Katharina Schwaiger

Katharina Schwaiger

Investment Researcher, BlackRock

Biography

She joined from the European EII (ETF and Index Investments) Product Innovation group, where she was responsible for developing rules-based passive strategies across asset classes for iShares, index mutual funds and segregated mandates. Dr. Schwaiger’s service with the firm dates back to 2013 when she joined as a member of the Risk & Quantitative Analysis (RQA) group. At RQA she was responsible for the risk management and quantitative analysis of Fundamental Equity portfolios in EMEA.

Prior to joining BlackRock in 2013, she has worked as a Financial Engineer in the City of London, as a Quantitative Researcher at a London-based hedge fund and as a lecturer in Operational Research at the London School of Economics. She earned a BSc degree in Financial Mathematics in 2005, and a PhD degree in Mathematics/Operational Research from Brunel University in 2009. She is also the editor of the Asset and Liability Management Handbook (Palgrave, 2011).

ESG in Factors
Environmental, Social, and Governance (ESG) signals are an important part of factor-based investing strategies as they can stem from the same economic rationales as general factor premiums. Because factors are broad and diversified, building portfolios by jointly optimizing factor exposures with ESG and carbon outcomes results in similar historical performance as benchmark factor portfolios which do not include those considerations. We show how sustainable signals, which often involve alternative data, can be integrated in the definitions of factors themselves: we offer two examples on green intangible value and corporate culture quality which enhance traditional financial value and quality factors, respectively.