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Live New York Society Meeting: Measuring and Harvesting the ESG Return Premia  

Speaker: Dr. Arik Ben Dor, Head of Quantitative Equity Research, Barclays

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Hearst Tower, 300 W. 57th Street, New York, NY 10019
Please note: This event is live, in-person only


A common approach to measuring the effect of ESG (or 'ESG premium') in equities is to use the difference between a broad index and its ESG version. This approach, however, does not control for mismatches in systematic risk exposures and sector weights between the two indices that can contaminate the results. We introduce a new approach that addresses the issues and accurately measures ESG return premium in equities. We find that the ESG return premium in equities has been positive in the past decade in both US and Europe. We illustrate how investors could use our approach at the aggregate or more granular levels to measure ESG returns, as well as to construct portfolios with pure ESG exposures.

This event can earn you up to 2 CPD credits.

Speaker Bio

Dr. Ben Dor is the Head of Quantitative Equity Research at Barclays and a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. He co-authored three books on quantitative credit investing and published over twenty articles in leading industry journals. Dr. Ben Dor was ranked 1st in II All-America Fixed Income Research Survey and was also awarded a U.S. patent for work related to synthetic replication of hedge funds returns.

Dr. Ben Dor oversaw large scale research projects in equities, rates, credit, and hedge funds used by the largest institutional investors globally including central banks, Sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. His innovative work on Duration Times Spread (DTS) as a new measure of credit risk, and the use of information from credit markets in systematic equity strategies was broadly adopted by portfolio managers and affected industry practices.

Dr. Ben Dor worked previously at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and completed his B.A. and M.A. in Economics from Tel Aviv University Cum Laude.