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ESG & Climate Risk in Quantitative Finance Conference

RavenPack | March 19, 2021

The ESG & Climate Risk in Quantitative Finance Conference, organized by WBS training, brings together the leading lights of quantitative finance for a full week of talks and panel events on ESG and quantitative approaches. RavenPack’s Peter Hafez will join other talking heads as they discuss the impact of sustainable investing on the systematic space.

The ESG & Climate Risk Conference is the first virtual event focusing on the latest developments, challenges, and opportunities within climate risk and ESG from a quantitative perspective.

Delegates will have the opportunity to engage, educate and share best practices with leading ESG quants and climate risk practitioners; discussing the latest modeling methodologies, governance challenges, and the inevitable increased drive towards ethical innovations.

RavenPack Chief Data Scientist Peter Hafez will be giving a presentation entitled: “Socially Responsible Investing: Combining ESG Ratings with News Sentiment Generates Alpha” on Friday, March 19, Day 5 of the Conference.

The talk will cover how ESG ratings used as a stock screener for providing downside protection can be significantly improved when combined with sentiment indicators derived from news and social media.

Other key findings are as follows:

  • The price reaction of ESG-related negative events leads to fast momentum signals followed by slow reversal signals.
  • A double overlay of broad sentiment and ESG reversal signals improves alpha generation by up to 300 basis points and reduces the maximum drawdown by a factor of 2 compared to the random market portfolio.

    • See the full agenda here

    The conference will be hosted via Zoom for live chat and includes access to WBS’s online educational portal. At the end of each conference day, the video lecture and slides will be uploaded online to continue the debate via the daily forum.

    When:
    March 19, 2021
    4.00 pm CET

    Where
    Online event

    Register here


    Peter Hafez

    Chief Data Scientist

    Peter is a pioneer in the field of applied news analytics, bringing alternative data to banks and hedge funds..

    Read more/less

    He has more than 15 years of experience in quantitative finance with companies such as Standard & Poor's, Credit Suisse First Boston, and Saxo Bank.

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