Measuring Esg Effects in Systematic Investing
暫譯: 系統性投資中的ESG影響測量

將ESG考量納入系統性投資的獨特視角

在將ESG納入系統性投資一書中，來自巴克萊（Barclays）排名第一的量化投資組合策略團隊（在2022年全球固定收益研究調查中，獲得《Institutional Investor》在美國和歐洲的排名第一）提供了關於如何在系統性投資中反映ESG考量的深刻且實用的討論。作者提供了跨資產類別的視角——涵蓋美國、歐洲和中國的信用市場和股票市場——這在該主題的書籍中具有獨特的覆蓋範圍。他們討論了ESG評級與各種其他證券特徵之間的互動，建議了一種隔離ESG特定風險溢價的方法，分析了ESG傾斜對系統性策略和風險因素的影響，並識別出幾個能預測未來表現的ESG基礎信號。

您還將發現：

• 分析正在改善其ESG排名的公司（“ESG改善者”）與擁有最佳ESG評級的公司之間的比較


• 使用自然語言處理（NLP）來預測公司在可持續性相關職位的招聘公告中對企業ESG排名變化的影響的研究


• 深入探討ESG股票基金的表現和資金流動，以及不同提供者之間ESG評級分散的資訊內容

將ESG納入系統性投資非常適合包括非量化的基本面投資者、風險管理者和金融機構（如資產管理公司、退休基金、銀行、主權財富基金、對沖基金和保險公司）的研究分析師，對於對ESG投資的表現和風險影響有研究興趣的學術界人士來說，這也是一本必讀的資源。

LEV DYNKIN, PHD is the founder and Global Head of the Quantitative Portfolio Strategy (QPS) Group at Barclays Research. Lev and QPS joined Barclays in 2008 from Lehman Brothers, where they had been a part of Global Research since 1987 and helped launch the Lehman fixed income indices. QPS was ranked #1 in its category in the US and Europe in the 2023 Institutional Investor Global Fixed Income Research survey and was top-ranked for the past 15 years. Lev and QPS co-authored 4 books: Systematic Investing in Credit, Wiley, 2021; A Decade of Duration Times Spread (DTS), Barclays, 2015; Quantitative Credit Portfolio Management, Wiley, 2011; Quantitative Management of Bond Portfolios, Princeton Univ. Press, 2007.

ARIK BEN DOR, PHD is a Managing Director and a QPS member since 2004. In addition to originating innovative fixed income research for over two decades, he initiated and oversaw QPS extension into equity markets, and the development of cross-market signals between equity and credit markets. Arik co-authored 3 QPS books on quantitative investing, 30 articles in leading industry journals, and is a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and worked at Lehman Brothers and Morgan Stanley prior to Barclays.

ALBERT DESCLÉE is a Managing Director in Barclays QPS based in London, and is responsible for its European activities. He advises investors on all aspects of portfolio construction. He was ranked 1st in Institutional Investor European Fixed Income Research Survey in the Quantitative Analysis Category from 2019 to 2023. He joined Barclays in 2008 from Lehman Brothers. He graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD.

JINGLING GUAN, PHD is a Director in Barclays QPS. She works on research related to systematic investing in both equities and credit, including signal development (especially cross-asset-class signals), portfolio construction, and risk hedging. She joined Barclays in 2015. Jingling holds a PhD in Finance from Kellogg School of Management, Northwestern University.

JAY HYMAN, PHD is a Managing Director in Barclays QPS. He advises investors and publishes research on all aspects of portfolio structuring and risk management, across multiple asset classes. He has co-authored four books with QPS colleagues. Jay joined Barclays in 2008 from Lehman Brothers, where he worked on quantitative portfolio strategies since 1991. Jay holds a PhD in Electrical Engineering from Columbia University.

SIMON POLBENNIKOV, PHD is a Managing Director in Barclays QPS. He is responsible for empirical research of all quantitative aspects of the investment process including systematic strategies and investment styles in fixed income, benchmark customization, tactical allocation, and hedging. Simon joined Barclays in 2008 from Lehman Brothers. Simon holds a PhD in Empirical Finance from Tilburg University, Netherlands.

LEV DYNKIN, PHD 是巴克萊研究的量化投資組合策略（QPS）小組創始人及全球負責人。Lev 和 QPS 於 2008 年從雷曼兄弟加入巴克萊，當時他們自 1987 年以來一直是全球研究的一部分，並協助推出雷曼固定收益指數。根據 2023 年《Institutional Investor》全球固定收益研究調查，QPS 在美國和歐洲的同類別中排名第一，並在過去 15 年中持續保持頂尖地位。Lev 和 QPS 共同撰寫了四本書籍：Systematic Investing in Credit，Wiley，2021；A Decade of Duration Times Spread (DTS)，巴克萊，2015；Quantitative Credit Portfolio Management，Wiley，2011；Quantitative Management of Bond Portfolios，普林斯頓大學出版社，2007。

ARIK BEN DOR, PHD 是巴克萊 QPS 的董事總經理，自 2004 年以來一直是 QPS 成員。除了在過去二十多年中創新固定收益研究外，他還啟動並監督 QPS 擴展至股票市場，以及開發股票與信用市場之間的跨市場信號。Arik 共同撰寫了三本關於量化投資的 QPS 書籍，並在領先的行業期刊上發表了 30 篇文章，還是《Journal of Portfolio Management》和《Journal of Fixed Income》編輯委員會的成員。他擁有西北大學凱洛格商學院的金融博士學位，並在加入巴克萊之前曾在雷曼兄弟和摩根士丹利工作。

ALBERT DESCLÉE 是巴克萊 QPS 的董事總經理，駐倫敦，負責其歐洲業務。他在投資組合建構的各個方面為投資者提供建議。他在 2019 年至 2023 年的《Institutional Investor》歐洲固定收益研究調查中，在量化分析類別中排名第一。他於 2008 年從雷曼兄弟加入巴克萊。他畢業於比利時魯汶大學，並獲得 INSEAD 的 MBA 學位。

JINGLING GUAN, PHD 是巴克萊 QPS 的董事。她從事與股票和信用的系統性投資相關的研究，包括信號開發（特別是跨資產類別信號）、投資組合建構和風險對沖。她於 2015 年加入巴克萊。Jingling 擁有西北大學凱洛格管理學院的金融博士學位。

JAY HYMAN, PHD 是巴克萊 QPS 的董事總經理。他為投資者提供建議，並發表有關多種資產類別的投資組合結構和風險管理的研究。他與 QPS 同事共同撰寫了四本書籍。Jay 於 2008 年從雷曼兄弟加入巴克萊，自 1991 年以來一直從事量化投資組合策略的工作。Jay 擁有哥倫比亞大學的電機工程博士學位。

SIMON POLBENNIKOV, PHD 是巴克萊 QPS 的董事總經理。他負責投資過程中所有量化方面的實證研究，包括固定收益中的系統性策略和投資風格、基準自訂、戰術配置和對沖。Simon 於 2008 年從雷曼兄弟加入巴克萊。Simon 擁有荷蘭蒂爾堡大學的實證金融博士學位。