An ESG-based Investment Case for Absolute Return Funds
Project Description
In the Innosuisse innovation project "An ESG-based Investment Case for Absolute Return Funds" (no. 44198.1 IP-SBM, 2020-2023), the University of Liechtenstein and LLB Asset Management jointly explored how sustainability information can be used profitably in investment strategies. The starting point was that a company's sustainability level is already priced in - what matters is the as-yet-unexpected change in its ESG rating. The project built the scientific and technological basis for detecting such changes early, drawing on alternative data sources and modern machine-learning methods. It was the two partners' first joint innovation project and laid the groundwork for the successor project "Timing Factor Risk and Factor Returns with AI". Funded by the Principality of Liechtenstein through the through the Office of Economic Affairs (AVW) and Innosuisse.
