Aaron Filbeck, CAIA, CFA, CFP®, CIPM, FDP

Alternative data and machine learning present many exciting opportunities for researchers. In this panel discussion, we provide background information, the current state of research, investment applications, and a glimpse into the future using alternative data and machine learning. As barriers to adoption are addressed, the growth of alternative data and machine learning will continue its exponential trend.

Authored chapter 16 of “Equity Markets, Valuation, and Analysis” by Kent Baker, Greg Filbeck, and Halil Kiymaz. The chapter describes the history and evolution of common equity style factors, newly discovered style factors, and how investors implement these factors in portfolios today.

The authors explore whether firms rated highly by Sustainalytics based on ESG criteria are rewarded with superior long-term stock price performance. They find that firms with the highest ESG ratings statistically outperform the S&P 500 index, although not on a risk-adjusted basis. Firms with higher governance and social scores also statistically outperform those firms with corresponding lower scores. Firms with better (worse) governance scores produce statistically significant positive… Show more

The authors explore whether firms rated highly by Sustainalytics based on ESG criteria are rewarded with superior long-term stock price performance. They find that firms with the highest ESG ratings statistically outperform the S&P 500 index, although not on a risk-adjusted basis. Firms with higher governance and social scores also statistically outperform those firms with corresponding lower scores. Firms with better (worse) governance scores produce statistically significant positive (negative) alpha values. Firms less likely to adhere to strong governance principles are penalized in the market, while firms more likely following strong social and environmental principles are negatively assessed. Improved governance scores and to a lesser extent improved social scores produce statistically significant positive alpha values whereas negative changes in environmental scores are positively received by the market. Overall, investors are not hurt by following an ESG philosophy with the market rewarding firms for good governance, penalizing those with strong environmental records, and meeting with ambivalence those with strong social records. Show less

“Issues in Benchmarking Commodity Performance” is a chapter for the book Commodities: Markets, Performance, and Strategies edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris. The book provides a detailed look at physical commodity markets and the investment vehicles available to access these markets. It also discusses the economic fundamentals of physical markets that link to financial vehicles used to access the unique risk and return characteristics inherent in commodity investment.… Show more

“Issues in Benchmarking Commodity Performance” is a chapter for the book Commodities: Markets, Performance, and Strategies edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris. The book provides a detailed look at physical commodity markets and the investment vehicles available to access these markets. It also discusses the economic fundamentals of physical markets that link to financial vehicles used to access the unique risk and return characteristics inherent in commodity investment. This chapter examines the three generations of commodity indexes, co-integration between commodity and equity markets, and issues with passive commodity investment strategies. Show less