Client Case Study
Integrating ESG issues into quant investment models for Aviva Investors
Aviva Investors is an asset management company with over £344 billion in Assets Under Management.
As one of the first large global fund managers to integrate environmental, social and governance (ESG) issues into their investment decision-making, Aviva Investors play a huge role in promoting sustainable business practices across financial markets.
The Aviva Investors equity quant team wanted to better understand if they could enhance their proprietary quant model by integrating environmental, social and governance (ESG) data.
There is a significant stream of research supporting the hypothesis that firms with better ESG performance have better financial performance.
We worked with the Aviva Investors quant team to test the impact of ESG factors on financial performance. We firstly evaluated the ESG information provided by different data sources. We then accounted for multiple quant factors capturing financial, momentum, diffusion and forecast information and investigated the impact to model predictability as well as the economic impact of incorporating ESG factors into the process.