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World Business StrategiesServing the Global Financial Community since 2000

Friday 19th March: Day 5

How Quants can Integrate ESG with Limited Data

EST: 08.00
GMT: 13.00
CET: 14.00

 

Antonia Lim:

Head of Quantamental Investments, Schroders

Antonia Lim: Head of Quantamental Investments, Schroders

Antonia joined Schroders in 2019 to lead their new initiative in quantamental investments, melding quantitative techniques with fundamental expertise and insight. Prior to Schroders, Antonia was Global Head of Quantitative Research for Barclays UK, designing its asset allocation policy, products and investment tools. She has two decades of experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organization London Quant Group. Antonia holds a Masters in Physics from the University of Oxford where she was awarded an academic scholarship. Happy lending intuition, pragmatism and curiosity to the real, abstract and complex, Antonia enjoys cross-disciplinary ideas and making those ideas useful.

AI/ML Quant Investing Strategies

EST: 09.00
GMT: 14.00
CET: 15.00

 

Svetlana Borovkova:

Head of Quantitative Modelling, Probability & Partners and Associate Prof, Vrije Universiteit Amsterdam

Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam

Currently Head of Quantitative Modelling at Probability & Partners and Associate Professor at Vrije University Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.

Dr Borovkova’s research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation. She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy.

Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others.

Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.

She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.

Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's

EST: 10.00
GMT: 15.00
CET: 16.00

Environmental, Social and Governance (ESG) investing has been one of the most important topics in asset management this past decade. Yet, for all the attention, only a fraction of asset managers truly consider ESG issues when making investment decisions. This is partly due to the perceived conflict of ESG investing with an asset manager’s fiduciary duty and partly due to low-quality ESG data despite the near ubiquity of sustainability reports. We analyze the relationship between alpha generation and ESG metrics, and measure the impact companies have on the U.N.’s Sustainable Development Goals (SDG´s). First, we construct a sector-neutral portfolio using MSCI ESG momentum scores from 2013 to 2018, and determine that it is feasible to generate positive alpha vis a vis the MSCI US index. Second, we utilize structured and unstructured data to determine a company’s net influence on the SDGs, what we call its SDG ‘footprint.’ We show that an ESG momentum portfolio both outperforms the MSCI US index and has a relatively better SDG footprint than that of the index. Third, we establish a positive contemporaneous connection between the portfolio’s ESG ratings momentum and its SDG footprint. Thus, a positive linkage exists between ESG, alpha, and the SDG’s.

Miquel Noguer Alonso:

Co – Founder and Chief Science Officer, Artificial Intelligence Finance Institute – AIFI

Miquel Noguer Alonso: Co – Founder and Chief Science Officer, Artificial Intelligence Finance Institute – AIFI

Miquel Noguer is a financial markets practitioner with more than 20 years of experience in asset management, he is currently Head of Development at Global AI ( Big Data Artificial Intelligence in Finance company ) and Head on Innovation and Technology at IEF.

He worked for UBS AG (Switzerland) as Executive Director.for the last 10 years. He worked as a Chief Investment Office and CIO for Andbank from 2000 to 2006.

He is professor of Big Data in Finace at ESADE and Adjunct Professor at Columbia University teaching Asset Allocation, Big Data in Finance and Fintech. He received an MBA and a Degree in business administration and economics in ESADE in 1993. In 2010 he earned a PhD in quantitative finance with a Summa Cum Laude distinction (UNED – Madrid Spain).

What is the Role of ESG in Quantitative Finance Strategies?

EST: 11.00
GMT: 16.00
CET: 17.00

Presenter to be confirmed

  • Discount Structure
  • Early bird discount
    15% until 19th February 2021

  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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