The JOIM Conference Series (founded in 2006) extends the mandate of the Journal Of Investment Management (JOIM) publication of bridging the theory and practice of investment management. Whereas the JOIM publication is a rigorous peer reviewed publication, the JOIM Conference Series showcases very high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for the academic, practitioner and student.
Climate Change: Investment Management Implications
October 12 – 14, 2021
co-sponsored with Georgia Tech Scheller College of Business
This conference will cover topics from how the biggest pension fund in the world is dealing with this issue to comments from a lead author of the recent authoritative UN Report to quantitative analytics which are useful in managing climate change and other ESG portfolios. Included are practical strategies to cope with climate change mandates. This event is co-sponsored with Georgia Tech Scheller College of Business and Invesco.
(click titles in blue to view abstracts)
Masataka Miyazono, Government Pension Investment Fund (GPIF), Keynote
Translator: Jeffrey Bohn, U.C. Berkeley and One Concern
Sudheer Chava, Georgia Tech Scheller College of Business
Do Managers Walk the Talk on Environmental and Social Issues?
Lukasz Pomorski, AQR Capital Management / Yale School of Management
Elroy Dimson, University of Cambridge
The Norway Model in Perspective
Robert Engle, NYU Stern School of Business
Climate Financial Risk: Portfolios and Stress Tests
- Climate change impacts asset prices as future expected damages and decarbonization are built into prices and the uncertainty of such events contribute to the risk. Assets highly exposed to such risks should receive a risk premium and portfolios which short such risks will have a negative alpha unless the market view on climate severity worsens.
- Factor mimicking portfolios correlated with climate news conditional on other risk factors are constructed from long positions in publicly available sustainable funds.
- Such portfolios can be used to stress test banks for climate related shocks.
Stephen Horan, UNC Wilmington
The End of ESG
Measuring Comprehensive Carbon Prices of National Climate Policies
Andrew Lo, MIT Sloan School of Management
Quantifying the Impact of Impact Investing
Factor Investing in Paris: Managing Climate Change Risk
We investigate how to efficiently construct equity portfolios that help mitigating climate change risk and ultimately provide a net zero framework but at the same time do not jeopardize harvesting well-established return drivers such as value, momentum or quality. Enabling investors to thoughtfully foster the adaption of temperature alignment is one key area in modern portfolio construction. Comparing the available temperature aligned indices, no clear path is evident on how to reach this goal.
We document that a pure reduction in greenhouse gas intensity as well as a divestment from fossil sectors is not necessarily leading to a better temperature alignment of the portfolio. Furthermore, given the limited set of temperature aligned assets, the reduction of the average temperature increase below 2 degrees demands fairly large tracking error budgets. We propose a Net Zero framework that consists of a gradual increase of the 2 degree aligned assets in conjunction with a decrease of the portfolio's carbon intensity. Constructing a portfolio which utilizes factors as return drivers and actively controls for temperature alignments can successfully combine both objectives and create an attractive risk-return profile.
Risk Managers, Portfolio Managers, Pension Managers, Plan Sponsors, Endowments, Senior Executives of Financial Firms and Academics would all benefit from attending these conferences.