Measuring Esg Effects in Systematic Investing
Ben Dor, Arik, Desclee, Albert, Dynkin, Lev
- 出版商: Wiley
- 出版日期: 2024-04-08
- 售價: $3,340
- 貴賓價: 9.5 折 $3,173
- 語言: 英文
- 頁數: 416
- 裝訂: Hardcover - also called cloth, retail trade, or trade
- ISBN: 1394214782
- ISBN-13: 9781394214785
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相關主題
商品描述
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.
商品描述(中文翻譯)
在系統性投資中納入ESG考量的影響的獨特觀點
在《整合ESG於系統性投資中》一書中,巴克萊銀行頂尖的量化投資組合策略團隊(在2022年全球固定收益研究調查中,被機構投資者評為美國和歐洲的第一名)提供了一個深入且實用的討論,闡述如何在系統性投資中反映ESG考量。作者們提供了跨資產類別的觀點,包括美國、歐洲和中國的信用和股票市場,這在該主題的書籍中是獨特的範疇。他們討論了ESG評級與其他各種證券特徵之間的互動,提出了一種分離ESG特定風險溢酬的方法,分析了ESG傾斜對系統性策略和風險因子的影響,並確定了幾個基於ESG的信號,這些信號對未來表現具有預測性。
您還將發現:
- 對正在改善其ESG排名的公司(“ESG改善者”)與具有最佳ESG評級的公司進行分析
- 使用自然語言處理(NLP)預測公司可持續相關職位的招聘信息,以預測企業ESG排名的變化
- 深入探討ESG股票基金的表現和流動性,以及ESG評級在多個提供者之間的差異的信息內容
這本書非常適合投資組合經理,包括非量化、基本面投資者,風險經理以及金融機構(如資產管理公司、養老基金、銀行、主權財富基金、對沖基金和保險公司)的研究分析師。對於對ESG投資的表現和風險影響有研究興趣的學者來說,《整合ESG於系統性投資中》也是一本必讀的資源。
作者簡介
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.
作者簡介(中文翻譯)
LEV DYNKIN, PHD 是巴克萊研究部門量化投資組合策略(QPS)團隊的創始人和全球負責人。Lev和QPS於2008年從雷曼兄弟公司加入巴克萊,此前他們自1987年起一直是全球研究部門的一部分,並協助推出了雷曼固定收益指數。QPS在2023年的《機構投資者全球固定收益研究調查》中在美國和歐洲的該類別中排名第一,並連續15年排名第一。Lev和QPS共同撰寫了4本書籍:《信用系統性投資》(Wiley,2021年);《十年的乘數乘以利差(DTS)》(巴克萊,2015年);《量化信用投資組合管理》(Wiley,2011年);《債券投資組合的量化管理》(普林斯頓大學出版社,2007年)。
ARIK BEN DOR, PHD 是巴克萊QPS的董事總經理,自2004年以來一直是QPS的成員。除了在固定收益研究領域具有二十多年的創新經驗外,他還推動並監督了QPS進入股票市場以及股票市場和信用市場之間的跨市場信號的發展。Arik與QPS合著了3本關於量化投資的書籍,發表了30篇領先行業期刊的文章,並是《投資組合管理期刊》和《固定收益期刊》的編輯委員會成員。他擁有西北大學凱洛格商學院的金融學博士學位,並曾在巴克萊之前在雷曼兄弟和摩根士丹利工作。
ALBERT DESCLÉE 是巴克萊QPS的董事總經理,負責其在倫敦的歐洲業務。他為投資者提供有關投資組合構建的各個方面的建議。他在2019年至2023年的《機構投資者歐洲固定收益研究調查》中在量化分析類別中排名第一。他於2008年從雷曼兄弟加入巴克萊。他畢業於比利時魯汶天主教大學,並獲得INSEAD的MBA學位。
JINGLING GUAN, PHD 是巴克萊QPS的董事,從事與股票和信用的系統性投資相關的研究,包括信號開發(尤其是跨資產類別信號)、投資組合構建和風險對沖。她於2015年加入巴克萊。Jingling擁有西北大學凱洛格管理學院的金融學博士學位。
JAY HYMAN, PHD 是巴克萊QPS的董事總經理。他為投資者提供有關投資組合結構和風險管理的各個方面的建議,涵蓋多個資產類別。他與QPS同事合著了四本書籍。Jay於2008年從雷曼兄弟加入巴克萊,在1991年以來一直從事量化投資組合策略的工作。Jay擁有哥倫比亞大學的電機工程學博士學位。
SIMON POLBENNIKOV, PHD 是巴克萊QPS的董事總經理。他負責投資過程中所有量化方面的實證研究,包括固定收益中的系統性策略和投資風格、基準定制、戰術配置和對沖。Simon於2008年從雷曼兄弟加入巴克萊。Simon擁有荷蘭蒂爾堡大學的實證金融學博士學位。