Scientific Beta

Felix Goltz, Research Director at Scientific Beta, will be presenting his paper entitled "From ESG Confusion to Return Dispersion: Fund Selection Risk is a Material Issue for ESG Investors”, at a German Sustainability Network virtual focus session on the theme of Capital Investment on 11 June, 2024.

Felix Goltz, Research Director at Scientific Beta, will be presenting his paper entitled "From ESG Confusion to Return Dispersion: Fund Selection Risk is a Material Issue for ESG Investors”, at a German Sustainability Network virtual focus session on the theme of Capital Investment on 11 June, 2024.

The paper, co-authored with Giovanni Bruno, Senior Quantitative Research Analyst at Scientific Beta, examines the performance dispersion in the cross-section of a set of ESG funds invested in US stocks. Investors are increasingly incorporating ESG criteria into their investment strategies. However, defining sustainability and identifying material ESG issues remain contentious. The absence of clear standards has led to a large disparity of metrics, a phenomenon commonly referred to as ESG confusion. Investors interested in sustainable investing strategies must assess whether such confusion has an impact on financial performance. 

Felix Goltz, PhD, has been with Scientific Beta since inception. He carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks, including the Journal of Portfolio Management, the Financial Analysts Journal, the Journal of Index Investing, the Journal of Investment Management and the Handbook of Finance (Wiley). He obtained an MSc and a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.

The events organised by the German Sustainability Network in the Capital Investment focus area aim to address the management of ESG aspects in the investment process, standards and ratings as well as the impact in the regulatory environment. Against the backdrop of the Paris Climate Agreement and the European Green Deal, but also to take greater account of social issues, the financial market is increasingly becoming the focus of politics and regulation. The fulfilment of regulatory requirements and stakeholder demands are ultimately forcing ESG-compliant investments, including reporting. This creates operationalisation scope and challenges.