Tid: 14 september 2018 kl 13.00-14.00.

Föredragshållare: Luc-Lao Avril

Title: ESG Integration in AP1 Systematic Equity Strategies

Abstract: Responsible investing consists of buying more sustainable stocks, or green stocks, and selling the controversial ones. As a pension fund, and with the current climate regulations, it is a concern for Första AP-fonden to know if responsible investing is a plus value for financial aspects. Since our commissioner also has interests in factor strategies, rule-based systematic investment strategies, and possesses some, we will study and explain what are factor strategies. Financial benefits from responsible investing could be explained by savings made on carbon taxes, if a company has a strong environmental policy. On the other hand, factor strategies have proven to work well historically, like the Fama-French value strategy which performed more than decently during the 80s, growing up to around 10 times the initial budget. By using an optimization approach, that maximizes ESG and factor scores with equal importance, we observed that half of the factors had lower performance when combined with ESG. Moreover, the factor portfolios lost their initial characteristics after ESG integration. We concluded that quality was the most promising candidate for a potential new systematic strategy.

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