Rockefeller Asset Management
Rockefeller Asset Management (RAM) is a global asset manager with $12.5 billion of AUM invested into active equity, fixed income, and multi-asset. They have multiple years of experience with integrating environmental, social and governance (ESG) factors into the investment process.
Developing novel ESG factor optimisation and index building for a global asset manager
Challenge
RAM wanted to develop a novel quantitative ESG solution to complement their existing, strong fundamental research approach. This would involve extensive ESG data expertise and the creation of customised methodologies for RAM.
Solution
KKS Advisors, a dss+ company, built an alpha-generating ESG Improvers Factor that could be used across quant, fundamental, long-only, and long-short strategies at the firm. This involved developing and back testing a corporate ESG scoring methodology, the foundation of the index inclusion methodology, and assessing extensive datasets from ESG data providers. The improvers score and related quant analysis also form the foundation of the recently launched Bloomberg Rockefeller US All Cap Multi-Factor ESG Improvers Index.
Awards
Our work with Rockefeller has been nominated for the 2021 Principles for Responsible Investing (PRI) Awards in the category ESG Integration Initiative of the Year.