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Practical Applications

Practical Applications

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Practical Applications of An Integrated Approach to Quantitative ESG Investing

Mike Chen and George Mussalli
Practical Applications 8 (2) DOI: https://doi.org/10.3905/pa.8.2.413
Mike Chen
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George Mussalli
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Practical Applications Summary

In An Integrated Approach to Quantitative ESG Investing, from the February 2020 issue of The Journal of Portfolio Management, authors Mike Chen and George Mussalli (both of PanAgora Asset Management) propose a novel quantitative framework for optimizing both alpha and the environmental, social, and corporate governance (ESG) aspects of a portfolio. Although investors, especially those in the millennial generation, have become increasingly interested in the ESG aspects of the companies within their portfolios, there has not yet been a well-defined process for constructing portfolios that factors ESG principles into a strictly return-oriented model.

Chen and Mussalli’s approach is based on three pillars: ESG factors that may also be alpha factors, a unique materiality value that links ESG considerations to alpha, and a portfolio construction framework that is informed by an investor’s ESG preferences. The key strengths of this integrated ESG modeling framework are its flexibility, relevancy, and dynamic nature.

TOPICS: Portfolio theory, portfolio construction, ESG investing

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Practical Applications
Vol. 8, Issue 2
31 Oct 2020
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Practical Applications of An Integrated Approach to Quantitative ESG Investing
Mike Chen, George Mussalli
Practical Applications Oct 2020, 8 (2) DOI: 10.3905/pa.8.2.413

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Practical Applications of An Integrated Approach to Quantitative ESG Investing
Mike Chen, George Mussalli
Practical Applications Oct 2020, 8 (2) DOI: 10.3905/pa.8.2.413
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    • Practical Applications Summary
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    • Practical Applications
    • Key Definitions
    • Discussion
    • THE CURRENT ESG INVESTMENT LANDSCAPE
    • THREE PILLARS OF ESG INVESTING
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    • Mike Chen
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