LQG Seminars

ENCORE - Engaging New Controversial Original Rigorous Entertaining

ESG in Factors

Katharina Schwaiger – BlackRock

In this talk Katharina Schwaiger will discuss the ESG in Factors paper co-written with Ying Chan, Ked Hogan and Andrew Ang all from BlackRock. This is the second the May 2020 LQG evening seminars that represent the 2020 annual spring seminar

Environmental, Social, and Governance (ESG) signals are an important part of factor-based investing strategies as they can stem from the same economic rationales as general factor premiums. Because factors are broad and diversified, building portfolios by jointly optimizing factor exposures with ESG and carbon outcomes results in similar historical performance as benchmark factor portfolios which do not include those considerations. The authors show how sustainable signals, which often involve alternative data, can be integrated in the definitions of factors themselves: the authors offer two examples of green intangible value and corporate culture quality which enhance traditional financial value and quality factors, respectively.

The paper can be downloaded from SSRN .

Katharina Schwaiger, PhD
Director, Quantitative investment researcher – Factor Based Strategies Group – BlacRock

Katharina Schwaiger, PhD, is a quantitative investment researcher within the Factor Based Strategies Group at BlackRock. As a member of the research team, she is responsible for managing factor-based risk premia strategies and risk parity strategies for institutional and retail clients.

Prior to joining BlackRock in 2013, she worked as a Financial Engineer in the City of London, as a Quantitative Researcher at a London-based hedge fund and as a lecturer in Operational Research at the London School of Economics. She earned a BSc degree in Financial Mathematics, and a PhD degree in Mathematics/Operational Research from Brunel University. She is a committee member of Quantess London – a social group for women in quant, and a member of the editorial board of the Journal of Systematic Investing.