For additional information on ESG at AQR, visit aqr.com/esg
As part of our ongoing commitment to ESG, we are pleased to share our ESG annual report with you. This report reviews our ESG developments and progress in 2020, while outlining our approach, governance structure, and dedicated resources to this increasingly important aspect of investing.
September 7, 2021
It would be an understatement to say there is confusion in the industry about the use of shorting in an ESG context. When it comes to calculating a portfolio’s ESG score, we have heard arguments ranging from "ignore the shorts” to “net them against longs,” and, my favorite as it’s creatively insane, “pretend the shorts are actually longs.” This note explains why it is critical that shorts be properly accounted for, so that investors can use shorting to reduce carbon exposure, to get to net zero or to achieve other ESG goals.
December 21, 2020
We discuss how an investment portfolio could dramatically reduce its carbon footprint, potentially even achieving a ‘net zero’ carbon footprint. We discuss the pros and cons of techniques to achieve carbon reduction goals, including security selection, shorting high carbon footprint companies, and trading instruments such as carbon offsets and carbon permits.
October 29, 2020
The paper reviews the literature studying interactions between climate change and financial markets, including various approaches to incorporating climate risk in macro-finance models as well as the empirical literature that explores the pricing of climate risks across several asset classes.
October 29, 2020
This the original data set used in “Responsible Investing: The ESG-Efficient Frontier” (Pedersen, Fitzgibbons and Pomorski). It contains the total returns of the value-weighted and equal-weighted portfolios used in the paper.
December 3, 2019
We discuss how Environmental, Social, and Governance (ESG) considerations may be incorporated in a portfolio and how they may affect risk and return outcomes.
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
May 22, 2019
We propose and implement a procedure to dynamically hedge climate change risk and discuss multiple directions for future research on financial approaches to managing climate risk.
May 8, 2019
What is ESG? AQR and the UN PRI collaborated to propose a framework of the approaches and terms necessary to have an informed discussion and investment policy on responsible investment, grounded in both responsible asset selection and responsible ownership.
November 1, 2018
We suggest a new approach to ESG investing that we believe may be more effective in making negative investor views known to management — while at the same time potentially improving portfolio expected returns.
September 26, 2018
Is “doing good” good, bad or neutral for an investor’s portfolio? Three experts explain how they approach ESG investing, or the consideration of environmental, social, and governance issues.