)
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.
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
Erscheint lt. Verlag | 8.4.2024 |
---|---|
Reihe/Serie | Wiley Finance Series |
Sprache | englisch |
Themenwelt | Recht / Steuern ► Wirtschaftsrecht |
Wirtschaft ► Betriebswirtschaft / Management | |
Schlagworte | Business & Finance • Finance & Investments • Finance & Investments Special Topics • Finanz- u. Anlagewesen • Finanzwesen • Investieren • Investition • Mathematics • Mathematik • Mathematik in Wirtschaft u. Finanzwesen • Spezialthemen Finanz- u. Anlagewesen |
ISBN-10 | 1-394-21479-0 / 1394214790 |
ISBN-13 | 978-1-394-21479-2 / 9781394214792 |
Haben Sie eine Frage zum Produkt? |
Größe: 13,2 MB
Kopierschutz: Adobe-DRM
Adobe-DRM ist ein Kopierschutz, der das eBook vor Mißbrauch schützen soll. Dabei wird das eBook bereits beim Download auf Ihre persönliche Adobe-ID autorisiert. Lesen können Sie das eBook dann nur auf den Geräten, welche ebenfalls auf Ihre Adobe-ID registriert sind.
Details zum Adobe-DRM
Dateiformat: PDF (Portable Document Format)
Mit einem festen Seitenlayout eignet sich die PDF besonders für Fachbücher mit Spalten, Tabellen und Abbildungen. Eine PDF kann auf fast allen Geräten angezeigt werden, ist aber für kleine Displays (Smartphone, eReader) nur eingeschränkt geeignet.
Systemvoraussetzungen:
PC/Mac: Mit einem PC oder Mac können Sie dieses eBook lesen. Sie benötigen eine
eReader: Dieses eBook kann mit (fast) allen eBook-Readern gelesen werden. Mit dem amazon-Kindle ist es aber nicht kompatibel.
Smartphone/Tablet: Egal ob Apple oder Android, dieses eBook können Sie lesen. Sie benötigen eine
Geräteliste und zusätzliche Hinweise
Buying eBooks from abroad
For tax law reasons we can sell eBooks just within Germany and Switzerland. Regrettably we cannot fulfill eBook-orders from other countries.
aus dem Bereich