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QUANT RESEARCH IN ACTION

Webinar: Integrating ESG Point-in-Time Data into Quantitative Finance Models

Available On-Demand

Duration: 60 minutes

"ESG" and "alpha" are not often words you hear quants and data scientists use in the same sentence...until now! Our StarMine team has been busy researching ways ESG data points can be used in our quantitative alpha models.

During this webinar, Adam Baron, StarMine's Director of Big Data Quantitative Research, will share his approach to integrating Refinitiv's newly released ESG point-in-time data into the StarMine Smart Holdings Model — a quantitative finance model that had previously only used traditional financial data.

You will gain practical insight into Adam's research journey, including:
  • Research background and hypothesis
  • How Adam selected the ESG factors to work with
  • Data ETL: preparing and working with ESG point-in-time data
  • Code samples for integrating ESG point-in-time into AWS
  • How ESG point-in-time data impacted the performance of the StarMine Smart Holdings Model

This webinar first aired on July 28, 2022. Complete the form to watch the recording.

Meet the Presenter: Adam Baron
Adam Baron is the Director of Big Data Quantitative Research for StarMine. His speciality is in performing quant research on data that is too big or too complex for traditional research methods. He is currently focusing on the intersection between sustainable finance and traditional financial factors, trying to discover alpha with creative behavioural finance approaches.

Over the years, he has explored many interesting content sets in search of alpha, such as footfall derived from mobile phone GPS, credit/debit card transactions, satellite images, retail product pricing and trucking fleet vehicle telematics. These diverse data sets require a diverse set of technologies, foremost among them are: AWS (SageMaker, Glue, Athena), GCP (BigQuery, ML Engine, Cloud TPUs), Azure, Hadoop/Spark, Python, R, and SQL.

Prior to joining Thomson Reuters (which spun off Refinitiv and then merged into LSEG), Adam worked on Wall Street in fintech at Morgan Stanley. During that time he studied for an MBA from NYU Stern in the evenings. This sparked a new career passion for quantitative finance that complemented his computer science background.
About the StarMine Smart Holdings Model

StarMine Smart Holdings > is a behavioral finance model that has been live for over a decade and seeks to predict which stocks will be attractive to Smart Money fund managers based on individually generated factor preference profiles. Building on the existing model, which considers 25 traditional financial factors across 7 themes, Adam’s research considers which ESG factors may be attractive to a particular Smart Money institutional investor. Hence, the model spots emerging sustainable finance trends and flag stocks which could satiate that unique appetite for particular financial factors and ESG factors combinations which are growing in popularity within the Smart Money community. 
Working with Point-in-Time Data

The importance of point-in-time content to the quantitative research process is well understood by quant investors. However, quants and data scientists are also aware that point-in-time content can be challenging to work with. During this webinar, Adam will demonstrate that the effort is worth it, when you gain confidence that the alpha in your backtests comes from more accurately modelled as-was real-world conditions.

Resources
Please find below a selection of resources related to the webinar.
BLOG: ESG'S POINT-IN-TIME DATA PROBLEM

A flavor of what's to come in this webinar; Adam provides a summary of the StarMine's team research journey, where they looked to create a quant model that married traditional financial factors with ESG factors in a sophisticated algorithmic way. More detail on the challenges and advantages of working with point-in-time data >
DEVELOPER COMMUNITY: INTEGRATING ESG PIT DATA INTO MY STARMINE QUANT MODEL USING AWS

Adam expands on the article above, sharing his code samples >
FACT SHEET: ESG SOLUTIONS DESIGNED FOR QUANTS AND DATA SCIENTISTS

Refinitiv offers the most complete, transparent and in-depth ESG information in the industry. Our data and framework enable investors to make better investment decisions by looking beyond traditional financial metrics, so they can respond with confidence to global sustainability trends and mandates. Download the fact sheet >

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