Scientific Beta
Proponents of ESG mixing strategies – i.e. so-called ESG integration strategies whereby ESG data and analysis are mixed with traditional financial inputs in the portfolio construction process – often claim that such an approach provides for the best results for ESG investors. In an IPE webcast on Wednesday 24 June, 2020 at 3.00pm BST / 4.00pm CET, entitled "How to integrate the ESG dimension: incorporation vs. mix up", Erik Christiansen and Felix Goltz will take a closer look at such mixing strategies and underline several shortcomings.
Proponents of ESG mixing strategies – i.e. so-called ESG integration strategies whereby ESG data and analysis are mixed with traditional financial inputs in the portfolio construction process – often claim that such an approach provides for the best results for ESG investors.
In an IPE webcast on Wednesday 24 June, 2020 at 3.00pm BST / 4.00pm CET, Erik Christiansen, ESG & Low Carbon Specialist, and Felix Goltz, Research Director, at Scientific Beta, will take a closer look at such mixing strategies and underline several shortcomings.
The presentation entitled "How to integrate the ESG dimension: incorporation vs. mix up", moderated by Brendan Maton of IPE, will examine the following topics:
- Analysing ESG strategies that mix ESG data with market data and/or traditional risk factors such as value or momentum in their portfolio construction processes.
- Compared with ESG Filtering, ESG “Reweighting” techniques lead to the divestment of companies with better ESG credentials.
- Optimising in relation to weighted average ESG scores seriously undermines engagement.
- How ESG mixing can send the wrong message to companies.
Erik Christiansen is an ESG & Low Carbon Specialist with Scientific Beta. He was previously Head of Investment Strategy with the Etablissement de Retraite Additionnelle de la Fonction Publique (ERAFP), the mandatory pension scheme for French civil servants, where he was responsible for implementing the equity and ESG strategies. He has also previously worked as a Methodology Coordinator and Analyst at Vigeo Eiris, the ESG rating agency. Erik holds a Master’s degree in Management from the ESCP Business School and is a CFA charterholder.
Felix Goltz is Research Director, Scientific Beta and also a member of the EDHEC Scientific Beta research chair. 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. He obtained 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.