Finding Alpha in a New Global Dataset using SASB’s Standards
Wednesday, October 30, 2019
8:30am PT / 11:30am ET / 4:30pm GMT
Duration: 30 minutes
In a recently published whitepaper, Truvalue Labs tested the effectiveness of timely ESG signals as screening tools and quantitative “alpha” factors against a wide variety of global and regional equity benchmarks.
Join Dr. Stephen Malinak as he walks through his recent backtest findings exploring the performance of Truvalue Labs’ ESG Activity Signal.
In this webinar, Dr. Malinak covers:
- How combining the Truvalue Labs’ Insight signal and Volume data creates an ESG Activity Signal that generates alpha and is additive to Smart Beta Strategies.
- How historic returns compare with Truvalue Labs’ scores, viewed as standalone and by sector, geography, and data volume.
- How Truvalue Labs’ signals can be used to screen for high and low ESG performance, in long-short quant strategies, in combination with other quant factors in multifactor models, and to direct further in-depth ESG research by fundamental analysts.
Stephen Malinak leads Truvalue Labs’ quant research team and efforts to build analytics solutions for new markets. An industry leader in quantitative analytics, he joined Truvalue Labs from Thomson Reuters, where he spearheaded the company’s quantitative analytics offering, StarMine.
Stephen holds a B.S. in Electrical Engineering and Computer Science from the Massachusetts Institute of Technology and a Masters and Ph.D. in Engineering-Economic Systems from Stanford University.