Skip to main content
Mobile
  • Finance, Accounting & Economics
  • Global Business Management
  • Management, Leadership & Organisation
  • Marketing & Sales
  • Strategy
  • Technology & Operations
HS Talks HS Talks
Subjects  
Search
  • Notifications
    Notifications

    No current notifications.

  • User
    Welcome Guest
    You have Limited Access The Business & Management Collection
    Login
    Get Assistance
    Login
    Forgot your password?
    Login via your organisation
    Login via Organisation
    Get Assistance
Finance, Accounting & Economics
Global Business Management
Management, Leadership & Organisation
Marketing & Sales
Strategy
Technology & Operations
Practice paper

How to improve the ESG profile of portfolios while keeping a similar risk-adjusted return

Antoine Kopp, Dominic Barber, Rémy Cottet and Gabriele Susinno
Journal of Risk Management in Financial Institutions, 15 (1), 51-71 (2021)
https://doi.org/10.69554/JISS7490

Abstract

This paper identifies the potential to improve ESG credentials of a given reference portfolio whilst broadly maintaining risk-adjusted return characteristics, hence anchoring the portfolio to a better ESG profile. ‘Improving’ in this case means allocating a higher weight to better ESG stocks according to the variables employed. Using different MSCI benchmarks as reference portfolios, the research shines light on interesting subsector dynamics in the ESG-tilting process. Namely, Banks and Pharmaceuticals are replaced by Insurers and Real Estate Investment Trusts, in addition to Healthcare providers. The paper provides significant findings for investment managers in the context of ever-increasing pressure to ‘do good whilst doing well’. The opinions expressed in this paper are solely those of the authors.

Keywords: ESG; portfolio construction; risk-adjusted return; sustainable investing; socially responsible investing; convex optimisation

The full article is available to subscribers to the journal.

Already a subscriber? Login or review other options.

Author's Biography

Antoine Kopp joined Pictet Asset Management in 2020 in the Multi Asset department. He holds an MSc in Engineering from ETH Zurich and a BSc in the same field from EPFL.

Dominic Barber joined Pictet Asset Management in 2020 and is a member the Fixed Income Investment Strategy & Solutions Team. He holds a BA from the University of Bristol and an MSc from CASS Business School.

Rémy Cottet joined Pictet in 2014. He is a Senior Quantitative Analyst in the Investment Solutions team and held a similar position in the Quantitative Absolute Return team. Before joining Pictet, Rémy worked for AHL, Man Investments for 7 years as a Senior Quantitative Analyst before becoming Head of the Strategic Research team. He also held a lecturer position in Economics and Business Statistics at the University of Sydney. Rémy holds a PhD in Econometrics from the University of Sydney and a Bachelor degree in Mathematics from the University of Geneva.

Gabriele Susinno joined Pictet in 2015 and is a Senior Product Specialist for the Quantitative Equities team. Before joining Pictet Asset Management, Gabriele spent the last eight years at Unigestion where he was heading the Quantitative Research and Risk Management group at the Funds of Hedge Funds Unit. Previously, he worked at Banque Cantonale Vaudoise as Head of Market Risk Management. Gabriele started his career in finance in 1997 and gained various professional experiences working as a quantitative analyst at the London Business School Software House (MONIS), responsible for the ALM modelling at INA - Generali, and as a senior advisor for Institutional Investors at Capital Management Advisors/Deloitte. Gabriele holds a Master’s Degree in Astrophysics and a PhD in Experimental Particle Physics from the University of Geneva and CERN.

Citation

Kopp, Antoine, Barber, Dominic, Cottet, Rémy and Susinno, Gabriele (2021, December 1). How to improve the ESG profile of portfolios while keeping a similar risk-adjusted return. In the Journal of Risk Management in Financial Institutions, Volume 15, Issue 1. https://doi.org/10.69554/JISS7490.

Options

  • Download PDF
  • Share this page
    Share This Article
    Messaging
    • Outlook
    • Gmail
    • Yahoo!
    • WhatsApp
    Social
    • Facebook
    • X
    • LinkedIn
    • VKontakte
    Permalink
cover image, Journal of Risk Management in Financial Institutions
Journal of Risk Management in Financial Institutions
Volume 15 / Issue 1
© Henry Stewart
Publications LLP

The Business & Management Collection

  • ISSN: 2059-7177
  • Contact Us
  • Request Free Trial
  • Recommend to Your Librarian
  • Subscription Information
  • Match Content
  • Share This Collection
  • Embed Options
  • View Quick Start Guide
  • Accessibility

Categories

  • Finance, Accounting & Economics
  • Global Business Management
  • Management, Leadership & Organisation
  • Marketing & Sales
  • Strategy
  • Technology & Operations

Librarian Information

  • General Information
  • MARC Records
  • Discovery Services
  • Onsite & Offsite Access
  • Federated (Shibboleth) Access
  • Usage Statistics
  • Promotional Materials
  • Testimonials

About Us

  • About HSTalks
  • Editors
  • Contact Information
  • About the Journals

HSTalks Home

Follow Us On:

HS Talks
  • Site Requirements
  • Copyright & Permissions
  • Terms
  • Privacy
  • Sitemap
© Copyright Henry Stewart Talks Ltd

Personal Account Required

To use this function, you need to be signed in with a personal account.

If you already have a personal account, please login here.

Otherwise you may sign up now for a personal account.

HS Talks

Cookies and Privacy

We use cookies, and similar tools, to improve the way this site functions, to track browsing patterns and enable marketing. For more information read our cookie policy and privacy policy.

Cookie Settings

How Cookies Are Used

Cookies are of the following types:

  • Essential to make the site function.
  • Used to analyse and improve visitor experience.

For more information see our Cookie Policy.

Some types of cookies can be disabled by you but doing so may adversely affect functionality. Please see below:

(always on)

If you block these cookies or set alerts in your browser parts of the website will not work.

Cookies that provide enhanced functionality and personalisation. If not allowed functionality may be impaired.

Cookies that count and track visits and on website activity enabling us to organise the website to optimise the experience of users. They may be blocked without immediate adverse effect.