The age of ethical investing, but can quants cope?

Systematic managers grapple with ESG demands of clients

Investment mandates from the Dutch pension fund APG now come with more than the usual strings attached. Managers must bend strategies that were built to make money into line with the fund’s growing ambition to do good.

APG last year reduced the universe of stocks its quant strategies can trade by a sixth, culling about 1,500 stocks that scored badly against a set of APG-crafted environmental, social and governance (ESG) metrics.

“ESG is now as important as risk, return and cost in the fund’s

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