Climate Change Data

Environmental Metrics

ESG Focus Areas

• Climate Change
• Responsible Ownership
• Transparency in ESG Disclosures
• Supply Chain Sustainability
• Diversity & Inclusion

Environmental Achievements

• AQR became carbon-neutral globally, including travel.
• Launched portfolios targeting net zero reported emissions.
• Developed a novel metric for supply chain climate exposure, published in the Financial Analysts Journal and shortlisted for the PRI Awards.
• Published research on using historical carbon data to assess current and future climate exposure.
• Engaged with 210 companies (double the number from 2021) through CDP's Non-Disclosure Campaign, resulting in ~25% successfully disclosing environmental data.

Social Achievements

• Continued partnerships with organizations promoting underrepresented talent in financial services.
• Organized employee volunteer events.
• Four consecutive years of a 100% score in the Human Rights Campaign’s Corporate Equality Index.
• Six consecutive years as one of Pensions & Investments’ Best Places to Work.

Governance Achievements

• Established a new internal ESG governance structure with four ESG committees (Research, Stewardship, Reporting and Communication, and ESG in the Office).
• Developed a responsible investing framework with UN PRI.
• Publicly available ESG policy documents on AQR.com/ESG.

Climate Goals & Targets

Environmental Challenges

• Difficulty in measuring and managing climate risk, particularly supply chain exposure.
• Concerns about the reliability of ESG ratings.
• Poor disclosure of environmental data, especially from emerging economies.

Mitigation Strategies

• Developed a new metric to capture supply chain climate exposure.
• Published research on ESG ratings, highlighting shortcomings and areas for improvement.
• Proactive engagement with portfolio companies to encourage increased transparency and data disclosure through initiatives like the CDP Non-Disclosure Campaign.

Supply Chain Management

Supplier Audits: Not disclosed

Responsible Procurement

• Not disclosed

Climate-Related Risks & Opportunities

Physical Risks

• Not disclosed

Transition Risks

• Not disclosed

Opportunities

• Not disclosed

Reporting Standards

Frameworks Used: UN PRI, TCFD

Certifications: CarbonNeutral®

Third-party Assurance: RSK (for carbon neutrality)

UN Sustainable Development Goals

• Not disclosed

Not disclosed

Sustainable Products & Innovation

• Not disclosed

Awards & Recognition

• PRI Awards (shortlist for Research Innovation of the Year)
• Allocators’ Choice Awards (MIT Aggregate Confusion Project)

Environmental Metrics

ESG Focus Areas

• Climate Change
• Governance
• Responsible Investing

Environmental Achievements

• Achieved carbon neutrality in firm operations through carbon offsets.
• Launched first net zero reported emissions portfolio.
• Developed a framework for SFDR-aligned sustainable investments.

Social Achievements

• Named one of Pensions & Investments’ “Best Places to Work” for seven consecutive years.
• Received a 100% score on the Human Rights Campaign’s Corporate Equality Index for five consecutive years.
• Supported various community organizations through philanthropic partnerships.

Governance Achievements

• Established a robust ESG governance structure with three committees (ESG Research, Stewardship, and Reporting & Communication).
• Implemented a sustainable voting policy as the default approach for commingled funds.
• Engaged in regulatory consultations across the US, UK, and EU.

Climate Goals & Targets

Environmental Challenges

• Some companies were reluctant to commit to disclosing scope 1 and 2 emissions data.
• Lower than expected success rate in encouraging companies to disclose environment-related data to CDP.

Mitigation Strategies

• Introduced a new direct engagement program focusing on improving company transparency on emissions data.
• Continued engagement with data providers to improve data quality and informativeness.
• Collaboration with CDP on the Non-Disclosure Campaign.

Supply Chain Management

Climate-Related Risks & Opportunities

Reporting Standards

Frameworks Used: UN PRI

Certifications: CarbonNeutral®

Awards & Recognition

• Swiss Finance Institute's Outstanding Paper Award 2023
• Pensions & Investments’ “Best Places to Work”
• Human Rights Campaign’s Corporate Equality Index 100%

Environmental Metrics

ESG Focus Areas

• Environmental
• Social
• Governance

Environmental Achievements

• Managed carbon emissions footprint to be equal to or lower than the short leg of the portfolio

Social Achievements

• Active tilt towards securities with superior ESG characteristics

Governance Achievements

• Systematic integration of governance-related signals into investment view; exclusion of issuers with weakest ESG scores

Climate Goals & Targets

Environmental Challenges

• Data for ESG can face comparatively short time periods and sparse or inconsistent coverage; incomplete, inaccurate or unavailable ESG-related data from third parties

Mitigation Strategies

• Ongoing due diligence of third-party data solutions; proactive due diligence of new data solutions; economic analysis to validate data; regular dialogue with data providers; coverage checks and imputation of gaps; proactive identification and addressing of omissions or errors; participation in consultations with data providers

Supply Chain Management

Climate-Related Risks & Opportunities