Speaker: Dimitris Melas | Global Head of Equity Research MSCI
Date: 8th November 2016
Topic: Factor strategies and factor allocation for the ESG-aware investor
In this talk Dr. Melas will explore the increasing influence of Environmental, Social and Governance (ESG) considerations over the last 10 years as they have become increasingly integrated into mainstream portfolio management. The integration of ESG criteria into portfolios raises many important empirical questions that include :
- The impact of ESG on portfolio performance
- How ESG alters the risk profile and the factor exposures of portfolios.
- How ESG affects the ability of different investment strategies to pursue their stated investment objectives.
The impact on passive strategies and their ability to capture the equity risk premium.
The ability of factor strategies such as value, size, momentum, quality, yield and low volatility able to maintain appropriate exposure to their target factors. Using a consistent portfolio construction framework to answer these and other questions, Dr. Melas will show the impact of ESG integration on different investment strategies.
About Dimitris Melas Ph.D. MSc. CFA
Dimitris is Managing Director and Global Head of Equity Research at MSCI. Prior to joining MSCI in 2006, Dr. Melas worked at HSBC Asset Management as Head of Research and Head of Quantitative Strategies. Dr. Melas is a Chartered Financial Analyst and holds an MSc in Electrical Engineering, an MBA in Finance, and a Ph.D. in Applied Probability from the London School of Economics. He serves as Editorial Board Member of the Journal of Portfolio Management.
This seminar is kindly hosted by Blacrock
The London Quant Group is very grateful to BlackRock for hosting this event
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