Michele Aghassi, PhD, CFA, on Supply Chain Carbon Exposure, Auckland lunch

CFA Society New Zealand is hosting a luncheon with speaker Michele Aghassi, PhD, CFA, Head of Sustainable Investing at AQR Capital Management.

Michele presented at our conference in May 2023 and we're delighted to provide another opportunity to hear from her.

SUPPLY CHAIN CARBON EXPOSURE

To manage climate risks, investors need reliable climate exposure metrics. This need is particularly acute for climate risks along the supply chain, where such risks are recognized as important, but difficult to measure.

In this session, Michele references academic literature to introduce an intuitive metric that quantifies the exposure a company has to customers, or suppliers, who may in turn be exposed to climate risks, and will show that such risks are not captured by traditional climate data. For example, a company may seem green on a standalone basis, but may still have meaningful, and potentially material, climate risk exposure if it has customers, or suppliers, whose activities could be impaired by transition or physical climate risks.

This metric is related to scope 3 emissions and may help capture economic activities such as emissions offshoring. However, while scope 3 focuses on products sold to customers and supplies sourced from suppliers, this metric captures the strength of economic linkages and the overall climate exposure of a firm’s customers and suppliers. Importantly, the data necessary to compute this measure is broadly accessible and is arguably of a higher quality than the currently available scope 3 data. As such, this metric’s intuitive definition and transparency may be particularly appealing for investors.

Schedule

12.00-12.30 Attendees arrive, light lunch and networking

12.30-01.20 Presentation

01 .20 -01.30 Q&A

Numbers are limited. If you register and then find your are unable to attend, please cancel your order, or email info@cfasociety.org.nz, so we can allocate your place to another person.

Thanks to KPMG and AQR for supporting this event.

ABOUT THE SPEAKER

Michele Aghassi, Ph.D., CFA

Michele Aghassi is a Principal at AQR Capital Management and a portfolio manager for the firm's equity strategies. She is also the Head of Sustainable Investing, responsible for the research for and portfolio management of our sustainable strategies. Over nearly two decades at AQR, Michele has been a leader in research and strategy development and served as Co-Head of Global Stock Selection Research for a number of years. Additionally, she drove the development and launch of the firm's emerging equity strategies and architected the proprietary optimization methodology that AQR uses to build portfolios. Her research on quantitative investing has been published in the Journal of Portfolio Management and in Equity Valuation and Portfolio Management, a volume edited by Frank Fabozzi and Harry Markowitz, and she has served on the Editorial Advisory Board of the Journal of Portfolio Management. Michele has been a speaker at financial conferences internationally and a featured quantitative investing podcast guest. Earlier in her career, she was a quantitative analyst in the proprietary equities department of D.E. Shaw & Co. Michele holds a Ph.D. in operations research from MIT and a B.Sc. in applied mathematics from Brown University.