Mathematical Finance & Financial Data Science Seminar

Carbon Risk Factor Framework

Speaker: Alex Gurvich, Director of Research, PFM Asset Management LLC

Location: Online Zoom access provided to registrants

Date: Tuesday, May 23, 2023, 5:30 p.m.

Synopsis:

This research provides new perspectives on carbon risk factors by using raw carbon footprint data; applying more accurate measurement of carbon footprint data; analyzing the global stock universe; utilizing a long data timeframe, and constructing three unique carbon factors. The research uses both Fama French and Fama MacBeth frameworks. All three carbon factors (carbon volume, carbon financial efficiency, and carbon operational efficiency) exhibit strong performance and high Sharpe ratios. There is no discernable return variation within the carbon volume factor along six formed portfolios. Both efficiency factors show a discernable higher performance for higher carbon efficiency companies with larger market capitalization. The regression analysis shows all three carbon factors exhibiting statistical significance individually or carbon volume with one of the efficiency factors. In conclusion, companies with relatively higher carbon volume or lower carbon efficiency have a positive risk premium.

Speaker Bio:

Alex has over 25 years of experience in finance, investment research, portfolio management, alternative investments, private equity, venture capital, quantitative research, and strategic consulting. At PFM Asset Management, Alex is the Head of Manager Research and Asset Allocation, he manages a team of ten analysts focusing on Investment Research, Asset Allocation, and Manager Selection. He is a member of the Investment Committee, Manager Selection Committee, Endowments and Foundations Steering Committee, Economic and Capital Market Outlook Committee, and Valuation and Liquidity Committee.

Prior to joining the firm, Alex was a director of quantitative research at Commonfund, an OCIO asset management firm for endowments and foundations. Before that, Alex was a quantitative equity portfolio manager at The Rockledge Group, a quantitative equity investment management firm that he co-founded. At Rockledge, he managed portfolios for institutional and individual investors. There he launched a mutual fund and a long/short exchange-traded fund. He has also worked as a venture capital investor for GE Capital and as a strategy consultant for Bain and Company.

Alex has been an adjunct professor and a lecturer at Pace University and Stevens Institute of Technology, teaching graduate and undergraduate finance courses, such as investment management, alternative investments, valuation of the firm, and corporate finance.

Alex earned a B.A. in Physics at the University of Chicago, an MBA at INSEAD in France, an M.S. in Financial Engineering at New York University Polytechnic Institute, and a Ph.D. in Financial Engineering at Stevens Institute of Technology, where he received “Best Dissertation” award.

Notes:

This event is free, but requires registration.  Please click here to register.  You wil lthen receive the Zoom link by email about a day or so before the event.